Source: http://www.aorda.com/index.php/methodology/
Timestamp: 2019-04-21 04:07:26+00:00

Document:
We employ state-of-the-art approaches in risk management and optimization. Here we refer relevant papers used for building numerical algorithms (some of these papers can be downloaded from Prof. Uryasev webpage).
Huang W.-Q., Zhuang X.-T., Yao, S. and S. Uryasev. A financial network perspective of financial institutions’ systemic risk contributions. Physica A: Statistical Mechanics and its Applications. Vol. 456, 2016, 183–196.
Davis J.R. and S. Uryasev. Analysis of Tropical Storm Damage using Buffered Probability of Exceedance. Natural Hazards, 2016.
Mafusalov A. and S. Uryasev. CVaR (Superquantile) Norm: Stochastic Case. European Journal of Operational Research, 249, 2016, 200–208.
Fidan Keçeci, N., Kuzmenko, V., and S. Uryasev. Portfolio Optimization with the Second-Order Stochastic Dominance Constraints and Portfolios Dominating Indices. Doumpos M., Zopounidis C., Grigoroudis E. (Eds.), Robustness Analysis in Decision Aiding, Optimization, and Analytics, Springer International Series in Operations Research & Management Science, 2016, accepted for publication.
Pavlikov, K. and S. Uryasev. CVaR Norm and Applications in Optimization. Optimization Letters, 2014, 1-22.
Mafusalov, A. and S. Uryasev. Buffered Probability of Exceedance: Mathematical Properties and Optimization Algorithms. Research Report 2014-1, ISE Dept., University of Florida, October 2014.
Mafusalov, A. and S. Uryasev. Conditional Value-at-Risk (CVaR) Norm: Stochastic Case. Research Report 2014-8, ISE Dept., University of Florida, August 2014.
Chun S.Y., Shapiro A., and S. Uryasev. Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics. Operations Research, 60(4), 2012, 739-756.
Shang, D., Kuzmenko, V., and S. Uryasev. Cash Flow Matching With Risks Controlled by bPOE and CVaR. Research Report 2015-3, ISE Dept., University of Florida, September 2015.
Uryasev, S., Theiler, U. and G. Serraino. Risk Return Optimization with Different Risk Aggregation Strategies. Journal of Risk Finance. Vol. 11, No. 2, 2010, 129-146.
Sarykalin,S., Serraino,G., and Uryasev, S . VaR vs CVaR in Risk Management and Optimization. Tutorials in Operations Research, INFORMS 2008.
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.
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.
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, KluwerAcademic Publishers, 2004, 225-243.
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.
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.
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.
Rockafellar R.T. and S. Uryasev. Conditional Value-at-Risk for General Loss Distributions. Journal of Banking and Finance, 26/7, 2002, 1443-1471.
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.
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.
Rockafellar, R.T. and S. Uryasev. Optimization of Conditional Value-At-Risk. The Journal of Risk, Vol. 2, No. 3, 2000, 21-41.
Uryasev, S. Conditional Value-at-Risk: Optimization Algorithms and Applications. Financial Engineering News, No. 14, February, 2000,1-5.
Rockafellar R.T. and S. Uryasev. The Fundamental Risk Quadrangle in Risk Management, Optimization, and Statistical Estimation. Surveys in Operations Research and Management Science, 18, 2013.
Kalinchenko, K., Uryasev, S., and R.T. Rockafellar. Calibrating Risk Preferences with Generalized CAPM Based on Mixed CVaR Deviation. The Journal of Risk (Published Online), 15(1), 2012, 45-70.
Krokhmal, P., Zabarankin, M., and S. Uryasev. Modeling and Optimization of Risk. Surveys in Operations Research and Management Science, 16 (2), 2011, 49-66.
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.
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.
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.
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.
Rockafellar, R. T., Uryasev, S. and M. Zabarankin. Generalized Deviations in Risk Analysis. Finance and Stochastics, 10, 2006, 51-74.
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.
Norton, M., Mafusalov, A., and S. Uryasev. Soft Margin Support Vector Classification as Buffered Probability Minimization. Research Report 2015-2, ISE Dept., University of Florida, August 2015.
Pavlikov K. and S. Uryasev. CVaR Distance between Univariate Probability Distributions and Approximation Problems. Research Report 2015-6, ISE Dept., University of Florida, September 2015.
Mafusalov, A., Shapiro, A., and S. Uryasev. Estimation and Asymptotics for Buffered Probability of Exceedance. Research Report 2015-5, ISE Dept., University of Florida, October 2015.
Ergashev, B., Pavlikov, K., Uryasev, S., and E. Sekeris. Estimation of Truncated Data Samples in Operational Risk Modeling. Journal of Risk and Insurance, 2015.
Norton, M. and S. Uryasev. Maximization of AUC and Buffered AUC in Classification. Research Report 2014-2, ISE Dept., University of Florida, October 2014.
