Source: https://www.ise.ufl.edu/uryasev/publications/
Timestamp: 2019-04-26 11:43:18+00:00

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See Stan Uryasev – Google Scholar Citations for the list of popular citations.
Editor Emeritus and Chairman of the Editorial Board of The Journal of Risk, IncisiveMedia, and Associate Editor of the Journal of Global Optimization, Springer .
Methodology is implemented in Portfolio Safeguard decision support system by American Optimal Decisions, Inc. (AORDA.com).
Submission to the NSF Big Idea Competition: “How to Upgrade Safety Requirements to Prevent Technological Catastrophes?” (download PDF file).
Buffered Probability of Exceedance (bPOE) Ratings for Synthetic Instruments, INFORMS 2018 (download PDF File).
Risk Management with POE, VaR, CVaR, and bPOE. Optimization Under Uncertainty and Data-Driven Science and Engineering, Duke University, 2017 (download PDF file).
VaR vs CVaR in Risk Management and Optimization. CARISMA conference, 2010 (download PDF file).
Zabarankin, M. and S. Uryasev. Statistical Decision Problems. Selected Concepts and Portfolio Safeguard Case Studies.
Optimization and Its Applications, Vol. 85, Springer, 2014.
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).
Zhang, T., Uryasev, S. and Y. Guan. Derivatives and Subderivatives of Buffered Probability of Exceedance. Operations Research Letters, 2019, 47, 130-132 (download PDF file).
Wei, X., Gotoh, J. and S. Uryasev. Peer-to-Peer Lending: Classification in Loan Application Process. Risks, 2018, (download PDF file).
Norton, M. and S. Uryasev. Maximization of AUC and Buffered AUC in binary classification. Mathematical Programming. 2018, https://doi.org/10.1007/s10107-018-1312-2 (download PDF file).
Norton, M., Mafusalov, A., and S. Uryasev. Cardinality of Upper Average and its Application to Network Optimization. SIAM Journal on Optimization, 2018, V. 28, # 2, 1726-1750 (download PDF file).
Mafusalov, A. and S. Uryasev. Buffered Probability of Exceedance: Mathematical Properties and Optimization. SIAM Journal on Optimization, 2018. 28(2), 1077-1103 (download PDF file).
Huang W.Q. and S. Uryasev. The CoCVaR Approach: Systemic Risk Contribution Measurement. Journal of Risk. V.20(4), April 2018, DOI:10.21314/JOR.2018.383, 75-93 (download PDF file).
Mafusalov, A., Shapiro, A., and S. Uryasev. Estimation and Asymptotics for Buffered Probability of Exceedance. European Journal of Operational Research, 2018, https://doi.org/10.1016/j.ejor.2018.01.021 (download PDF file).
Pavlikov, K. and S. Uryasev. CVaR distance between univariate probability distributions and approximation problems. Annals of Operations Research, 2018, DOI 10.1007/s10479-017-2732-8, 1-22 (download PDF file).
Norton, M., Mafusalov, A., and S. Uryasev. Soft Margin Support Vector Classification as Buffered Probability Minimization. Journal of Machine Learning Research, 18, 2017, 1-43 (download PDF file).
Fidan Kececi N., Kuzmenko, V., and S. Uryasev. Portfolios Dominating Indices: Optimization with Second-Order Stochastic Dominance Constraints vs. Minimum and Mean Variance Portfolios. Journal of Risk and Financial Management 9 (4), October 2016, 1-14 (download PDF file).
Shang, D., Kuzmenko, V., and S. Uryasev. Cash Flow Matching with Risks Controlled by Buffered Probability of Exceedance and Conditional Value-at-risk. Annals of Operations Research. Published Online. November 2016, 1-14 (download PDF file).
Gotoh J. and S. Uryasev. Support Vector Machines Based on Convex Risk Functions and General Norms. Annals of Operations Research. Published Online. September 2016, 1-28 (download PDF file).
Ergashev, B., Pavlikov, K., Uryasev, S., and E. Sekeris. Estimation of Truncated Data Samples in Operational Risk Modeling. Journal of Risk and Insurance, 83(3), 2016, 613–640. (download PDF file).
Huang W.-Q., Zhuang X.-T., Yao, S. and S. Uryasev. A financial network perspective of financial institutions’ systemic risk contributions. Physics A: Statistical Mechanics and its Applications. Vol. 456, 2016, 183–196. (download PDF file).
