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R. Tyrrell Rockafellar
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11	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
12	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
13	THE FUNDAMENTAL RISK QUADRANGLE IN RISK MANAGEMENT, OPTIMIZATION AND STATISTICAL ESTIMATION1 R. Tyrrell Rockafellar,2 Stan Uryasev 3 Abstract Add to Reading List Source URL: www.ise.ufl.edu Language: English - Date: 2013-06-15 17:51:44 Data analysis Actuarial science Covariance and correlation Normal distribution Quantile regression Standard deviation Variance Risk measure Linear regression Statistics Regression analysis Econometrics
14	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
15	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
16	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
17	The Journal of Risk (45–70) Volume 15/Number 1, Fall 2012 Calibrating risk preferences with the generalized capital asset pricing model based Add to Reading List Source URL: www.ise.ufl.edu Language: English - Date: 2013-06-15 17:51:05 Finance Capital asset pricing model Expected shortfall Modern portfolio theory Beta Standard deviation Risk-neutral measure R. Tyrrell Rockafellar Absolute deviation Mathematical finance Statistics Financial economics
18	Support Vector Machines Based on Convex Risk Functionals and General Norms Jun-ya Gotoh, Stan Uryasev Add to Reading List Source URL: www.ise.ufl.edu Language: English - Date: 2014-03-24 17:03:58 Convex analysis Convex optimization Lp space Convex function Support vector machine Vector space Empirical risk minimization Functional R. Tyrrell Rockafellar Algebra Mathematics Mathematical analysis
19	doi:[removed]j.jbankfin[removed] Add to Reading List Source URL: www.ise.ufl.edu Language: English - Date: 2013-06-15 17:47:12 Economics Financial risk Investment Data analysis Standard deviation Modern portfolio theory Capital asset pricing model Absolute deviation R. Tyrrell Rockafellar Statistics Financial economics Mathematical finance
20	Chapter 1 Networks in Finance Anna Nagurney Department of Finance and Operations Management Isenberg School of Management Add to Reading List Source URL: supernet.isenberg.umass.edu Language: English - Date: 2008-07-06 08:22:55 Science Operations research Financial risk Mathematical optimization Projected dynamical system Diversification Quantitative analyst R. Tyrrell Rockafellar Portfolio optimization Financial economics Investment Economics