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Computational aspects of portfolio risk estimation in volatile markets : a survey
Fabozzi, Frank J.; Stoyanov, Stoyan V.; Rachev, Svetlozar T. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 17 (2013) 1, pp. 103-120
Persistent link: https://www.econbiz.de/10010118260
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Sensitivity of portfolio VaR and CVaR to portfolio return characteristics
Stoyanov, Stoyan V.; Rachev, Svetlozar T.; Fabozzi, Frank J. - 2013
Persistent link: https://www.econbiz.de/10010104338
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Relative deviation metrics and the problem of strategy replication
Stoyanov, Stoyan V.; Rachev, Svetlozar T.; Ortobelli, Sergio - In: Journal of banking & finance 32 (2008) 2, pp. 199-206
Persistent link: https://www.econbiz.de/10007908348
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CVaR sensitivity with respect to tail thickness
Stoyanov, Stoyan V.; Rachev, Svetlozar T.; Fabozzi, Frank J. - In: Journal of banking & finance 37 (2013) 3, pp. 977-988
Persistent link: https://www.econbiz.de/10010065457
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Some consequences of correlation aversion in decision science
Stoyanov, Stoyan V.; Racheva-Iotova, Borjana; Rachev, … - 2010
Persistent link: https://www.econbiz.de/10008393894
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Construction of probability metrics on classes of investors
Stoyanov, Stoyan V.; Rachev, Svetlozar T.; Fabozzi, Frank J. - In: Economics letters 103 (2009) 1, pp. 45-49
Persistent link: https://www.econbiz.de/10008892200
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Construction of probability metrics on classes of investors
Stoyanov, Stoyan V.; Rachev, Svetlozar T.; Fabozzi, Frank J. - In: Economics letters 103 (2009) 1, pp. 45-48
Persistent link: https://www.econbiz.de/10008231978
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Broad market risk for sector fund of funds : a copula-based dependence approach
Stein, Michael; Rachev, Svetlozar T.; Stoyanov, Stoyan V. - In: Investment management and financial innovations 7 (2010) 2, pp. 36-44
Persistent link: https://www.econbiz.de/10009910685
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Multivariate skewed student’s t copula in the analysis of nonlinear and asymmetric dependence in the German equity market
Sun, Wei; Rachev, Svetlozar; Stoyanov, Stoyan V.; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 12 (2008) 2, pp. 1-35
Persistent link: https://www.econbiz.de/10009949920
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An empirical examination of the return distribution characteristics of agency mortgage pass-through securities
Fabozzi, Frank J.; Racheva-Iotova, Borjana; Stoyanov, … - In: Applied financial economics 16 (2006) 15, pp. 1085-1094
Persistent link: https://www.econbiz.de/10007629956