Davis J.R. and S. Uryasev. Analysis of Tropical Storm Damage using Buffered Probability of Exceedance. Natural Hazards, 2016. (download PDF file).
Mafusalov A. and S. Uryasev. CVaR (Superquantile) Norm: Stochastic Case. European Journal of Operational Research, 249, 2016, 200–208. (download PDF file).
Gotoh J. and S. Uryasev. Two Pairs of Families of Polyhedral Norms Versus Lp-Norms: Proximity and Applications in Optimization. Mathematical Programming, 2015, April 08, 1-41. (download PDF file).
Tsyurmasto, P., Zabarankin, M. and S. Uryasev. Value-at-risk Support Vector Machine: Stability to Outliers. Journal of Combinatorial Optimization, 28(1), 2014, 218–232 (download PDF file).
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. (download PDF file).
Pavlikov, K. and S. Uryasev. CVaR Norm and Applications in Optimization. Optimization Letters, 8(7), 2014, 1999–2020. (download PDF file).
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. (download PDF file).
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. (download PDF file).
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. (download PDF file).
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). (download PDF file).
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 (download PDF file).
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 (download PDF file or http://www.ybook.co.jp/online2/oppjo/vol7/p235.html).
Krokhmal, P., Zabarankin, M., and S. Uryasev. Modeling and Optimization of Risk. Surveys in Operations Research and Management Science, 16 (2), 2011, 49-66 (download PDF file).
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 (download PDF file).
Ryabchenko, V. and S. Uryasev. Pricing Energy Derivatives by Linear Programming: Tolling Agreement Contracts. Journal of Computational Finance. Vol 14, No. 3, Spring 2011 (download PDF_file).
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 (download PDF file).
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 (download PDF file).
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).
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).
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).
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).
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 (download PDF file).
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).
Rockafellar, R. T., Uryasev, S. and M. Zabarankin. Generalized Deviations in Risk Analysis. Finance and Stochastics, 10, 2006, 51-74 (download PDF 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; Cesarean Section Rate Calculator).
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).
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).
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).
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).
Uryasev, S. Conditional Value-at-Risk: Optimization Algorithms and Applications. Financial Engineering News, No. 14, February, 2000,1-5 (download PDF 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).
Fullwood, R. R., Hall, R. E., Martinez-Guridi, G., Uryasev, S. and S. G. Sampath. Relating Aviation Service Difficulty Reports to Accident Data for Safety Trend Prediction. Reliability Engineering and System Safety, 60, 1998, 83-87.
Uryasev, S. Analytic Perturbation Analysis for DEDS with Discontinuous Sample-path Functions. Stochastic Models, Vol. 13, No. 3, 1997, 457-490 (download PDF file).
Uryasev, S. and P. Samanta. Failure-Dependent Test, Repair, and Shutdown Strategies: Reducing the Impact of Common-Cause Failures. Nuclear Technology, Vol. 116, No. 3, 1996, 245-256.
Uryasev, S. Derivatives of Probability Functions and Some Applications. Annals of Operations Research, 1995, Vol. 56, 287-311 (download PDF file).
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. (download PDF file).
Vesely, W. E., Uryasev, S. and P. Samanta. Failure of Emergency Diesel Generators: A Population Analysis Using Empirical Bayes Methods. Reliability Engineering & Systems Safety, 46, 1994, 221-229.
Uryasev, S. and H. Vallerga. Optimization of Test Strategies – A General Approach. Reliability Engineering & Systems Safety, 41,1993, 155-165.
Uryasev, S. A Stochastic Quasi-Gradient Algorithm with Variable Metric. Annals of Operations Research. 39, 1992, 251-267 (download PDF file).
Uryasev, S. New Variable-Metric Algorithms for Nondifferential Optimization Problems. J. of Optim. Theory and Applic. Vol. 71, No. 2, 1991, 359-388 (download PDF file). 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.
Uryasev, S. A Differentiation Formula for Integrals over Sets Given by Inclusion. Numerical Functional Analysis and Optimization, 10 (7 & 8), 1989, 827-841.
Uryasev, S. On the Anti-Monotonicity of Differential Mappings Connected with General Equilibrium Problem, Optimization. Journal of Mathematical Programming and Operations Research, (Berlin), 19, No. 5, 1988, 693-709.
Uryasev, S. Differentiability of an Integral Over a Set Defined by Inclusion. Kibernetika (Kiev), 5, 1988,83-86 (in Russian). Cybernetics, v.24, 5, 1988, 638-642 (in English).
