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Modeling, estimation, and optimization of equity portfolios with heavy-tailed distrbutions
Biglova, Almira; Ortobelli, Sergio; Račev, Svetlozar T.; … - In: Optimizing optimization : the next generation of …, (pp. 117-141). 2010
Persistent link: https://www.econbiz.de/10003939075
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Estimation of α-stable sub-gaussian distributions for asset returns
Kring, Sebastian; Račev, Svetlozar T.; Höchstötter, … - In: Risk assessment : decisions in banking and finance, (pp. 111-152). 2008
Persistent link: https://www.econbiz.de/10003781627
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A new tempered stable distribution and its application to finance
Kim, Young Shin; Račev, Svetlozar T.; Bianchi, Michele … - In: Risk assessment : decisions in banking and finance, (pp. 77-109). 2008
Persistent link: https://www.econbiz.de/10003781614
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Fixed income total return swaps
Anson, Mark J. P.; Fabozzi, Frank J.; Choudhry, Moorad; … - 2008
Persistent link: https://www.econbiz.de/10003763598
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The valuation of fixed income total return swaps
Chen, Ren-Raw; Fabozzi, Frank J. - 2008
Persistent link: https://www.econbiz.de/10003765788
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Bond pricing, yield measures, and total return
Fabozzi, Frank J. - In: The handbook of fixed income securities, (pp. 73-105). 2005
Persistent link: https://www.econbiz.de/10003054140
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Stable distributions in the Black-Litterman approach to asset allocation
Giacometti, Rosella; Bertocchi, Marida; Račev, Svetlozar T. - In: Quantitative fund management, (pp. 359-375). 2009
Persistent link: https://www.econbiz.de/10003797016
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Sensitivity of portfolio VaR and CVaR to portfolio return characteristics
Stoyanov, Stoyan V.; Račev, Svetlozar T.; Fabozzi, Frank J. - In: Operations research models in banking management, (pp. 169-187). 2013
Persistent link: https://www.econbiz.de/10009739300
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Robust equity portfolio performance
Kim, Jang Ho; Kim, Woo Chang; Kwon, Do-Gyun; Fabozzi, … - In: Analytical models for financial modeling and risk management, (pp. 293-312). 2018
Persistent link: https://www.econbiz.de/10011897181
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Valuation of municipal bonds with embedded options
Fabozzi, Frank J.; Kalotay, Andrew; Dorigan, Michael P. - In: The handbook of municipal bonds, (pp. 513-536). 2008
Persistent link: https://www.econbiz.de/10003715006