Michael Zabarankin
Michael Zabarankin
Associate Professor of Mathematical Sciences, Stevens Institute of Technology
Verified email at stevens.edu - Homepage
Title
Cited by
Cited by
Year
Generalized deviations in risk analysis
RT Rockafellar, S Uryasev, M Zabarankin
Finance and Stochastics 10 (1), 51-74, 2006
5292006
Drawdown measure in portfolio optimization
A Chekhlov, S Uryasev, M Zabarankin
International Journal of Theoretical and Applied Finance 8 (01), 13-58, 2005
2932005
Deviation measures in risk analysis and optimization
RT Rockafellar, SP Uryasev, M Zabarankin
University of Florida, Department of Industrial & Systems Engineering …, 2002
2522002
Modeling and optimization of risk
P Krokhmal, M Zabarankin, S Uryasev
Handbook of the fundamentals of financial decision making: Part II, 555-600, 2013
1942013
Convex functional analysis
AJ Kurdila, M Zabarankin
Springer Science & Business Media, 2006
1842006
Portfolio optimization with drawdown constraints
A Chekhlov, S Uryasev, M Zabarankin
Supply chain and finance, 209-228, 2004
1432004
Master funds in portfolio analysis with general deviation measures
RT Rockafellar, S Uryasev, M Zabarankin
Journal of Banking & Finance 30 (2), 743-778, 2006
1372006
Optimal risk path algorithms
M Zabarankin, S Uryasev, P Pardalos
Cooperative control and optimization, 273-298, 2002
1332002
Optimality conditions in portfolio analysis with general deviation measures
RT Rockafellar, S Uryasev, M Zabarankin
Mathematical Programming 108 (2-3), 515-540, 2006
1262006
Aircraft routing under the risk of detection
M Zabarankin, S Uryasev, R Murphey
Naval Research Logistics (NRL) 53 (8), 728-747, 2006
852006
Capital asset pricing model (CAPM) with drawdown measure
M Zabarankin, K Pavlikov, S Uryasev
European Journal of Operational Research 234 (2), 508-517, 2014
812014
Risk tuning with generalized linear regression
RT Rockafellar, S Uryasev, M Zabarankin
Mathematics of Operations Research 33 (3), 712-729, 2008
732008
Maximum entropy principle with general deviation measures
B Grechuk, A Molyboha, M Zabarankin
Mathematics of Operations Research 34 (2), 445-467, 2009
622009
Equilibrium with investors using a diversity of deviation measures
RT Rockafellar, S Uryasev, M Zabarankin
Journal of Banking & Finance 31 (11), 3251-3268, 2007
512007
Value-at-risk support vector machine: stability to outliers
P Tsyurmasto, M Zabarankin, S Uryasev
Journal of Combinatorial Optimization 28 (1), 218-232, 2014
422014
Risk averse decision making under catastrophic risk
B Grechuk, M Zabarankin
European Journal of Operational Research 239 (1), 166-176, 2014
332014
Statistical decision problems
M Zabarankin, S Uryasev
Springer-Verlag New York, 2016
302016
Stochastic optimization of sensor placement for diver detection
A Molyboha, M Zabarankin
Operations research 60 (2), 292-312, 2012
272012
Inverse portfolio problem with mean-deviation model
B Grechuk, M Zabarankin
European Journal of Operational Research 234 (2), 481-490, 2014
262014
Mean‐Deviation Analysis in the Theory of Choice
B Grechuk, A Molyboha, M Zabarankin
Risk Analysis: An International Journal 32 (8), 1277-1292, 2012
262012
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