Uryasev, S. Conditions for the Convergence of Nonlinear Programming Algorithms., Kibernetika, Kiev, 4, (1986), 103-104 (in Russian) .
Uryasev, S. The Method of Simple Iterations for the Solution of Inclusion for Multivalued Mappings. Kibernetika, Kiev, 6, (1985), 115-116 (in Russian).
Uryasev, S. and Sokirko S. Algorithm for Minimization of Quasi-Differentiable Functions. Kibernetika, Kiev, 4, (1985), 112-113 (in Russian) .
Nurminski, E. A. and S. Uryasev. Difference of Convex Sets. Reports of Ukrainian Academy of Sciences, Ser. A, 1, 1985, 62-65 (in Ukrainian) (download PDF file).
Uryasev, S. The Arrow-Hurwicz Algorithm with Adaptive Regularisable Step Multipliers. Operations Research and AMS, Kiev, 24, 1984, 3-11(in Russian).
Uryasev, S. and M. M. Zakhvatkin. A Modification of the Arrow-Hurwicz Algorithm for Search of Saddle Points. Operations Research and AMS, Kiev, 21, 1983, 16-20 (in Russian).
Mirzoakhmedov F. and S. Uryasev. Adaptive Step Adjustment for a Stochastic Optimization Algorithm. Zhurn. vych. mat. i mat. fiziki, 6, 1983, 1314-1325 (in Russian), USSR Computational Mathematics and Mathematical Physics, Vol. 23, 6, 1983, 20-27 (in English) (download PDF file).
Ermoliev, Yu. M. and S. Uryasev. Nash Equilibrium in N-Person Games. Kibernetika(Kiev), 3, 1982, 85-88(in Russian). Cybernetics, v.18, 3, 1982, 367-372 (in English).
Uryasev, S. On Step Size Adjustment in Limiting Extremum Problems. Kibernetika (Kiev), 1, 1981, 105-108 (in Russian), Cybernetics, v.17, 1, 1981, 117-121 (in English).
Uryasev, S. Step Control for Direct Stochastic Programming Methods. Kibernetika (Kiev), 6, 85-87 (in Russian), Cybernetics, v.16, 6, 1980, 886-890 (in English).
Efremov, I. I. and S. Uryasev. Application of the Methods of Gradient Type with Smoothing to the Problem of Cavitation Flow around Thin Profiles. Reports of Ukrainian Academy of Sciences, Ser. A, #11, 1980, 40-43 (in Russian).
Uryasev, S. On Step Size Adjustment for an E-Subgradient Method. Behavior of System in Random Media. Kiev, Institute of Cybernetics, (1979), 76-84 (in Russian).
Uryasev, S. Regression Models in Risk Management. A.N. Akansu, S.R. Kulkarni, D.M. Malioutov (Eds.), Financial Signal Processing and Machine Learning, Wiley-IEEE Press, 2016, (download PDF file).
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 (download PDF file).
Springer Proceedings in Mathematics & Statistics, 2015, 393-413. (download PDF file).
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 (download PDF file).
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 (download PDF file).
Krokhmal, P., Zabarankin, M. and S. Uryasev. Modeling and Optimization of Risk. L.C. MacLean, W.T. Ziemba (Eds.), Handbook of the Fundamentals of Financial Decision Making, World Scientific, 2013, 555-600.
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).
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).
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).
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).
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 (download PDF file).
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 PDF file).
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).
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).
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).
Larsen, N., Mausser, H. and S. Uryasev. Algorithms for Optimization of Value-At-Risk. Pardalos, P. and V. Tsitsiringos (Eds.), Financial Engineering, E-commerce and Supply Chain, 2002, 19-46. (download PDF file).
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).
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).
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.
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).
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).
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. KluwerAcademic Publishers, 2000, 102-131 (download PDF file).
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.
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).
Uryasev, S. New Derivative Formulas for Integral and Probability Functions: Parallel Computations. In “High Performance Algorithms and Software in Nonlinear Optimization”. Eds. R. D. Leone, et al., Kluwer, 1998, 349-358.
Rubinstein, R.Y., Shapiro S., and S. Uryasev. The Score Functions. In: “Encyclopedia of Operations Research and Management Science”. Eds. S. I. Gass and C. M. Harris, Kluwer Academic Publishers, Boston/Dordrecht/London, 1996, 614-617.
