← All authors Stan Uryasev Stony Brook University (from arXiv:2301.13843, 2023) · ORCID · OpenAlex
47 papers in scope · 46 published · 1 on the econ.EM arXiv · 12,256 citations · h-index 18 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Jesús Gonzalo Liang Chen Alfred Galichon Iván Fernández-Val Xinbing Kong Yongxin Liu Long Yu Maximilian Schröder Victor Chernozhukov Zhe Sun Dimitris Korobilis Yundong Tu Xiao Huang Peng Cheng Tomohiro Ando Junlong Feng Mingli Chen Kunpeng Li Anthoulla Phella Ruofan Xu Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (1 of 47)
Mixture quantiles estimated by constrained linear regression
published 2026 · Annals of Operations Research · 1 citations
Error control and Neyman–Pearson classification with buffered probability and support vectors
published 2025 · 1 citations
with Matthew Norton, Lie-Shu Chiang
Expectile risk quadrangles and applications
published 2024 · The Journal of Risk · 1 citations
with Anton Malandii, V. M. Kuz’menko
Efficient and robust optimal design for quantile regression based on linear programming
published 2023 · Computational Statistics & Data Analysis · 2 citations
with Peng Cheng, Drew Kouri
Derivative of Reduced Cumulative Distribution Function and Applications
published 2023 · Journal of risk and financial management · 1 citations · first circulated 2022
with Kevin Maritato
working paper 2023 · arXiv
Classification and severity progression measure of COVID-19 patients using pairs of multi-omic factors
published 2022 · Journal of Applied Statistics · 2 citations
with Teng Chen, Paweł Polak
Drawdown beta and portfolio optimization
published 2022 · Quantitative Finance · 15 citations
with Rui Ding
Optimal Allocation of Retirement Portfolios
published 2022 · Journal of risk and financial management · 1 citations
with Kevin Maritato, Morton Lane, Matthew J. Murphy
A new approach to credit ratings
published 2021 · Journal of Banking & Finance · 26 citations
CoCDaR and mCoCDaR: New Approach for Measurement of Systemic Risk Contributions
published 2020 · Journal of risk and financial management · 4 citations
with Rui Ding
Checkerboard copula defined by sums of random variables
published 2020 · Dependence Modeling · 6 citations
with V. M. Kuz’menko, Romel Salam
CVaR Regression Based on the Relation between CVaR and Mixed-Quantile Quadrangles
published 2019 · Journal of risk and financial management · 18 citations
with A. N. Golodnikov, V. M. Kuz’menko
Fitting heavy-tailed mixture models with CVaR constraints
published 2019 · Dependence Modeling · 1 citations
with Giorgi Pertaia
Peer-To-Peer Lending: Classification in the Loan Application Process
published 2018 · Risks · 9 citations
Estimation and asymptotics for buffered probability of exceedance
published 2018 · European Journal of Operational Research · 18 citations
with Alexander Mafusalov, Alexander Shapiro
The CoCVaR approach: systemic risk contribution measurement
published 2018 · The Journal of Risk · 13 citations
with Wei-Qiang Huang
Soft Margin Support Vector Classification as Buffered Probability Minimization
published 2017 · Journal of Machine Learning Research · 17 citations
with Matthew Norton, Alexander Mafusalov
no link
Portfolios Dominating Indices: Optimization with Second-Order Stochastic Dominance Constraints vs. Minimum and Mean Variance Portfolios
published 2016 · Journal of risk and financial management · 13 citations
with Neslihan Fidan Keçeci, V. M. Kuz’menko
A financial network perspective of financial institutions’ systemic risk contributions
published 2016 · Physica A Statistical Mechanics and its Applications · 86 citations
with Wei-Qiang Huang, Zhuang Xin-tian, Shuang Yao
CVaR (superquantile) norm: Stochastic case
published 2015 · European Journal of Operational Research · 20 citations
with Alexander Mafusalov
Estimation of Truncated Data Samples in Operational Risk Modeling
published 2015 · Journal of Risk & Insurance · 13 citations · first circulated 2012
with Bakhodir Ergashev, Konstantin Pavlikov, Evangelos Sékeris
Advanced Statistical Tools for Modelling of Composition and Processing Parameters for Alloy Development
published 2015 · Springer proceedings in mathematics & statistics · 3 citations
