Concepedia

Michael Zabarankin

MZ

46

Publications

2.5K

Citations

22

H-Index

2000

Active since

Affiliations

Stevens Institute of Technology(Current)

University of Florida

University of Washington

University of Leicester

Michael Zabarankin is an author at Stevens Institute of Technology specializing in engineering, finance, and business.

Top concepts

EngineeringFinanceBusinessManagementStatisticsFluid DynamicsRisk ManagementAsset PricingPortfolio OptimizationRisk Analysis

Publications per year

2000–2020

46

Publications

46

Generalized deviations in risk analysis

R. T. Rockafellar, Stan Uryasev, Michael Zabarankin · Finance and Stochastics · 2005 · 567 citations

Engineering, Financial Risk Management, Risk Management +6

DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION

Alexei Chekhlov, Stan Uryasev, Michael Zabarankin · International Journal of Theoretical and Applied Finance · 2005 · 319 citations

Mathematical Programming, Asset Allocation, Portfolio Management +20

Deviation Measures in Risk Analysis and Optimization

R. T. Rockafellar, Stan Uryasev, Michael Zabarankin · SSRN Electronic Journal · 2003 · 188 citations · Full text

Modeling and optimization of risk

Pavlo Krokhmal, Michael Zabarankin, Stan Uryasev · Surveys in Operations Research and Management Science · 2010 · 164 citations

Risk Model Validation, Risk Management, Risk Modeling +5

Optimality conditions in portfolio analysis with general deviation measures

R. T. Rockafellar, Stan Uryasev, Michael Zabarankin · Mathematical Programming · 2006 · 112 citations

Mathematical Programming, Portfolio Optimization, Optimality Conditions +6

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