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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, 51-74, 2006
6952006
Drawdown measure in portfolio optimization
A Chekhlov, S Uryasev, M Zabarankin
International Journal of Theoretical and Applied Finance 8 (01), 13-58, 2005
4062005
Deviation measures in risk analysis and optimization
RT Rockafellar, SP Uryasev, M Zabarankin
University of Florida, Department of Industrial & Systems Engineering …, 2002
2992002
Convex functional analysis
AJ Kurdila, M Zabarankin
Springer Science & Business Media, 2006
2692006
Modeling and optimization of risk
P Krokhmal, M Zabarankin, S Uryasev
Surveys in operations research and management science 16 (2), 49-66, 2011
2682011
Portfolio optimization with drawdown constraints
A Chekhlov, S Uryasev, M Zabarankin
Supply chain and finance, 209-228, 2004
2012004
Optimal risk path algorithms
M Zabarankin, S Uryasev, P Pardalos
Cooperative control and optimization, 273-298, 2002
1672002
Master funds in portfolio analysis with general deviation measures
RT Rockafellar, S Uryasev, M Zabarankin
Journal of Banking & Finance 30 (2), 743-778, 2006
1512006
Optimality conditions in portfolio analysis with general deviation measures
RT Rockafellar, S Uryasev, M Zabarankin
Mathematical Programming 108, 515-540, 2006
1492006
Capital asset pricing model (CAPM) with drawdown measure
M Zabarankin, K Pavlikov, S Uryasev
European Journal of Operational Research 234 (2), 508-517, 2014
1392014
Aircraft routing under the risk of detection
M Zabarankin, S Uryasev, R Murphey
Naval Research Logistics (NRL) 53 (8), 728-747, 2006
1232006
Risk tuning with generalized linear regression
RT Rockafellar, S Uryasev, M Zabarankin
Mathematics of Operations Research 33 (3), 712-729, 2008
1022008
Maximum entropy principle with general deviation measures
B Grechuk, A Molyboha, M Zabarankin
Mathematics of Operations Research 34 (2), 445-467, 2009
872009
Equilibrium with investors using a diversity of deviation measures
RT Rockafellar, S Uryasev, M Zabarankin
Journal of Banking & Finance 31 (11), 3251-3268, 2007
572007
Value-at-risk support vector machine: stability to outliers
P Tsyurmasto, M Zabarankin, S Uryasev
Journal of Combinatorial Optimization 28 (1), 218-232, 2014
502014
Mean‐deviation analysis in the theory of choice
B Grechuk, A Molyboha, M Zabarankin
Risk Analysis: An International Journal 32 (8), 1277-1292, 2012
462012
Risk averse decision making under catastrophic risk
B Grechuk, M Zabarankin
European Journal of Operational Research 239 (1), 166-176, 2014
442014
Statistical decision problems
M Zabarankin, S Uryasev
AMC 10, 12, 2014
402014
Analysis and detection of SIMbox fraud in mobility networks
I Murynets, M Zabarankin, RP Jover, A Panagia
IEEE INFOCOM 2014-IEEE Conference on Computer Communications, 1519-1526, 2014
372014
Inverse portfolio problem with mean-deviation model
B Grechuk, M Zabarankin
European Journal of Operational Research 234 (2), 481-490, 2014
352014
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