Damian Jelito

MaRDI QIDQ2029781zbMATH OpenFDO

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Statistical Applications of the 20/60/20 Rule in Risk Management and Portfolio Optimization Applied Mathematical Finance	2026-07-21	Paper
Long-run risk-sensitive portfolio optimisation with proportional transaction costs and log Lévy asset prices (available as arXiv preprint)	2026-01-01	Paper
Conditional correlation estimation and serial dependence identification Journal of Computational and Applied Mathematics	2025-05-22	Paper
Gaussian dependence structure pairwise goodness-of-fit testing based on conditional covariance and the 20/60/20 rule Journal of Multivariate Analysis	2025-01-20	Paper
Goodness-of-fit tests for the one-sided Lévy distribution based on quantile conditional moments Journal of Applied Statistics	2025-01-14	Paper
A note on the equivalence between the conditional uncorrelation and the independence of random variables Electronic Journal of Statistics	2024-03-25	Paper
A note on the equivalence between the conditional uncorrelation and the independence of random variables Electronic Journal of Statistics	2024-03-25	Paper
Long-Run Impulse Control with Generalized Discounting SIAM Journal on Control and Optimization	2024-03-07	Paper
Asymptotics of impulse control problem with multiplicative reward Applied Mathematics and Optimization	2023-07-06	Paper
Estimation of stability index for symmetric {\alpha}-stable distribution using quantile conditional variance ratios	2022-12-27	Paper
Risk-sensitive optimal stopping with unbounded terminal cost function Electronic Journal of Probability	2022-02-22	Paper
New fat-tail normality test based on conditional second moments with applications to finance Statistical Papers	2021-12-27	Paper
Risk sensitive optimal stopping Stochastic Processes and their Applications	2021-06-04	Paper
Long-run risk-sensitive impulse control SIAM Journal on Control and Optimization	2020-10-30	Paper

Research outcomes over time

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