Uryasev, S., Samanta P. and W. E. Vesely. Issues and Approaches in Risk Based Aging Analyses of Passive Components. In: “Safety Engineering and Risk Analysis”. Ed. D. Pyatt, American Society of Mechanical Engineers, United Engineering Center, NY, Vol. 2, 1994, 21-32.
Uryasev, S. Adaptive Stochastic Quasi-Gradient Methods. In: “Numerical Techniques for Stochastic Optimization”, Eds. Yu.Ermoliev and R. J-B Wets, Springer Series in Computational Mathematics 10, 1988, 373-384 (download PDF file).
Uryasev, S. Adaptive Algorithms with Variable Metric for Different Problem Classes. In: “Numerical Methods of Optimization”, Tallinn, 1988, 7-14.
Zhang, Yu., Kaber, D., Uryasev, S. and A. Zrazhevsky. “Fitting Data”: A Case Study on Effective Driver Distraction State Classification. WCX SAE World Congress 2019, 1-8 (download PDF file).
Pertaia, G., Uryasev, S. Buffered Probability of Exceedance (bPOE) Ratings for Synthetic Instruments. INFORMS Conference on Service Science (CSS) 2018 (download PDF file).
Sarykalin,S., Serraino,G., and Uryasev, S . VaR vs CVaR in Risk Management and Optimization. Tutorials in Operations Research, INFORMS 2008 (download PDF file ).
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).
Fullwood, R. R., Hall, R. E., Martinez-Guridi, G., Uryasev, S. and S. G. Sampath. Relating Aviation Service Difficulty Reports to Accident Data for Safety Trend Prediction. Proc. International Topical Meeting on Probabilistic Safety Assessment, Park City, Utah, Vol. II, 1996, 813-817.
Uryasev, S. New Formulas for the Derivatives of Integrals and Application to a Shut Down Problem. Proc. International Conference on Mathematics and Computations, Reactor Physics, and Environmental Analyses, Portland, Oregon, American Nuclear Society, 1995, 689-698.
Uryasev, S., and P. Samanta. Analysis of Failure Dependent Test, Repair and Shutdown Strategies for Redundant Trains. Proc. International Conference on Mathematics and Computations, Reactor Physics, and Environmental Analyses, Portland, Oregon, American Nuclear Society, 1995, 671-678.
Uryasev, S. Analytic Perturbation Analysis of Discrete Event Dynamic Systems. Proc. Fourth International Conference on Computer Integrated Manufacturing & Automated Technology, Troy, NY, IEEE Computer Society Press, 1994, 397-402.
Vesely, W. E., Uryasev, S., and P. Samanta. Analysis of Reliability Characteristics of an Emergency Diesel Generator Population Using Empirical Bayes Methods. Proceedings of International Probabilistic Safety Assessment and Management II Conference, San Diego, California, Vol.1, 1993, 13-18.
Hassan, M., Uryasev, S. and W. E. Vesely. Sensitivity and Uncertainty Analyses in Aging Risk Based Prioritization. Proceedings of International Probabilistic Safety Assessment and Management II Conference, San Diego, California, Vol. 2, 1994, 1-6.
Uryasev, S. On Optimization of Test Strategies. Proceedings of Probabilistic Safety Assessment International Topical Meeting, Clearwater Beach, Florida, Vol. 1, 1993, 647 653.
Pulkkinen, U. and S. Uryasev. Optimal Operational Strategies for an Inspected Component. Proc. of European Safety and Reliability Conference 92, Copenhagen, (June, 1992).
Uryasev, S. Optimal Operational Strategies for an Inspected Component. Proc. of International Symposium on the Use of Probabilistic Safety Assessment for Operational Safety, PSA 91, International Atomic Energy Agency, Vienna, Austria, 1992, 202-217.
Uryasev, S. Adaptive Variable Metric Algorithms for Nondifferentiable Optimization Problems. In: “Analysis and Optimization of Systems”. Proc. of 9th International Conference. Eds. A. Bensoussan and J. L. Lions, Antibies, Springer-Verlag, 1990, 432-441.
Sanblom, C.L. and S. Uryasev. Direct Gradient Approach for Optimizing Smooth, Nonsmooth and Stochastic Dynamic Economic Systems. In: “Dynamic Modeling and Control of National Economies”. Eds. Christodoulakis, N. M. (6th IFAC Symposium, Edinburg, UK), 1989, 139-143.
Uryasev, S. On Adaptive Parameters Control in Stochastic Gradient Algorithms. Proceedings of II IFAC Symposium on Stochastic Control, Vilnius, Lithuania, 1986, 83-87.
