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Calibration of a basket option model applied to company valuation
Wörner, Stefan; Racheva-Iotova, Boryana; Stoyanov, Stoyan - In: Mathematical methods of operations research 55 (2002) 2, pp. 247-264
Persistent link: https://www.econbiz.de/10006616933
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Tail risk - Capturing fat tails - Financial institutions are more aware of the risks posed by high-impact events since the crisis, but the question is how to encapsulate these in models. The authors discuss three approaches for capturing fat tails.
Rachev, Zari; Racheva-Iotova, Boryana; Stoyanov, Stoyan - In: Risk : managing risk in the world's financial markets 23 (2010) 5, pp. 72-77
Persistent link: https://www.econbiz.de/10008420228
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PERFORMANCE MEASURES - Different Approaches to Risk Estimation in Portfolio Theory
Biglova, Almira; Optobelli, Sergio; Rachev, Svetlozar; … - In: The journal of portfolio management : a publication of … 31 (2004) 1, pp. 103-112
Persistent link: https://www.econbiz.de/10006548922
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Momentum strategies based on reward–risk stock selection criteria
Rachev, Svetlozar; Jašić, Teo; Stoyanov, Stoyan; … - In: Journal of banking & finance 31 (2007) 8, pp. 2325-2346
Persistent link: https://www.econbiz.de/10007757881
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R ratio optimization with heterogenous assets using genetic algorithm
Stein, Michael; Rachev, Svetlozar T.; Stoyanov, Stoyan - In: Investment management and financial innovations 6 (2009) 3, pp. 117-125
Persistent link: https://www.econbiz.de/10009910626