Similar Search Results

Advanced stochastic models, risk assessment, and portfolio optimization : the ideal risk, uncertainty, and performance measures

Račev, Svetlozar T.; Stoyanov, Stoyan V.; Fabozzi, Frank J. - 2008

Persistent link: https://www.econbiz.de/10003583006

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

Metrization of stochastic dominance rules

Stoyanov, Stoyan V.; Račev, Svetlozar T.; Fabozzi, Frank J. - In: International journal of theoretical and applied finance 15 (2012) 2, pp. 1-22

Persistent link: https://www.econbiz.de/10009624503

Computational aspects of portfolio risk estimation in volatile markets : a survey

Fabozzi, Frank J.; Stoyanov, Stoyan V.; Račev, Svetlozar T. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 17 (2013) 1, pp. 103-120

Persistent link: https://www.econbiz.de/10009728412

Principles of optimization for portfolio selection

Stoyanov, Stoyan V.; Račev, Svetlozar T.; Fabozzi, Frank J. - 2008

Persistent link: https://www.econbiz.de/10003765845

Relative deviation metrics and the problem of strategy replication

Stoyanov, Stoyan V.; Račev, Svetlozar T.; Ortobelli, Sergio - In: Journal of banking & finance 32 (2008) 2, pp. 199-206

Persistent link: https://www.econbiz.de/10003647097

Financial markets with no riskless (safe) asset

Račev, Svetlozar T.; Stoyanov, Stoyan V.; Fabozzi, Frank J. - In: International journal of theoretical and applied finance 20 (2017) 8, pp. 1-24

Persistent link: https://www.econbiz.de/10011787424

Behavioral Finance - Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle : The Rational Finance Approach

Rachev, Svetlozar T. - 2020

In this paper we address three main objections of behavioral finance to the theory of rational finance, considered as “anomalies” the theory of rational finance cannot explain: (i) Predictability of asset returns; (ii) The Equity Premium; (iii) The Volatility Puzzle. We offer resolutions of...

Persistent link: https://www.econbiz.de/10012842392

Option pricing in an investment risk-return setting

Stoyanov, Stoyan V.; Račev, Svetlozar T.; Shirvani, … - In: Applied economics 54 (2022) 14, pp. 1625-1638

Persistent link: https://www.econbiz.de/10012875529

Broad market risk for sector fund of funds : a copula-based dependence approach

Stein, Michael; Račev, Svetlozar T.; Stoyanov, Stoyan V. - In: Investment management and financial innovations 7 (2010) 2, pp. 36-44

Persistent link: https://www.econbiz.de/10003968757