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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
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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
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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
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Asset liability management : a review and some new results in the presence of heavy tails
Tokat, Yesim; Račev, Svetlozar T.; Schwartz, Eduardo S. - In: Handbook of heavy tailed distributions in finance, (pp. 509-546). 2003
Persistent link: https://www.econbiz.de/10001882195
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Portfolio choice theory with non-Gaussian distributed returns
Ortobelli, Sergio; Huber, Isabella; Račev, Svetlozar T.; … - In: Handbook of heavy tailed distributions in finance, (pp. 547-594). 2003
Persistent link: https://www.econbiz.de/10001882197
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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
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When do jumps matter for portfolio optimization?
Ascheberg, Marius; Branger, Nicole; Kraft, Holger - In: Essays on empirical asset pricing, dynamic asset …, (pp. 147-182). 2013
Persistent link: https://www.econbiz.de/10010412566
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Long-run relations between labor income, stock prices, and house prices and their implications for household decisions
Ascheberg, Marius; Kraft, Holger; Munk, Claus; Weiss, Farina - In: Essays on empirical asset pricing, dynamic asset …, (pp. 97-146). 2013
Persistent link: https://www.econbiz.de/10010412567
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Factor mimicking portfolios from parametric portfolio policies
Ascheberg, Marius - In: Essays on empirical asset pricing, dynamic asset …, (pp. 69-96). 2013
Persistent link: https://www.econbiz.de/10010412570
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Stable ETL optimal portfolios and extreme risk management
Račev, Svetlozar T.; Martin, R. Douglas; Racheva, Borjana - In: Risk assessment : decisions in banking and finance, (pp. 235-262). 2008
Persistent link: https://www.econbiz.de/10003781774