IMPLEMENTATION, PRESENTATIONS,  AND  SELECTED PUBLICATIONS

Implementation

  1. Methodology is implemented in Portfolio Safeguard decision support system by American Optimal Decisions, Inc. (AORDA.com).

Presentations

1.      VaR vs CVaR in Risk Management and Optimization. Tutorial. INFORMS 2008 (download PDF file).

Books

  1. Uryasev, S. (Ed.) Probabilistic Constrained Optimization: Methodology and Applications. Kluwer Academic Publishers, 2000, 307 p. (Preface and contents can be downloaded).
  2. Uryasev, S. and P. M. Pardalos (Eds.) Stochastic Optimization: Algorithms and Applications. Kluwer Academic Publishers, 2001, 435 p. (Preface and contents can be downloaded).
  3. Uryasev, S. Adaptive Algorithms of Stochastic Optimization and Game Theory. Nauka, Moscow, 1990, 182 p. (in Russian).

 

Papers in Refereed Journals

  1. Boyko, N., Turko T., Boginski, V., Jeffcoat D.E., Uryasev, S., Zrazhevsky, G., and P. Pardalos. Robust Multi-Sensor Scheduling for Multi-Site Surveillance. Journal of Combinatorial Optimization. Accepted for publication (download PDF file).
  2. Sorokin, A., Boyko, N., Boginski, V., Uryasev, S., and P. Pardalos. Mathematical Programming Techniques for Sensor Networks. Algorithms, No. 2, 2009, 565-581 (download PDF file).
  3. Rockafellar, R.T., Uryasev S. and M. Zabarankin. Risk Tuning With Generalized Linear Regression. Mathematics of Operations Research. Vol. 33, No. 3, August, 2008, 712-729 (download PDF file).
  4. Liu, J., Men, C., Cabrera V.E., Uryasev, S. and C.W. Fraisse. Optimizing Crop Insurance under Climate Variability. Journal of Applied Meteorology and Climatology. Vol. 47, No. 10, 2008, 2572-2580 (download PDF file).
  5. Lim, C., Sherali, H., and S. Uryasev. Portfolio Optimization by Minimizing Conditional Value-at-Risk via Nondifferentiable Optimization. Computational Optimization and Applications, published online, 2008 (download PDF file).
  6. Wang C.-J. and S. Uryasev. Efficient Execution in the Secondary Mortgage Market: a Stochastic Optimization Model Using CVaR Constraints. The Journal of Risk. Vol. 10 #1, 2007 (download PDF file).
  7. Rockafellar, R.T., Uryasev S. and M. Zabarankin. Equilibrium with Investors Using a Diversity of Deviation Measures. The Journal of Banking and Finance, 31 (11), Nov 2007, 3251-3268 (download PDF file).
  8. Trindade A., Uryasev, S. Shapiro, A. and G. Zrazhevsky. Financial Prediction with Constrained Tail Risk. Journal of Baking and Finance, 31 (11), Nov 2007, 3524-3538 (download PDF file).
  9. Commander, C.W.  Pardalos, P.M., Ryabchenko, V., Uryasev, S. and G. Zrazhevsky. The Wireless Network Jamming Problem.  Journal of Combinatorial Optimization.  Vol. 14, # 4, November 2007, 481-498 (download PDF file).
  10. Golodnikov, A., Macheret, Y., Trindade, Uryasev, S. and G. Zrazhevsky. Optimization Of Composition And Processing Parameters For Alloy Development: A Statistical Model-Based Approach, Journal of Industrial and Management Optimization., V.3, # 3, Aug 2007, 489-501 (view online).
  11. Commander, C.W.  Pardalos, P.M., Ryabchenko, V., Shylo, O., Uryasev, S. and G. Zrazhevsky. Jamming Communication Networks Under Complete Uncertainty. Optimization Letters. Published online, 2006, 1-18 (download PDF file).
  12. Chen, G., Daskin M., Shen M. and S. Uryasev. The alpha-Reliable Mean-excess Regret Model For Stochastic Facility Location Modeling. Naval Research Logistics, Vol. 53, # 7, October 2006,  617-626 (download PDF file).
  13. 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).
  14. Zabarankin, M., Uryasev, S.,  and  R. Murphey. Aircraft Routing under the Risk of Detection, Naval Research Logistics, Vol. 53 (DOI: 10.1002/nav.20165), 2006, 728-747 (download, PDF file).
  15. 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).
  16. Trindade, A. and S. Uryasev. Improved Tolerance Limits by Combining Analytical and Experimental Data: an Information Integration Methodology, The Journal of Data Science, 4(3), 2006, 371-386. (download PDF file).
  17. 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).
  18. 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).
  19. 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).
  20. Golodnikov, A., Macheret, Y., Trindade, A., Uryasev, S. and G. Zrazhevsky. Statistical Modeling of Composition and Processing Parameters for Alloy Development, Modeling and Simulation in Material Science and Engineering, 13, 2005, 633-644 (download PDF file).
  21. 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).
  22. 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).
  23. Chen, G., Uryasev, S. and T. Young. On Prediction of the Cesarean Delivery Risk in a Large Private Practice, American Journal of Obstetrics and Gynecologists, 191/2, 2004, 624-632 (download PDF file).
  24. Bugera V., Konno H., and S. Uryasev. Credit Cards Scoring with Quadratic Utility Function. Journal of Multi-Criteria Decision Analysis (Special Issue on MCDA Methodologies in Finance), 11, 2002, 197-211 (download PDF file).
  25. 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).
  26. Krokhmal. P., Palmquist, J.,  and  S. Uryasev. Portfolio Optimization with Conditional Value-At-Risk Objective and Constraints. The Journal of Risk, V. 4, # 2, 2002, 11-27  (download PDF file, PS file).
  27. 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).
  28. 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 (download PDF file, PS file )
  29. 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 (download PDF file,  PS file).
  30. Rockafellar, R.T. and S. Uryasev.  Optimization of Conditional Value-At-Risk. The Journal of Risk, Vol. 2, No. 3, 2000, 21-41 (download PDF file, PS file).
  31. Uryasev, S. Conditional Value-at-Risk: Optimization Algorithms and Applications. Financial Engineering News, No. 14, February, 2000,1-5 (download PDF file, PS file).
  32. Krawczyk, J.B. and S. Uryasev. Relaxation Algorithms to Find Nash Equilibria with Economic Applications. Environmental Modeling and Assessment, 5, 2000, 63-73 (download PDF file,  PS file).
  33. Kibzun A.I. and S. Uryasev. Differentiability of Probability Functions. Stochastic Analysis and Applications. 16(6),1998, 1101-1128.
  34. Uryasev, S. Analytic Perturbation Analysis for DEDS with Discontinuous Sample-path Functions. Stochastic Models. Vol. 13, No. 3, 1997 (download PDF file, PS file).
  35. Uryasev, S. Derivatives of Probability Functions and Some Applications. Annals of Operations Research, 1995, V56, 287-311 (download PDF file, PS file).
  36. Uryasev, S. Derivatives of Probability Functions and Integrals over Sets Given by Inequalities. J. Computational and Applied Mathematics, Vol. 56, 1994,197-223.
  37. Uryasev, S. and R.Y. Rubinstein. On Relaxation Algorithms in Computation of Non-Cooperative Equilibria. IEEE Transactions on Automatic Control (Technical Notes), Vol. 39, No. 6, 1994.
  38. Uryasev, S. A Stochastic Quasi-Gradient Algorithm with Variable Metric. Annals of Operations Research, 39, 1992, 251-267.
  39. Uryasev, S. New Variable-Metric Algorithms for Nondifferential Optimization Problems. J. of Optim. Theory and Applic. Vol. 71, No. 2, 1991, 359-388.Two FORTRAN codes and a MATHEMATICA code can be downloaded in ASCII format. The first FORTRAN code VARF uses performance function, and the second VARG uses gradients for the line search. The MATHEMATICA package VariableMetricAlgorithm is a translation to MATHEMATICA language of the FORTRAN code VARF.


