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Optimization of conditional value-at-risk
Rockafellar, R. Tyrrell; Uryasev, Stanislav - In: Innovations in risk management : seminal papers from …, (pp. 179-204). 2004
Persistent link: https://www.econbiz.de/10002600304
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Algorithms for optimization of value-at-risk
Larsen, Nicklas; Mausser, Helmut; Uryasev, Stanislav - In: Financial engineering, E-commerce and supply chain, (pp. 19-46). 2002
Persistent link: https://www.econbiz.de/10001746916
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Failure discrimination by semi-definite programming
Konno, Hiroshi; Gotoh, Jun-ya; Uryasev, Stanislav; … - In: Financial engineering, E-commerce and supply chain, (pp. 379-396). 2002
Persistent link: https://www.econbiz.de/10001747179
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Regulatory impacts on credit portfolio management
Theiler, Ursula; Bugera, Vladimir; Revenko, Alla; … - In: Operations research proceedings 2002 : selected papers …, (pp. 335-340). 2003
Persistent link: https://www.econbiz.de/10001752031
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Relaxation algorithms to find Nash equilibria with economic applications
Krawczyk, Jacek B.; Uryasev, Stanislav - In: Environmental modeling & assessment 5 (2000) 1, pp. 63-73
Persistent link: https://www.econbiz.de/10001451539
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Calibrating Risk Preferences with Generalized CAPM Based on Mixed CVaR Deviation
Kalinchenko, Konstantin; Uryasev, Stanislav; … - 2011
The generalized Capital Asset Pricing Model based on mixed CVaR deviation is used for calibrating risk preferences of investors protecting investments in S&P500 by means of options. The corresponding new generalized beta is designed to capture tail performance of S&P500 returns. Calibration is...
Persistent link: https://www.econbiz.de/10014183591
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Expanding neighborhood search-GRASP for the probalistic traveling salesman problem
Marinakis, Yannis; Migdalas, Athanasios; Pardalos, Panos M. - In: Optimization letters 2 (2008) 3, pp. 351-361
Persistent link: https://www.econbiz.de/10003718327
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Eavesdropping and jamming communication networks
Commander, Clayton W.; Pardalos, Panos M.; Ryabchenko, … - In: Cooperative networks : control and optimization ; [6th …, (pp. 101-112). 2008
Persistent link: https://www.econbiz.de/10003740827
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GRASP with path-relinking for the cooperative communication problem on ad hoc networks
Commander, Clayton W.; Festa, Paola; Oliveira, Carlos A. S. - In: Cooperative networks : control and optimization ; [6th …, (pp. 187-207). 2008
Persistent link: https://www.econbiz.de/10003740837
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Random assignment problems
Krokhmal, Pavlo A.; Pardalos, Panos M. - In: European journal of operational research : EJOR 194 (2009) 1, pp. 1-17
Persistent link: https://www.econbiz.de/10003835266