Rockafellar, R. Tyrrell; Uryasev, Stan Minimizing buffered probability of exceedance by progressive hedging. (English) Zbl 1440.90036 Math. Program. 181, No. 2 (B), 453-472 (2020). MSC: 90C15 PDFBibTeX XMLCite \textit{R. T. Rockafellar} and \textit{S. Uryasev}, Math. Program. 181, No. 2 (B), 453--472 (2020; Zbl 1440.90036) Full Text: DOI
Veremyev, Alexander; Tsyurmasto, Peter; Uryasev, Stan; Rockafellar, R. Tyrrell Calibrating probability distributions with convex-concave-convex functions: application to CDO pricing. (English) Zbl 1342.91040 Comput. Manag. Sci. 11, No. 4, 341-364 (2014). MSC: 91G40 90C25 PDFBibTeX XMLCite \textit{A. Veremyev} et al., Comput. Manag. Sci. 11, No. 4, 341--364 (2014; Zbl 1342.91040) Full Text: DOI
Rockafellar, R. Tyrrell; Uryasev, Stan; Zabarankin, Michael Risk tuning with generalized linear regression. (English) Zbl 1218.90158 Math. Oper. Res. 33, No. 3, 712-729 (2008). MSC: 90C25 90C46 91B30 91G10 90C90 90B50 PDFBibTeX XMLCite \textit{R. T. Rockafellar} et al., Math. Oper. Res. 33, No. 3, 712--729 (2008; Zbl 1218.90158) Full Text: DOI Link
Rockafellar, R. Tyrrell; Uryasev, Stan; Zabarankin, Michael Optimality conditions in portfolio analysis with general deviation measures. (English) Zbl 1138.91474 Math. Program. 108, No. 2-3 (B), 515-540 (2006). MSC: 91B28 90C15 90C46 PDFBibTeX XMLCite \textit{R. T. Rockafellar} et al., Math. Program. 108, No. 2--3 (B), 515--540 (2006; Zbl 1138.91474) Full Text: DOI
Rockafellar, R. Tyrrell; Uryasev, Stan; Zabarankin, Michael Generalized deviations in risk analysis. (English) Zbl 1150.90006 Finance Stoch. 10, No. 1, 51-74 (2006). Reviewer: Yuliya Mishura MSC: 90C25 90C30 90C46 90C47 PDFBibTeX XMLCite \textit{R. T. Rockafellar} et al., Finance Stoch. 10, No. 1, 51--74 (2006; Zbl 1150.90006) Full Text: DOI