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Fat-tailed and skewed asset return distributions : implications for risk management, portfolio selection, and option pricing

Račev, Svetlozar T.; Menn, Christian; Fabozzi, Frank J. - 2005

Persistent link: https://www.econbiz.de/10002817530

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

Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model

Kim, Young Shin; Giacometti, Rosella; Račev, Svetlozar T. - 2012

. Based on the empirical evidence presented in this paper, our framework offers more realistic portfolio risk measures and a … more tractable method for portfolio optimization. -- portfolio risk ; portfolio optimization ; portfolio budgeting …

Persistent link: https://www.econbiz.de/10009576319

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

Book-to-market and the cross-section of expected returns in international stock markets

Bali, Turan G.; Cakici, Nusret; Fabozzi, Frank J. - In: The journal of portfolio management : a publication of … 39 (2013) 2, pp. 101-115

Persistent link: https://www.econbiz.de/10009708215

The new issues puzzle : evidence from non-US firms

Bali, Turan G.; Cakici, Nusret; Fabozzi, Frank J. - In: Applied economics letters 20 (2013) 16/18, pp. 1586-1591

Persistent link: https://www.econbiz.de/10010222105

Size, value, and momentum in emerging market stock returns

Cakici, Nusret; Fabozzi, Frank J.; Tan, Sinan - In: Emerging markets review 16 (2013), pp. 46-65

Persistent link: https://www.econbiz.de/10010243168

Market overreaction and underreaction : tests of the directional and magnitude effects

Fabozzi, Frank J.; Fung, Chun-yip; Lam, Kin; Wong, Wing … - In: Applied financial economics 23 (2013) 16/18, pp. 1469-1482

Persistent link: https://www.econbiz.de/10010259386

Multi-tail generalized elliptical distributions for asset returns

Kring, Sebastian; Račev, Svetlozar T.; Höchstötter, … - In: The econometrics journal 12 (2009) 2, pp. 272-291

Persistent link: https://www.econbiz.de/10003875668

Duration, convexity, and other bond risk measures

Fabozzi, Frank J. - 1999

Persistent link: https://www.econbiz.de/10001458594

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