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Principles of Optimization for Portfolio Selection

OTHER published 15 September 2008 in Handbook of Finance

Authors: Stoyan V. Stoyanov | Svetlozar T. Rachev | Frank J. Fabozzi

https://doi.org/10.1002/9780470404324.hof003066 Actions

HEAVY-TAILED DISTRIBUTIONS AND THEIR APPLICATIONS

PROCEEDINGS ARTICLE published June 2004 in Probability, Finance and Insurance

Authors: CHUN SU | QIHE TANG

https://doi.org/10.1142/9789812702715_0014 Actions

Financial Modeling Under Non-Gaussian Distributions

BOOK published 2007 in Springer Finance

https://doi.org/10.1007/978-1-84628-696-4 Actions

Handbooks in Economics

BOOK CHAPTER published 2003 in Handbook of the Economics of Finance

https://doi.org/10.1016/s1574-0102(03)20003-0 Actions

Orderings and Probability Functionals Consistent with Preferences

JOURNAL ARTICLE published February 2009 in Applied Mathematical Finance

Authors: Sergio Ortobelli | Svetlozar T. Rachev | Haim Shalit | Frank J. Fabozzi

https://doi.org/10.1080/13504860802327180 Actions

Portfolio Selection in the Presence of Heavy-Tailed Asset Returns

BOOK CHAPTER published 2002 in Contributions to Modern Econometrics

Authors: Toker Doganoglu | Stefan Mittnik | Svetlozar Rachev

https://doi.org/10.1007/978-1-4757-3602-1_5 Actions

Introduction

BOOK CHAPTER published in Springer Finance

https://doi.org/10.1007/978-1-84628-696-4_1 Actions

Implied Volatility Smile with Non-Gaussian Processes

BOOK CHAPTER published March 2019 in Handbook of Heavy-Tailed Distributions in Asset Management and Risk Management

https://doi.org/10.1142/9789813276208_0011 Actions

6 Risk, Rate of Return, and Portfolio Theory

BOOK CHAPTER published 16 December 2020 in Fundamentals of Finance

https://doi.org/10.1515/9783110705355-006 Actions

Non-structural Option Pricing

BOOK CHAPTER published in Springer Finance

https://doi.org/10.1007/978-1-84628-696-4_11 Actions

CHI-SQUARE-TYPE DISTRIBUTIONS FOR HEAVY-TAILED VARIATES

JOURNAL ARTICLE published June 1998 in Econometric Theory

Authors: Stefan Mittnik | Svetlozar T. Rachev | Jeong-Ryeol Kim

https://doi.org/10.1017/s0266466698143037 Actions

Pricing of credit default index swap tranches with one-factor heavy-tailed copula models

JOURNAL ARTICLE published March 2009 in Journal of Empirical Finance

Authors: Dezhong Wang | Svetlozar T. Rachev | Frank J. Fabozzi

https://doi.org/10.1016/j.jempfin.2008.08.003 Actions

On the Class of Elliptical Distributions and their Applications to the Theory of Portfolio Choice

JOURNAL ARTICLE published June 1983 in The Journal of Finance

Authors: Joel Owen | Ramon Rabinovitch

https://doi.org/10.2307/2328079 Actions

Modeling Volatility

BOOK CHAPTER published in Springer Finance

https://doi.org/10.1007/978-1-84628-696-4_4 Actions

Portfolio Value‐at‐Risk with Heavy‐Tailed Risk Factors

JOURNAL ARTICLE published July 2002 in Mathematical Finance

Authors: Paul Glasserman | Philip Heidelberger | Perwez Shahabuddin

https://doi.org/10.1111/1467-9965.00141 Actions

Lévy Processes

BOOK CHAPTER published in Springer Finance

https://doi.org/10.1007/978-1-84628-696-4_17 Actions

Jump Processes

BOOK CHAPTER published in Springer Finance

https://doi.org/10.1007/978-1-84628-696-4_16 Actions

Modeling Correlation

BOOK CHAPTER published in Springer Finance

https://doi.org/10.1007/978-1-84628-696-4_6 Actions

Different Approaches to Risk Estimation in Portfolio Theory

JOURNAL ARTICLE published 31 October 2004 in The Journal of Portfolio Management

Authors: Almira Biglova | Sergio Ortobelli | Svetlozar T Rachev | Stoyan Stoyanov

https://doi.org/10.3905/jpm.2004.443328 Actions

Modeling Higher Moments

BOOK CHAPTER published in Springer Finance

https://doi.org/10.1007/978-1-84628-696-4_5 Actions
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