Stan Uryasev

39 papers A 1Misc 3Journal 33
YearRankTypeTitle / Venue / Authors
2025 J jnl
Error control and Neyman-Pearson classification with buffered probability and support vectors.
Comput. Optim. Appl.
Matthew Norton, Liting Chiang, Stan Uryasev
2025 A conf
Nonparametric Distributional Regression via Quantile Regression.
AISTATS
Cheng Peng, Stan Uryasev
2024 J jnl
Buffered and Reduced Multidimensional Distribution Functions and Their Application in Optimization.
Optim. Lett.
Bogdan Grechuk, Michael Zabarankin, Alexander Mafusalov, Stan Uryasev
2024 J jnl
Efficient and robust optimal design for quantile regression based on linear programming.
Comput. Stat. Data Anal.
Cheng Peng, Drew P. Kouri, Stan Uryasev
2023 J jnl
Buffered-ranking intervals for virtual profit efficiency analysis.
Central Eur. J. Oper. Res.
Yongqiao Wang, He Ni, Stan Uryasev
2021 J jnl
Calculating CVaR and bPOE for common probability distributions with application to portfolio optimization and density estimation.
Ann. Oper. Res.
Matthew Norton, Valentyn Khokhlov, Stan Uryasev
2021 J jnl
Shortest path network problems with stochastic arc weights.
Optim. Lett.
Jeremy D. Jordan, Stan Uryasev
2020 J jnl
Minimizing buffered probability of exceedance by progressive hedging.
Math. Program.
R. Tyrrell Rockafellar, Stan Uryasev
2019 J jnl
Derivatives and subderivatives of buffered probability of exceedance.
Oper. Res. Lett.
Tong Zhang, Stan Uryasev, Yongpei Guan
2019 Misc conf
How to Supplement the Safety Requirements.
WSC
Stan Uryasev, Giorgi Pertaia
2019 J jnl
Maximization of AUC and Buffered AUC in binary classification.
Math. Program.
Matthew Norton, Stan Uryasev
2019 Misc conf
Portfolio Optimization with Expectile and Omega Functions.
WSC
Alexander Wagner, Stan Uryasev
2018 J jnl
Buffered Probability of Exceedance: Mathematical Properties and Optimization.
SIAM J. Optim.
Alexander Mafusalov, Stan Uryasev
2018 J jnl
CVaR distance between univariate probability distributions and approximation problems.
Ann. Oper. Res.
Konstantin Pavlikov, Stan Uryasev
2018 J jnl
Cardinality of Upper Average and Its Application to Network Optimization.
SIAM J. Optim.
Matthew Norton, Alexander Mafusalov, Stan Uryasev
2018 J jnl
Cash flow matching with risks controlled by buffered probability of exceedance and conditional value-at-risk.
Ann. Oper. Res.
Danjue Shang, Victor Kuzmenko, Stan Uryasev
2018 J jnl
Estimation and asymptotics for buffered probability of exceedance.
Eur. J. Oper. Res.
Alexander Mafusalov, Alexander Shapiro, Stan Uryasev
2018 J jnl
Preface.
Ann. Oper. Res.
Stan Uryasev, Jun-ya Gotoh
2017 J jnl
Soft Margin Support Vector Classification as Buffered Probability Minimization.
J. Mach. Learn. Res.
Matthew Norton, Alexander Mafusalov, Stan Uryasev
2017 J jnl
Support vector machines based on convex risk functions and general norms.
Ann. Oper. Res.
Jun-ya Gotoh, Stan Uryasev
2016 J jnl
CVaR (superquantile) norm: Stochastic case.
Eur. J. Oper. Res.
Alexander Mafusalov, Stan Uryasev
2016 J jnl
Two pairs of families of polyhedral norms versus ℓ p -norms: proximity and applications in optimization.
Math. Program.
Jun-ya Gotoh, Stan Uryasev
2014 J jnl
CVaR norm and applications in optimization.
Optim. Lett.
Konstantin Pavlikov, Stan Uryasev
2014 J jnl
Calibrating probability distributions with convex-concave-convex functions: application to CDO pricing.
Comput. Manag. Sci.
Alexander Veremyev, Peter Tsyurmasto, Stan Uryasev, R. Tyrrell Rockafellar
2014 J jnl
Capital Asset Pricing Model (CAPM) with drawdown measure.
Eur. J. Oper. Res.
Michael Zabarankin, Konstantin Pavlikov, Stan Uryasev
2014 J jnl
Value-at-risk support vector machine: stability to outliers.
J. Comb. Optim.
Peter Tsyurmasto, Michael Zabarankin, Stan Uryasev
2012 J jnl
Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics.
Oper. Res.
So Yeon Chun, Alexander Shapiro, Stan Uryasev
2011 J jnl
Optimal crop planting schedules and financial hedging strategies under ENSO-based climate forecasts.
Ann. Oper. Res.
Farid AitSahlia, Chung-Jui Wang, Victor E. Cabrera, Stan Uryasev, Clyde W. Fraisse
2010 J jnl
Portfolio optimization by minimizing conditional value-at-risk via nondifferentiable optimization.
Comput. Optim. Appl.
Churlzu Lim, Hanif D. Sherali, Stan Uryasev
2009 — ch.
Derivatives of Probability and Integral Functions: General Theory and Examples.
Encyclopedia of Optimization
Stan Uryasev
2009 J jnl
Mathematical Programming Techniques for Sensor Networks.
Algorithms
Alexey Sorokin, Nikita Boyko, Vladimir Boginski, Stan Uryasev, Panos M. Pardalos
2008 J jnl
Jamming communication networks under complete uncertainty.
Optim. Lett.
Clayton W. Commander, Panos M. Pardalos, Valeriy Ryabchenko, Oleg V. Shylo, Stan Uryasev, Grigoriy Zrazhevsky
2008 J jnl
Risk Tuning with Generalized Linear Regression.
Math. Oper. Res.
R. Tyrrell Rockafellar, Stan Uryasev, Michael Zabarankin
2007 J jnl
A sample-path approach to optimal position liquidation.
Ann. Oper. Res.
Pavlo A. Krokhmal, Stan Uryasev
2007 J jnl
The wireless network jamming problem.
J. Comb. Optim.
Clayton W. Commander, Panos M. Pardalos, Valeriy Ryabchenko, Stan Uryasev, Grigoriy Zrazhevsky
2006 J jnl
Generalized deviations in risk analysis.
Finance Stochastics
R. Tyrrell Rockafellar, Stan Uryasev, Michael Zabarankin
2006 J jnl
Optimality conditions in portfolio analysis with general deviation measures.
Math. Program.
R. Tyrrell Rockafellar, Stan Uryasev, Michael Zabarankin
2005 — ch.
29. Numerical Comparison of Conditional Value-at-Risk and Conditional Drawdown-at-Risk Approaches: Application to Hedge Funds.
Applications of Stochastic Programming
Pavlo A. Krokhmal, Stan Uryasev, Grigoriy Zrazhevsky
2004 Misc conf
Pricing Derivative Securities in Incomplete Markets.
WSC
Sergey Sarykalin, Stan Uryasev