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Deviation Measures in Risk Ana...
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Risk measure
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Uryasev, Stan
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Rockafellar, Ralph Tyrrell
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2
Kuzmenko, Viktor
2
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2
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1
Chun, So Yeon
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Journal of banking & finance
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3
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1
Innovations in risk management : seminal papers from the Journal of Risk
1
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1
Generalized deviations in risk analysis
Rockafellar, Ralph Tyrrell
;
Uryasev, Stan
;
Zabarankin, …
- In:
Finance and stochastics
10
(
2006
)
1
,
pp. 51-74
Persistent link: https://www.econbiz.de/10003234949
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2
Master funds in portfolio analysis with general deviation measures
Rockafellar, Ralph Tyrrell
;
Uryasev, Stan
;
Zabarankin, …
- In:
Journal of banking & finance
30
(
2006
)
2
,
pp. 743-778
Persistent link: https://www.econbiz.de/10003291372
Saved in:
3
Calibrating risk preferences with the generalized capital asset pricing model based on mixed conditional value-at-risk deviation
Kalinchenko, Konstantin
;
Uryasev, Stan
;
Rockafellar, …
- In:
Journal of risk
15
(
2012/13
)
1
,
pp. 45-70
Persistent link: https://www.econbiz.de/10009657965
Saved in:
4
Drawdown measure in portfolio optimization
Chekhlov, Alexei
;
Uryasev, Stan
;
Zabarankin, Michael
- In:
International journal of theoretical and applied finance
8
(
2005
)
1
,
pp. 13-58
Persistent link: https://www.econbiz.de/10002625151
Saved in:
5
Superquantile regression with applications to buffered reliability, uncertainty quantification, and conditional value-at-risk
Rockafellar, Ralph Tyrrell
;
Royst, Johannes O.
; …
- In:
European journal of operational research : EJOR
234
(
2014
)
1
,
pp. 140-154
Persistent link: https://www.econbiz.de/10010247347
Saved in:
6
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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7
Conditional value-at-risk for general loss distributions
Rockafellar, Ralph Tyrrell
;
Uryasev, Stanislav
- In:
Journal of banking & finance
26
(
2002
)
7
,
pp. 1443-1471
Persistent link: https://www.econbiz.de/10001688522
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8
Superquantile/CVaR risk measures : second-order theory
Rockafellar, Ralph Tyrrell
;
Royset, Johannes O.
- In:
Risk management approaches in engineering applications
,
(pp. 3-28)
.
2018
Persistent link: https://www.econbiz.de/10011869984
Saved in:
9
Inverse portfolio problem with coherent risk measures
Grechuk, Bogdan
;
Zabarankin, Michael
- In:
European journal of operational research : EJOR
249
(
2016
)
2
,
pp. 740-750
Persistent link: https://www.econbiz.de/10011436861
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10
Schur convex functionals : Fatou property and representation
Grechuk, Bogdan
;
Zabarankin, Michael
- In:
Mathematical finance : an international journal of …
22
(
2012
)
2
,
pp. 411-418
Persistent link: https://www.econbiz.de/10009613189
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