 

Refereed Articles in Books

1.      Bugera, V., Uryasev S. and G. Zrazhevsky. Classification Using Optimization: Application to Credit Rating of Bonds. E.J. Konthoghiorghes, et al (Eds) Computational Methods in Financial Engineering. Springer Publishers, 2008, 211-239 (download PDF file).

2.      Golodnikov, A., Macheret, Y., Trindade, A., Uryasev, S., and G. Zrazhevsky. Estimating the Probability Distributions of Alloy Impact Toughness: a Constrained Quantile Regression Approach. D. Grundel, et al (Eds) Advances in Cooperative Control and Optimization, Springer Lecture Notes in Economics and Mathematical Systems, Vol. 588,  2007, 269-283 (download PDF file).

3.      Trindade A., and S. Uryasev. Combining Model and Test Data for Optimal Determination of Percentiles and Allowables: CVaR Regression Approach. A.J. Kurdila, et al (Eds) Part I. Robust Optimization-Directed Design, Vol. 81, Springer Publishers, 2006, 179-208 (download PDF file, PS file).

4.      Trindade A., and S. Uryasev. Combining Model and Test Data for Optimal Determination of Percentiles and Allowables: CVaR Regression Approach. A.J. Kurdila, et al (Eds) Part II. Robust Optimization-Directed Design, Vol. 81, Springer Publishers, 2006, 209-247 (download PDF file, PS file).

