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A probability metrics approach to financial risk measures
Račev, Svetlozar T.; Stoyanov, Stoyan V.; Fabozzi, Frank J. - 2011
Persistent link: https://www.econbiz.de/10008824237
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Advanced stochastic models, risk assessment, and portfolio optimization : the ideal risk, uncertainty, and performance measures
Račev, Svetlozar T.; Stoyanov, Stoyan V.; Fabozzi, Frank J. - 2008
Persistent link: https://www.econbiz.de/10003583006
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Desirable Properties of an Ideal Risk Measure in Portfolio Theory
Rachev, Svetlozar - 2010
This paper examines the properties that a risk measure should satisfy in order to characterize an investor's preferences. In particular, we propose some intuitive and realistic examples that describe several desirable features of an ideal risk measure. This analysis is the first step in...
Persistent link: https://www.econbiz.de/10013150066
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Testing for structural breaks in time series regressions with heavy-tailed disturbances
Mittnik, Stefan; Račev, Svetlozar T.; Samorodnitsky, … - In: Datamining und computational finance : Ergebnisse des …, (pp. 115-142). 2000
Persistent link: https://www.econbiz.de/10001484303
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Asymptotic Distribution of Linear Unbiased Estimators in the Presence of Heavy-Tailed Stochastic Regressors and Residuals
Kurz-Kim, Jeong-Ryeol - 2016
Persistent link: https://www.econbiz.de/10012991226
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Empirical analayses of industry stock index return distributions for the Taiwan Stock Exchange
Račev, Svetlozar T.; Emeritus; Stoyanov, Stoyan V.; … - In: Annals of economics and finance 8 (2007) 1, pp. 21-31
Persistent link: https://www.econbiz.de/10003714369
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Relative deviation metrics and the problem of strategy replication
Stoyanov, Stoyan V.; Račev, Svetlozar T.; Ortobelli, Sergio - In: Journal of banking & finance 32 (2008) 2, pp. 199-206
Persistent link: https://www.econbiz.de/10003647097
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Principles of optimization for portfolio selection
Stoyanov, Stoyan V.; Račev, Svetlozar T.; Fabozzi, Frank J. - 2008
Persistent link: https://www.econbiz.de/10003765845
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Construction of probability metrics on classes of investors
Stoyanov, Stoyan V.; Račev, Svetlozar T.; Fabozzi, Frank J. - In: Economics letters 103 (2009) 1, pp. 45-48
Persistent link: https://www.econbiz.de/10003838955
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Broad market risk for sector fund of funds : a copula-based dependence approach
Stein, Michael; Račev, Svetlozar T.; Stoyanov, Stoyan V. - In: Investment management and financial innovations 7 (2010) 2, pp. 36-44
Persistent link: https://www.econbiz.de/10003968757