1. The methodology is implemented in Portfolio Safeguard decision support system by American Optimal Decisions, Inc. (AOrDa.com).

1. Trindade A., Uryasev, S. Shapiro, A. and G. Zrazhevsky. Financial Prediction with Constrained Tail Risk. Journal of Baking and Finance, accepted for publication, 2006 (download PDF file ).
2. Rockafellar, R.T., Uryasev S. and M. Zabarankin. Equilibrium with Investors Using a Diversity of Deviation Measures. The Journal of Banking and Finance, accepted for publication, 2006, (download PDF file ).
3. Krokhmal P. and S. Uryasev. A Sample-Path Approach to Optimal Position Liquidation. Annals of Operations Research, Published Online, November , 2006, 1-33 (download PDF file ).
4. Rockafellar, R. T., Uryasev, S. and M. Zabarankin. Optimality Conditions in Portfolio Analysis with Generalized Deviation Measures, Mathematical Programming, V. 108, # 2-3, 2006, 515-540 (download PDF file ).
5. Rockafellar, R. T., Uryasev, S. and M. Zabarankin. Master Funds in Portfolio Analysis with General Deviation Measures, The Journal of Banking and Finance, Vol. 30, #2, 2006, (download PDF file , PS file ).
6. Rockafellar, R. T., Uryasev, S. and M. Zabarankin. Generalized Deviations in Risk Analysis. Finance and Stochastics, 10, 2006, 51- 74 ( download PDF file , PS file ).
7. Butenko, S., Golodnikov, A. and S. Uryasev, Optimal Security Liquidation Algorithms. Computational Optimization and Applications, V. 32 , # 1-2, 2005, 9–27, (download PDF file ).
8. Chekhlov, A., Uryasev, S., and M. Zabarankin. Drawdown Measure in Portfolio Optimization. International Journal of Theoretical and Applied Finance, V. 8, # 1, 2005, 13-58 (download PDF file ).
9. Ryabchenko V., Sarykalin S., and S. Uryasev. Pricing European Options by Numerical Replication: Quadratic Programming with Constraints. Asia-Pacific Financial Markets, Vol. 11, #3, 2004, (download PDF file ).
10. Krokhmal, P., Uryasev, S., and G. Zrazhevsky. Risk Management for Hedge Fund Portfolios: A Comparative Analysis of Linear Portfolio Rebalancing Strategies. Journal of Alternative Investments, V.5, #1, 2002, 10-29 (download PDF file).
11. Krokhmal. P., Palmquist, J., and S. Uryasev. Portfolio Optimization with Conditional Value-At-Risk Objective and Constraints. The Journal of Risk, Vol. 4, No. 2, 2002. (download PDF file, PS file).
12. Rockafellar R.T. and S. Uryasev. Conditional Value-at-Risk for General Loss Distributions. Journal of Banking and Finance, 26/7, 2002, 1443-1471 (download PDF file, PS file).
13. Bogentoft E., Romeijn H.E., and S. Uryasev. Asset/Liability Management for Pension Funds Using CVaR Constraints. The Journal of Risk Finance. Vol. 3, No. 1, Fall 2001, 57-71 (relevant Research Report 2001-10 can be downloaded).
14. Andersson, F., Mausser, H., Rosen, D., and S. Uryasev. Credit Risk Optimization with Conditional Value-At-Risk Criterion. Mathematical Programming, Series B 89, 2001, 273-291
15. Rockafellar, R.T. and S.Uryasev. Optimization of Conditional Value-At-Risk. The Journal of Risk, Vol. 2, No. 3, 2000, 21-41.
16. Uryasev, S. Conditional Value-at-Risk: Optimization Algorithms and Applications. Financial Engineering News, No. 14, February, 2000,1-5

1. Krokhmal, P., Uryasev, S., and G. Zrazhevsky. Robust. Numerical Comparison of CVaR and CDaR Approaches: Application to Hedge Funds. W.T. Ziemba (Ed.) The Stochastic Programming Approach to Asset Liability and Wealth Management. AIMR/Blackwell Publisher, 2003, forthcoming (download PDF file).
2. Testuri, C.E. and S. Uryasev. On Relation between Expected Regret and Conditional Value-At-Risk. Z. Rachev (Ed.) Handbook of Numerical Methods in Finance, Birkhauser, 2003, forthcoming, (download PDF file).
3. Chekhlov, A., Uryasev, S., and M. Zabarankin. Portfolio Optimization With Drawdown Constraints. B. Scherer (Ed.) Asset and Liability Management Tools, Risk Books, London, 2003, forthcoming, (download PDF file).
4. Larsen, N., Mausser H., and S. Uryasev. Algorithms for Optimization of Value-at-Risk. P. Pardalos and V.K. Tsitsiringos, (Eds.) Financial Engineering, e-commerce and Supply Chain, Kluwer Academic Publishers, 2002, 129-157.
5. Uryasev, S. Introduction to the Theory of Probabilistic Functions and Percentiles (Value-at-Risk). Uryasev, S. (Ed.) Probabilistic Constrained Optimization: Methodology and Applications. Kluwer Academic Publishers, 2000, 1-25 .

1. Rockafellar, R.T., Uryasev S. and M. Zabarankin. Risk Tuning with Generalized Linear Regression. Research Report 2007-1, ISE Dept., University of Florida , March 2007 (download PDF file ).
2. Wang C.-J. and S. Uryasev. Efficient Execution in the Secondary Mortgage Market: a Stochastic Optimization Model Using CVaR Constraints. Research Report 2006-5, ISE Dept., University of Florida , May 2006 (download PDF file ).
3. Wang, C.-J. and S. Uryasev. Best Execution in Mortgage Secondary Markets. Research Report 2005-3, ISE Dept., University of Florida , March, 2005 (download PDF file ).

Proceedings of Conferences

1. Theiler, U., Bugera, V., Revenko, A., and S. Uryasev. Regulatory Impacts on Credit Portfolio Management. To appear in: Operations Research Proceedings 2002, Selected Papers of the Symposium on Operations Research (OR 2002), Berlin (download PDF file, PS file).