Uryasev, S. Adaptive Control of Parameters in Gradient Algorithms for Stochastic Optimizations. In: “Stochastic Optimization”. Proceedings of the International Conference. Eds. Arkin, V. A., Shiraev, A., and R. Wets, Kiev, 1984. Lecture Notes in Control and Information Sciences, Springer Verlag, Berlin, Vol. 81, 1986, 591-601.
Samanta, P., Uryasev, S., and J. W. Yang, Technical Evaluation of W Analysis of Changes in RPS and ESFAS Test Time and Completion Time, Technical Evaluation Report, U.S. Nuclear Regulatory Commission, JCN J2232, Task 2, 1997, 1-108.
Lofgren, E., Uryasev, S. and P. Samanta, Technical Specification Defenses Against Common-Cause Failures, NUREG/CR-6140, U.S. Nuclear Regulatory Commission, BNL-NUREG-52397, 1994, 1-76.
Samanta, P., Kim, I., Uryasev, S., Penojar J. and W.E. Vesely, Emergency Diesel Generator: Maintenance and Failure Unavailability, and their Risk Impacts, NUREG/CR-5994, U.S. Nuclear Regulatory Commission, 1994, 1-102.
G. Pertaia, M. Lane, M. Murphy and S. Uryasev. Optimal Allocation of Retirement Portfolios. Research Report 2019-1, ISE Dept., University of Florida, January 2019. (download PDF file).
G. Pertaia, S. Uryasev and A. Prokhorov. A New Approach to Credit Ratings. Research Report 2018-1, ISE Dept., University of Florida, October 2018. (download PDF file).
G. Pertaia and S. Uryasev. Fitting Mixture Models with CVaR Constraints. Research Report 2017-1, ISE Dept., University of Florida, July 2017. (download PDF file).
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. (download PDF file).
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. (download PDF file).
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. (download PDF file).
Norton, M. and S. Uryasev. Maximization of AUC and Buffered AUC in Classification. Research Report 2014-2, ISE Dept., University of Florida, October 2014. (download PDF file).
Uryasev S. Buffered Probability of Exceedance and Buffered Service Level: Definitions and Properties. Research Report 2014-3, ISE Dept., University of Florida, October 2014. (download PDF file).
Mafusalov, A. and S. Uryasev. Buffered Probability of Exceedance: Mathematical Properties and Optimization. Research Report 2014-1, ISE Dept., University of Florida, October 2014. (download PDF file).
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. (download PDF file).
Mafusalov, A. and S. Uryasev. Conditional Value-at-Risk (CVaR) Norm: Stochastic Case. Research Report 2013-5, ISE Dept., University of Florida, August 2014. (download PDF file).
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. (download PDF file).
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. (download PDF file).
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 (download PDF file).
Shang, D. and S. Uryasev. Cash Flow Matching Problem with CVaR Constraints: a Case Study with Portfolio Safeguard. Research Report 2011-1, ISE Dept., University of Florida, January 2011 (download PDF file).
Uryasev, S.(with Ermoliev Yu. and Wessels J.)On Optimization of Dynamical Material Flow Systems Using Simulation., International Institute for Applied Systems Analysis, Laxenburg, Austria,Report WP-92-76, 1992, 28 p.
Uryasev, S.(with Pulkkinen, U.) Optimal Operational Strategies for an Inspected Component – Solution Techniques. International Institute for Applied Systems Analysis, Laxenburg, Austria,Report CP-91-13, 1991, 16 p.
Uryasev, S.(with Pulkkinen, U.) Optimal Operational Strategies for an Inspected Component – Statement of the Problem.International Institute for Applied Systems Analysis, Laxenburg,Austria, Report WP-90-62, 1990, 22 p.
Uryasev, S.(with Schopp, W.) On the Optimization Model for Acid Loads on Forest Soils. InternationalInstitute for Applied Systems Analysis, Laxenburg, Austria, Report WP-90-30, 1990.
Uryasev, S.Adaptive Variable Metric Algorithms for Generalized Equations. International Institute forApplied Systems Analysis, Laxenburg, Austria, Report WP-88-107, 1988, 21 p.
Uryasev, S.(with Kutliev, G.K.).Parameters Calculation of Solar- and Wind-Electric Water Lifting Systems. International Institute for Applied Systems Analysis, Laxenburg, Austria, ReportWP-87-7, 1987, 16 p.

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