Stan Uryasev
1 paper in the Anchorcite directory, published in 2000, cited 6,757 times in total.
ORCID profileResearch topics
- Financial Markets and Investment Strategies · 1 paper
- Risk and Portfolio Optimization · 1 paper
- Reservoir Engineering and Simulation Methods · 1 paper
Frequent co-authors
- Ralph Tyrrell Rockafellar · 1 paper
Papers
- Optimization of conditional value-at-riskThe Journal of Risk · 2000 · 6,757 citations
A new approach to optimizing or hedging a portfolio of financial instruments to reduce risk is presented and tested on applications. It focuses on minimizing Conditional Value-at-Risk (CVaR) rather than minimizing Value-at-Risk (VaR), but portfolios with low CVaR necessarily have…
Metadata from OpenAlex (CC0).