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Portfolio Construction by Volatility Forecasts : Does the Covariance Structure Matter?
Pojarliev, Momtchil, (2003)
Value at risk estimation for stock indices using the Basle committee proposal from 1995
Pojarliev, Momtchil, (2000)
Portfolio construction by volatility forecasts : does the covariance structure matter? Momtchil Pojarliev and Wolfgang Polasek