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Expected shortfall
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61	Implemented in Portfolio Safeguard by AORDA.com Optimization of conditional value-at-risk R. Tyrrell Rockafellar Department of Applied Mathematics, University of Washington, 408 L Guggenheim Hall, Box[removed], Seattle, W Add to Reading List Source URL: www.ise.ufl.edu Language: English - Date: 2013-06-15 17:47:10 Probability theory Financial risk Convex analysis Mathematical finance Operations research Coherent risk measure Expected shortfall Convex optimization Variance Statistics Mathematical optimization Mathematical analysis
62	PORTFOLIO OPTIMIZATION WITH CONDITIONAL VALUE-AT-RISK OBJECTIVE AND CONSTRAINTS Pavlo Krokhmal1 , Jonas Palmquist2 , and Stanislav Uryasev1 Date: September 25, 2001 Correspondence should be addressed to: Stanislav Uryase Add to Reading List Source URL: www.ise.ufl.edu Language: English - Date: 2013-06-15 17:47:15 Mathematics Financial risk Operations research Convex optimization R. Tyrrell Rockafellar Expected shortfall RiskMetrics Duality Linear programming Mathematical optimization Mathematical analysis Convex analysis
63	Comparative Analysis of Linear Portfolio Rebalancing Strategies: An Application to Hedge Funds ∗ Pavlo Krokhmal, Stanislav Uryasev and Grigory Zrazhevsky Risk Management and Financial Engineering Lab Department of Indu Add to Reading List Source URL: www.ise.ufl.edu Language: English - Date: 2013-06-15 17:47:14 Mathematical finance Economics Investment Financial markets Actuarial science Drawdown Expected shortfall Hedge fund Value at risk Financial economics Financial risk Finance
64	Journal of Banking & Finance[removed]–1471 www.elsevier.com/locate/econbase Conditional value-at-risk for general loss distributions R. Tyrrell Rockafellar a, Stanislav Uryasev Add to Reading List Source URL: www.ise.ufl.edu Language: English - Date: 2013-06-15 17:47:10 Statistics Applied mathematics Mathematical sciences Expected shortfall Coherent risk measure Value at risk Variance R. Tyrrell Rockafellar Risk measure Financial risk Mathematical finance Actuarial science
65	PDF Document Add to Reading List Source URL: www.ise.ufl.edu Language: English - Date: 2013-06-15 17:47:16 Economics Finance Operations research Mathematical optimization Expected shortfall Retirement Mathematical finance Financial economics Financial risk
66	D:arankinwdown_paper_1_submission_Sherermal_formatdf.prn.pdf Add to Reading List Source URL: www.ise.ufl.edu Language: English - Date: 2013-06-15 17:47:12 Mathematical optimization Applied mathematics Financial risk Mathematical finance Drawdown Convex optimization Expected shortfall Modern portfolio theory Symbol Mathematical analysis Operations research Mathematics
67	CASH FLOW MATCHING PROBLEM WITH CVaR CONSTRAINTS: A CASE STUDY WITH PORTFOLIO SAFEGUARD Danjue Shang ∗ and Stan Uryasev † PROJECT REPORT Add to Reading List Source URL: www.ise.ufl.edu Language: English - Date: 2013-06-15 17:47:08 Immunization Economics Mathematical optimization Bond duration Bond Expected shortfall Risk Financial risk Operations research Financial economics
68	C:Documentsersge Fundsmba bookgeFunds.dvi Add to Reading List Source URL: www.ise.ufl.edu Language: English - Date: 2013-06-15 17:47:14 Mathematical finance Finance Economics Investment Drawdown Expected shortfall Financial services Hedge fund R. Tyrrell Rockafellar Financial economics Financial risk Actuarial science
69	MASTER FUNDS IN PORTFOLIO ANALYSIS WITH GENERAL DEVIATION MEASURES R. Tyrrell Rockafellar 1 , Stan Uryasev 2 , Michael Zabarankin 2 Version: July 5, 2004 Add to Reading List Source URL: www.ise.ufl.edu Language: English - Date: 2013-06-15 17:47:16 Financial economics Probability theory Mathematical sciences Actuarial science Data analysis Coherent risk measure Risk measure Standard deviation Expected shortfall Statistics Mathematical finance Financial risk
70	Buffered Probability of Exceedance and Buffered Service Level: Definitions and Properties Stan Uryasev October 14, 2014 RESEARCH REPORT #2014-3 Add to Reading List Source URL: www.ise.ufl.edu Language: English - Date: 2014-11-03 12:38:13 Mathematical sciences Expected shortfall Financial risk Mathematical finance Quantile regression Normal distribution Constructible universe R. Tyrrell Rockafellar Conditional expectation Statistics Mathematical analysis Probability theory

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