Stan Uryasev

Stan Uryasev received his M.S. in Applied Mathematics from the Moscow Institute of Physics and Technology (MIPT), Russia, in 1979 and his Ph.D. in Applied Mathematics from the Glushkov Institute of Cybernetics, Kyiv, Ukraine, in 1983. From 1979 to 1987 he held a research position at the Glushkov Institute. From 1988 to 1992 he was a Research Scholar at the International Institute for Applied Systems Analysis, Laxenburg, Austria. From 1992 to 1998 he held a Scientist position at the Risk and Reliability Group, Brookhaven National Laboratory, Upton, NY. From 1998 to 2019 he was the George and Rolande Willis Endowed Professor at the University of Florida and director of the Risk Management and Financial Engineering Lab.

His research and teaching interests include quantitative finance, risk management, stochastic optimization, machine learning, and military operations research. See Google Scholar for the most cited publications, or the full list of publications.

His joint paper with Prof. Rockafellar on the Optimization of Conditional Value-at-Risk (The Journal of Risk, Vol. 2, No. 3, 2000) is among the 100 most cited papers in Finance. Many risk management/optimization packages implemented the approach suggested in this paper (MATLAB implemented a toolbox).

An important theoretical contribution presenting a unified scheme for portfolio optimization, statistical estimation, risk management, and utility theory: Rockafellar R.T. and S. Uryasev, The Fundamental Risk Quadrangle in Risk Management, Optimization, and Statistical Estimation (Surveys in Operations Research and Management Science, 18, 2013).

Collaborative research with industry is documented in the library of Case Studies containing Portfolio Safeguard (PSG) codes, data, and calculation results in Text, MATLAB, and R environments — see the case studies in Application Areas including Financial Engineering and Advanced Statistics.

Uryasev70 — Operations Research and Applications (August 22–23, Stony Brook University): a conference celebrating Prof. Uryasev’s 70th birthday.