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Morenko, Yana; Vinel, Alexander; Yu, Zhaohan; Krokhmal, … - In: European journal of operational research : EJOR 231 (2013) 3, pp. 784-789

Persistent link: https://www.econbiz.de/10009787348

A scenario decomposition algorithm for stochastic programming problems with a class of downside risk measures

Rysz, Maciej; Vinel, Alexander; Krokhmal, Pavlo; … - In: INFORMS journal on computing : JOC 27 (2015) 2, pp. 416-430

Persistent link: https://www.econbiz.de/10011291285

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

Classification using optimization : application to credit ratings of bonds

Bugera, Vladimir; Uryasev, Stan; Zrazhevsky, Grigory - In: Computational methods in financial engineering : essays …, (pp. 211-237). 2008

Persistent link: https://www.econbiz.de/10003669645

Pricing energy derivatives by linear programming : tolling agreement contracts

Ryabchenko, Valeriy; Uryasev, Stan - In: The journal of computational finance 14 (2010/11) 3, pp. 73-126

Persistent link: https://www.econbiz.de/10008989930

Optimal structuring of collateralized debt obligation contracts : an optimization approach

Veremyer, Alexander; Tsyurmasto, Peter; Uryasev, Stan - In: The journal of credit risk : published quarterly by … 8 (2012) 4, pp. 133-155

Persistent link: https://www.econbiz.de/10009700459

Capital asset pricing model (CAPM) with drawdown measure

Zabarankin, Michael; Pavlikov, Konstantin; Uryasev, Stan - In: European journal of operational research : EJOR 234 (2014) 2, pp. 491-498

Persistent link: https://www.econbiz.de/10010356712

Portfolio optimization with second-order stochastic dominance constraints and portfolios dominating indices

Keçeci, Neslihan Fidan; Kuzmenko, Viktor; Uryasev, Stan - In: Robustness analysis in decision aiding, optimization, …, (pp. 285-298). 2016

Persistent link: https://www.econbiz.de/10011518651

Portfolios dominating indices : optimization with second-order stochastic dominance constraints vs. minimum and mean variance portfolios

Keçeci, Neslihan Fidan; Kuzmenko, Viktor; Uryasev, Stan - In: Journal of risk and financial management : JRFM 9 (2016) 4, pp. 1-14

The paper compares portfolio optimization with the Second-Order Stochastic Dominance (SSD) constraints with mean-variance and minimum variance portfolio optimization. As a distribution-free decision rule, stochastic dominance takes into account the entire distribution of return rather than some...

Persistent link: https://www.econbiz.de/10011543019

Calibrating probability distributions with convex-concave-convex functions : application to CDO pricing

Veremyev, Alexander; Tsyurmasto, Peter; Uryasev, Stan; … - In: Computational Management Science : CMS 11 (2014) 4, pp. 341-364

Persistent link: https://www.econbiz.de/10010437154