with Greg Zrazhevsky, A. N. Golodnikov, Alex Zrazhevsky
Sparse Signal Reconstruction: LASSO and Cardinality Approaches
published 2014 · Springer proceedings in mathematics & statistics · 6 citations
with Nikita Boyko, Gulver Karamemis, V. M. Kuz’menko
Calibrating probability distributions with convex-concave-convex functions: application to CDO pricing
published 2013 · Computational Management Science · 2 citations
with Alexander Veremyev, Peter Tsyurmasto, R. T. Rockafellar
Capital Asset Pricing Model (CAPM) with drawdown measure
published 2013 · European Journal of Operational Research · 97 citations
with Michael Zabarankin, Konstantin Pavlikov
Optimal structuring of collateralized debt obligation contracts: an optimization approach
published 2012 · The Journal of Credit Risk · 6 citations
with Alexander Veremyev, Peter Tsyurmasto
Calibrating risk preferences with the generalized capital asset pricing model based on mixed conditional value-at-risk deviation
published 2012 · The Journal of Risk · 23 citations
with Konstantin Kalinchenko, R. T. Rockafellar
Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics
published 2012 · Operations Research · 62 citations · first circulated 2011
with So Yeon Chun, Alexander Shapiro
Pricing Energy Derivatives by Linear Programming: Tolling Agreement Contracts
published 2011 · The Journal of Computational Finance · 9 citations
with Valeriy Ryabchenko
Mathematical Programming Techniques for Sensor Networks
published 2009 · Algorithms · 21 citations
with Alexey V. Sorokin, Nikita Boyko, Vladimir Boginski, Pãnos M. Pardalos
Efficient execution in the secondary mortgage market: a stochastic optimization model using CVaR constraints
published 2007 · The Journal of Risk · 4 citations
with Chung-Jui Wang
Financial prediction with constrained tail risk
published 2007 · Journal of Banking & Finance · 73 citations
with A. Alexandre Trindade, Alexander Shapiro, Grigory Zrazhevsky
Equilibrium with investors using a diversity of deviation measures
published 2007 · Journal of Banking & Finance · 56 citations · first circulated 2005
with R. T. Rockafellar, Michael Zabarankin
Generalized deviations in risk analysis
published 2005 · Finance and Stochastics · 575 citations · first circulated 2004
with R. T. Rockafellar, Michael Zabarankin
Risk management and optimization in finance
published 2005 · Journal of Banking & Finance · 2 citations
with Pavlo Krokhmal, R. T. Rockafellar
DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
published 2005 · International Journal of Theoretical and Applied Finance · 330 citations · first circulated 2003
with Alexei Chekhlov, Michael Zabarankin
Pricing European Options by Numerical Replication: Quadratic Programming with Constraints
published 2004 · Asia-Pacific Financial Markets · 2 citations
with Valeriy Ryabchenko, Sergey Sarykalin
Conditional value-at-risk for general loss distributions
published 2002 · Journal of Banking & Finance · 3685 citations · first circulated 2001
with R. T. Rockafellar
Credit cards scoring with quadratic utility functions
published 2002 · Journal of Multi-Criteria Decision Analysis · 42 citations
with Vladimir Bugera, Hiroshi Konno
Optimization of conditional value-at-risk
published 2000 · The Journal of Risk · 6532 citations
with R. T. Rockafellar
Relaxation algorithms to find Nash equilibria with economic applications
published 2000 · Environmental Modeling & Assessment · 198 citations
with Jacek B. Krawczyk
Differentiability of probability function
published 1998 · Stochastic Analysis and Applications · 37 citations
with A. I. Kibzun
Derivatives of probability functions and integrals over sets given by inequalities
published 1994 · Journal of Computational and Applied Mathematics · 58 citations
On relaxation algorithms in computation of noncooperative equilibria
published 1994 · IEEE Transactions on Automatic Control · 152 citations
with R.Y. Rubinstein
Adaptive step adjustment for a stochastic optimization algorithm
published 1983 · USSR Computational Mathematics and Mathematical Physics · 3 citations
with Ф. Мирзоахмедов
Nash equilibrium in n-person games
published 1983 · Cybernetics and Systems Analysis · 10 citations
with Yu. M. Ermol’ev
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