| Publication | Date of Publication | Type |
|---|
Computational aspects of portfolio risk estimation in volatile markets: a survey
Studies in Nonlinear Dynamics & Econometrics | 2023-03-13 | Paper |
PRICING DERIVATIVES IN HERMITE MARKETS
International Journal of Theoretical and Applied Finance | 2019-11-08 | Paper |
Probability metrics with applications in finance
Journal of Statistical Theory and Practice | 2019-09-13 | Paper |
Financial markets with no riskless (safe) asset
International Journal of Theoretical and Applied Finance | 2018-01-11 | Paper |
Sensitivity of portfolio VaR and CVaR to portfolio return characteristics
Annals of Operations Research | 2013-08-07 | Paper |
The methods of distances in the theory of probability and statistics.
| 2012-09-12 | Paper |
Metrization of stochastic dominance rules
International Journal of Theoretical and Applied Finance | 2012-05-07 | Paper |
Stochastic models for risk estimation in volatile markets: a survey
Annals of Operations Research | 2010-09-20 | Paper |
Portfolio selection based on a simulated copula
| 2010-08-27 | Paper |
A note on the impact of nonlinear reward and risk measures
| 2010-08-27 | Paper |
Multivariate Skewed Student's t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market
Studies in Nonlinear Dynamics & Econometrics | 2010-07-02 | Paper |
Construction of probability metrics on classes of investors
Economics Letters | 2009-12-21 | Paper |
Computing VaR and AVaR of skewed-T distribution
| 2009-04-14 | Paper |
Asymptotic distribution of the sample average value-at-risk in the case of heavy-tailed returns
| 2009-04-14 | Paper |
Stable ETL Optimal Portfolios and Extreme Risk Management
Contributions to Economics | 2009-02-26 | Paper |
DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY
International Journal of Theoretical and Applied Finance | 2008-08-26 | Paper |
Price dynamics in a strategic model of trade between two regions
| 2008-05-20 | Paper |
Asymptotic distribution of unibiased linear estimators in the presence of heavy-tailed stochastic regressors and residuals
| 2008-03-06 | Paper |
Asymptotic distribution of the sample average value-at-risk
| 2008-03-06 | Paper |
Optimal Financial Portfolios
Applied Mathematical Finance | 2008-01-31 | Paper |
Computing the portfolio conditional value-at-risk in the \(\alpha\)-stable case
| 2007-01-30 | Paper |
THE PROPER USE OF RISK MEASURES IN PORTFOLIO THEORY
International Journal of Theoretical and Applied Finance | 2006-10-16 | Paper |
scientific article; zbMATH DE number 5038977 (Why is no real title available?)
| 2006-07-06 | Paper |
Univariate stable laws in the field of finance -- parameter estimation
| 2006-07-06 | Paper |
scientific article; zbMATH DE number 5010400 (Why is no real title available?)
| 2006-03-09 | Paper |
scientific article; zbMATH DE number 2211250 (Why is no real title available?)
| 2005-09-29 | Paper |
scientific article; zbMATH DE number 2173980 (Why is no real title available?)
| 2005-06-07 | Paper |
Calibration of a basket option model applied to company valuation
Mathematical Methods of Operations Research | 2003-07-16 | Paper |
