IMPLEMENTATION
AND SELECTED PUBLICATIONS
Implementation
- Methodology is implemented
in Portfolio Safeguard
decision support system by American
Optimal Decisions, Inc. (AOrDa.com).
Books
- Uryasev, S. (Ed.)
Probabilistic Constrained Optimization: Methodology and Applications.
Kluwer Academic Publishers, 2000, 307 p. (Preface and
contents can be
downloaded).
- Uryasev, S. and P. M.
Pardalos (Eds.) Stochastic Optimization: Algorithms and Applications.
Kluwer Academic Publishers, 2001, 435 p. (Preface and contents can be downloaded).
- Uryasev, S. Adaptive
Algorithms of Stochastic Optimization and Game Theory. Nauka, Moscow,
1990, 182 p. (in Russian).
Papers in Refereed Journals
- Rockafellar, R.T., Uryasev
S. and M. Zabarankin. Risk Tuning With Generalized Linear Regression.
Mathematics of Operations Research. Accepted for Publication, (2008)
(download PDF file).
- 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. Accepted for Publication, (2008)
(download PDF file).
- Lim, C., Sherali, H., and
Stan Uryasev. Portfolio Optimization by Minimizing Conditional Value-at-Risk
via Nondifferentiable Optimization. Computational Optimization and
Applications, published online,
2008 (download PDF
file).
- 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).
- 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).
- 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).
- 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).
- 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).
- 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).
- 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).
- 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).
- 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).
- 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).
- 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).
- 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).
- 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).
- 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).
- 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).
- 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).
- 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).
- 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).
- 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).
- 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).
- 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).
- 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).
- 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 )
- 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).
- 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).
- Uryasev, S. Conditional
Value-at-Risk: Optimization Algorithms and Applications. Financial
Engineering News, No. 14, February, 2000,1-5 (download PDF file, PS file).
- 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).
- Kibzun A.I. and S. Uryasev.
Differentiability of Probability Functions. Stochastic Analysis and Applications.
16(6),1998, 1101-1128.
- Uryasev, S. Analytic
Perturbation Analysis for DEDS with Discontinuous Sample-path Functions.
Stochastic Models. Vol. 13, No. 3, 1997 (download PDF file, PS file).
- Uryasev, S. Derivatives of
Probability Functions and Some Applications. Annals of Operations
Research, 1995, V56, 287-311 (download PDF file, PS file).
- Uryasev, S. Derivatives of
Probability Functions and Integrals over Sets Given by Inequalities. J.
Computational and Applied Mathematics, Vol. 56, 1994,197-223.
- 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.
- Uryasev, S. A Stochastic
Quasi-Gradient Algorithm with Variable Metric. Annals of Operations
Research, 39, 1992, 251-267.
- 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.
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).