5.      Krokhmal, P., Murphey, R., Pardalos, P. and S. Uryasev. Use of Conditional Value-at-Risk in Stochastic Programs with Poorly Defined Distributions, S. Butenko et al (Eds.) Recent Developments in Cooperative Control and Optimization, Kluwer Academic Publishers, 2004, 225-243 (download PDF file).

6.      Krokhmal, P., Murphey R., Pardalos, P.,  Uryasev, S., and G. Zrazhevsky. Robust Decision Making: Addressing Uncertainties in Distributions. S. Butenko et al (Eds.) Cooperative Control: Models Applications and Algorithms. Kluwer Academic Publishers, 2003, 165-185 (download PDF file, PS file).

7.      Krokhmal, P., Uryasev, S., and G. Zrazhevsky. 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 (download PDF file, PS file).

8.      Testuri, C.E. and S. Uryasev. On Relation between Expected Regret and Conditional Value-At-Risk. Z. Rachev (Ed.) Handbook of Computational and Numerical Methods in Finance, Birkhauser, 2004, 361-373 (download PS file , PDF file).

9.      Chekhlov, A., Uryasev, S., and M. Zabarankin. Portfolio Optimization With Drawdown Constraints. B. Scherer (Ed.) Asset and Liability Management Tools, Risk Books, London, 2003 (download PDF file, PS file).

10.  H. Konno, J. Gotoh, S. Uryasev and A. Yuki. Failure Discrimination by Semi-Definite Programming. P. Pardalos and V.K. Tsitsiringos, (Eds.) Financial Engineering, e-Commerce and Supply Chain, Kluwer Academic Publishers, 2002, 379-396 (download PDF file, PS file).

11.  Zabarankin, M., Uryasev, S., and  P. Pardalos. Optimal Risk Path Algorithms. R. Murphey and P. Pardalos (Eds.) Cooperative Control and Optimization. Kluwer Academic Publishers, 2002, 273-303 (download PDF file, PS file).

12.  Uryasev, S. Optimization of Test Intervals: Applications in Nuclear Engineering.  P.M. Pardalos and M.G.C. Resende (Eds.) Handbook of Applied Optimization. Oxford University Press, 2002.

13.  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 (download PDF file, PS file).

14.  Ermoliev Yu., Uryasev, S., and J. Wessels, On Optimization of Dynamical Material Flow Systems Using Simulation. Uryasev, S. (Ed.) Probabilistic Constrained Optimization: Methodology and Applications, Kluwer Academic Publishers, 2000, 46-64 (download PDF file).

15.  Golodnikov, A., Knopov, P., Pardalos, P. and S. Uryasev. Optimization in the Space of Distribution Functions and Applications in the Bayes Analysis. Uryasev, S. (Ed.) Probabilistic Constrained Optimization: Methodology and Applications. Kluwer Academic Publishers, 2000, 102-131 (download PDF file, PS file).

16.  Pardalos, P.,  Knopov, P. S., Uryasev, S. , and A. Yatsenko. Optimal Estimation of Signal Parameters Using Bilinear Observations. In "Optimization and Related Topics". Ed. A. Rubinov, Kluwer Academic Publishers, 2000, 32-53.

17.  Uryasev, S. Derivatives of Probability and Integral Functions: General Theory and Examples. In “Encyclopedia of Optimization.” Eds. C.A. Floudas and P. M. Pardalos, Kluwer, 2000 (download PDF file, PS file).

 

Proceedings of Conferences

1.      Sarykalin,S., Serraino,G., and Uryasev, S . VaR vs CVaR in Risk Management and Optimization. Tutorials in Operations Research, INFORMS 2008 (download  PDF file ).

2.      Theiler, U.,  Bugera, V.,  Revenko, A.,  and S. Uryasev.  Regulatory Impacts on Credit Portfolio Management. Leopold-Wildburger, U., Rendl, F., Wäscher, G. (Eds.), Operations Research Proceedings 2002, Berlin, Springer  2003, 335-340. (download PDF file, PS file).

 

Technical Reports

1.      Wang C.-J., Cabrera, V. E., Uryasev, S., and C. W. Fraisse. Optimal Crop Planting Schedule and Hedging Strategy Under ENSO-based Climate Forecast. Research Report 2007-2, ISE Dept., University of Florida, February 2007 (download PDF file).

2.      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).

3.      Murphey R., Zabarankin, M. and S. Uryasev. Trajectory Optimization in a Threat Environment. Research Report 2003-9, ISE Dept., University of Florida, July 2003 (download PDF file, PS file).

4.      Rockafellar, R.T., Uryasev S. and M. Zabarankin. Deviation Measures in Generalized Linear Regression. Research Report 2002-9. ISE Dept., University of Florida, December 2002 (download PDF file, PS file).

5.      Rockafellar, R.T., Uryasev S. and M. Zabarankin. Deviation Measures in Risk Analysis and Optimization. Research Report 2002-7. ISE Dept., University of Florida, December 2002 (download PDF file, PS file).