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Portfolio optimization constrained by performance attribution

Hu, Yuan; Lindquist, W. Brent; Račev, Svetlozar T. - In: Journal of Risk and Financial Management 14 (2021) 5, pp. 1-12

This paper investigates performance attribution measures as a basis for constraining portfolio optimization. We employ optimizations that minimize conditional value-at-risk and investigate two performance attributes, asset allocation (AA) and the selection effect (SE), as constraints on asset...

Persistent link: https://www.econbiz.de/10012611758

Test on association of random variables in the domain of attraction of multivariate stable law

Račev, Svetlozar T.; Huang, Xin - 1991

Persistent link: https://www.econbiz.de/10000842026

Multivariate stable futures prices

Cheng, B. N. - In: Mathematical finance : an international journal of … 5 (1995) 2, pp. 133-153

Persistent link: https://www.econbiz.de/10001185054

Tempered stable models for Islamic finance asset management

Bekri, Mahmoud; Kim, Young Shin; Račev, Svetlozar T. - In: International journal of Islamic and Middle Eastern … 7 (2014) 1, pp. 37-60

Persistent link: https://www.econbiz.de/10011335135

Portfolio selection in the presence of heavy-tailed asset returns

Doganoglu, Toker; Mittnik, Stefan; Račev, Svetlozar T. - In: Contributions to modern econometrics : from data …, (pp. 51-64). 2002

Persistent link: https://www.econbiz.de/10001905062

The stable non-Gaussian asset allocation : a comparison with the classical Gaussian approach

Tokat, Yesim; Račev, Svetlozar T.; Schwartz, Eduardo S. - In: Journal of economic dynamics & control 27 (2003) 6, pp. 937-969

Persistent link: https://www.econbiz.de/10001734458

Portfolio management with stable distributions

Račev, Svetlozar T.; Han, Seonkoo - In: Mathematical methods of operations research 51 (2000) 2, pp. 341-352

Persistent link: https://www.econbiz.de/10001488325

Handbook of computational and numerical methods in finance

Račev, Svetlozar T. (ed.) - 2004

Persistent link: https://www.econbiz.de/10001921728

Statistical issues in modeling multivariate stable portfolios

Kozubowski, Tomasz J.; Panorska, Anna K.; Račev, … - In: Handbook of heavy tailed distributions in finance, (pp. 131-167). 2003

Persistent link: https://www.econbiz.de/10001882057

Stable non-Gaussian models for credit risk management

Martin, Bernhard; Račev, Svetlozar T.; Schwartz, Eduardo S. - In: Handbook of heavy tailed distributions in finance, (pp. 405-441). 2003

Persistent link: https://www.econbiz.de/10001882167