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Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model

Kim, Young Shin; Giacometti, Rosella; Račev, Svetlozar T. - 2012

In this paper, we propose a multivariate market model with returns assumed to follow a multivariate normal tempered stable distribution. This distribution, defined by a mixture of the multivariate normal distribution and the tempered stable subordinator, is consistent with two stylized facts...

Persistent link: https://www.econbiz.de/10009576319

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

Test on association of random variables in the domain of attraction of multivariate stable law

Račev, Svetlozar T.; Huang, Xin - 1991

Persistent link: https://www.econbiz.de/10000842026

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

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

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

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

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

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

Risk measures and portfolio selection

Račev, Svetlozar T.; Menn, Christian; Fabozzi, Frank J. - 2008

Persistent link: https://www.econbiz.de/10003765462