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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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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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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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Stable distributions in the Black-Litterman approach to asset allocation
Giacometti, Rosella; Bertocchi, Marida; Račev, Svetlozar T. - In: Quantitative fund management, (pp. 359-375). 2009
Persistent link: https://www.econbiz.de/10003797016
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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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Markov chain models of portfolio credit risk
Bielecki, Tomasz R.; Crépey, Stéphane; Herbertsson, … - In: The Oxford handbook of credit derivatives, (pp. 327-382). 2011
Persistent link: https://www.econbiz.de/10008858174
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Sensitivity of portfolio VaR and CVaR to portfolio return characteristics
Stoyanov, Stoyan V.; Račev, Svetlozar T.; Fabozzi, Frank J. - In: Operations research models in banking management, (pp. 169-187). 2013
Persistent link: https://www.econbiz.de/10009739300
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A bottom-up dynamic model of portfolio credit risk : part II ; common-shock interpretation, calibration and hedging issues
Bielecki, Tomasz R.; Cousin, Areski; Crépey, Stéphane; … - In: Recent advances in financial engineering 2012 : …, (pp. 51-73). 2014
Persistent link: https://www.econbiz.de/10010359906