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~person:"Račev, Svetlozar T."
~subject:"Portfolio selection"
~subject:"Share price"
~subject:"Theorie"
~subject:"USA"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Conference paper"
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7
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Račev, Svetlozar T.
Fabozzi, Frank J.
22
Nadarajah, Saralees
17
Bai, Jushan
14
Landsman, Zinoviy
14
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13
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12
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11
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11
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11
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10
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10
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10
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10
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10
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10
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10
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9
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9
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9
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9
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9
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9
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9
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9
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9
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9
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8
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8
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8
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8
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8
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7
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7
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7
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7
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International journal of theoretical and applied finance
3
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2
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2
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1
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1
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1
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1
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ECONIS (ZBW)
16
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1
Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis
Hu, Yuan
;
Lindquist, W. Brent
;
Račev, Svetlozar T.
; …
- In:
Journal of economic dynamics & control
137
(
2022
),
pp. 1-20
Persistent link: https://www.econbiz.de/10013464578
Saved in:
2
Equity premium puzzle or faulty economic modelling?
Shirvani, Abootaleb
;
Stoyanov, Stoyan V.
;
Fabozzi, Frank J.
- In:
Review of quantitative finance and accounting
56
(
2021
)
4
,
pp. 1329-1342
Persistent link: https://www.econbiz.de/10012549795
Saved in:
3
CVaR sensitivty with respect to tail thickness
Stoyanov, Stoyan V.
;
Račev, Svetlozar T.
;
Fabozzi, Frank J.
- In:
Journal of banking & finance
37
(
2013
)
3
,
pp. 977-988
Persistent link: https://www.econbiz.de/10009708724
Saved in:
4
Multivariate heavy-tailed models for value-at-risk estimation
Marinelli, Carlo
;
D'Addona, Stefano
;
Račev, Svetlozar T.
- In:
International journal of theoretical and applied finance
15
(
2012
)
4
,
pp. 1-32
Persistent link: https://www.econbiz.de/10009624462
Saved in:
5
Approximation of skewed and leptokurtic return distributions
Scherer, Matthias
;
Račev, Svetlozar T.
;
Kim, Young Shin
; …
- In:
Applied financial economics
22
(
2012
)
16/18
,
pp. 1305-1316
Persistent link: https://www.econbiz.de/10009625374
Saved in:
6
Fat-tailed models for risk estimation
Stoyanov, Stoyan V.
;
Račev, Svetlozar T.
; …
- In:
The journal of portfolio management : a publication of …
37
(
2010/11
)
2
,
pp. 107-117
Persistent link: https://www.econbiz.de/10009273905
Saved in:
7
Stochastic models for risk estimation in volatile markets : a survey
Stoyanov, Stoyan V.
;
Racheva-Iotova, Borjana
;
Račev, …
-
2010
Persistent link: https://www.econbiz.de/10003964894
Saved in:
8
Risk management and dynamic portfolio selection with stable paretian distributions
Ortobelli, Sergio
;
Račev, Svetlozar T.
;
Fabozzi, Frank J.
- In:
Journal of empirical finance
17
(
2010
)
2
,
pp. 195-211
Persistent link: https://www.econbiz.de/10009271854
Saved in:
9
Fractals in trade duration : capturing long-range dependence and heavy tailedness in modeling trade duration
Sun, Wei
;
Račev, Svetlozar T.
;
Fabozzi, Frank J.
; …
- In:
Annals of finance
4
(
2008
)
2
,
pp. 217-241
Persistent link: https://www.econbiz.de/10003644932
Saved in:
10
Momentum strategies based on reward-risk stock selection criteria
Račev, Svetlozar T.
;
Jašić, Teo
;
Stoyanov, Stoyan
; …
- In:
Journal of banking & finance
31
(
2007
)
8
,
pp. 2325-2346
Persistent link: https://www.econbiz.de/10003522928
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