Boyko, N., Karamemis, G. , Kuzmenko V., and S. Uryasev. Sparse Signal Reconstruction: LASSO and Cardinality Approaches. C. Vogiatzis, J. Walteros, P. Pardalos, et al (Eds) Dynamics of Information Systems – Computational and Mathematical Challenges. Springer Publishers, 2014.
Veremyev A., Tsyurmasto P., Uryasev S. and R.T. Rockafellar. Calibrating Probability Distributions with Convex-Concave-Convex Functions: Application to CDO Pricing. Computational Management Science, 2013, 1-24.
Gotoh, J. and S. Uryasev. Support Vector Machines Based on Convex Risk Functionals and General Norms. Research Report 2013-6, ISE Dept., University of Florida, March 2014.
Tsyurmasto, P., S. Uryasev, and J. Gotoh. Support Vector Classification with Positive Homogeneous Risk Functionals. Research Report 2013-4, ISE Dept., University of Florida, September 2013.
Gotoh, J. and S. Uryasev. Two Pairs of Families of Polyhedral Norms Versus lp-Norms: Proximity and Applications in Optimization. Research Report 2013-3, ISE Dept., University of Florida, May 2013.
Tsyurmasto, P., Zabarankin, M., and S. Uryasev. Value-at-Risk Support Vector Machine: Stability to Outliers. Research Report 2013-2, ISE Dept., University of Florida, April 2013.
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.
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.
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.
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.
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.
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.
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.
Trindade A., Uryasev, S. Shapiro, A. and G. Zrazhevsky. Financial Prediction with Constrained Tail Risk. Journal of Baking and Finance, accepted for publication, 2006.
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.
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.
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.
Bugera, V., Uryasev, S. and G. Zrajevsky. Classification Using Optimization: Application to Credit Ratings of Bonds. Research Report 2003-14. ISE Dept., University of Florida, September 2003.
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.
Konno, H. Gotoh, J., Uryasev, S. 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.
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.
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.
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.
Uryasev, S. Derivatives of Probability Functions and Some Applications. Annals of Operations Research, 1995, V56, 287-311.
Uryasev, S. Derivatives of Probability Functions and Integrals over Sets Given by Inequalities. J. Computational and Applied Mathematics, Vol. 56, 1994,197-223.
Zabarankin M., Pavlikov K. and S. Uryasev. Capital Asset Pricing Model (CAPM) with Drawdown Measure. European Journal of Operational Research, 234(2), 2014, 508–517.
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.
Chekhlov, A., Uryasev, S., and M. Zabarankin. Portfolio Optimization with Drawdown Constraints. B. Scherer (Ed.) Asset and Liability Management Tools, Risk Books, London, 2003.
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.
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.
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.
Veremyev, A., Tsyurmasto, P., and S. Uryasev. Optimal Structuring of CDO contracts: Optimization Approach. Journal of Credit Risk, 8(4), Winter 2012/13, (133–155).
Ryabchenko, V. and S. Uryasev. Pricing Energy Derivatives by Linear Programming: Tolling Agreement Contracts. Journal of Computational Finance. Vol 14, No. 3, Spring 2011.
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.
Krokhmal P. and S. Uryasev. A Sample-Path Approach to Optimal Position Liquidation. Annals of Operations Research, Published Online, November, 2006, 1-33.
Butenko, S., Golodnikov, A. and S. Uryasev, Optimal Security Liquidation Algorithms. Computational Optimization and Applications, V. 32, #1-2, 2005, 9–27.
Norton, M., Mafusalov, A., and S. Uryasev. Cardinality of Upper Average and Application to Network Optimization. Research Report 2015-1, ISE Dept., University of Florida, July 2015.
Pavlikov, K., Hearn, D., and S. Uryasev. The Golf Director Problem: Forming Teams for Club Golf Competitions. V. Zamaraev and P. Pardalos (Eds) Social Networks and the Economics of Sports. Springer International Publishers, 2014.
Uryasev S. Buffered Probability of Exceedance and Buffered Service Level: Definitions and Properties. Research Report 2014-3, ISE Dept., University of Florida, October 2014.
Kalinchenko, K., Veremyev, A., Boginski, V., Jeffcoat, D.E. and S. Uryasev. Robust Connectivity Issues in Dynamic Sensor Networks for Area Surveillance under Uncertainty. Pacific Journal of Optimization (Online Journal). 7(2), 2011, 235-248.
Ait-Sahlia, F. Wang, C-J., Cabrera, V., Uryasev S., and C. Fraisse. Optimal Crop Planting Schedules and Financial Hedging Strategies Under ENSO-based Climate Forecasts. Annals of Operations Research, 2011; published online 2009.
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. Published online December 2009.
Sorokin, A., Boyko, N., Boginski, V., Uryasev, S., and P. Pardalos. Mathematical Programming Techniques for Sensor Networks. Algorithms, No. 2, 2009, 565-581.
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.
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.
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.

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