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ORCIDSvetlozar T. Rachev
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2020 – today
- 2024
[j20]Nuerxiati Abudurexiti, Kai He, Dongdong Hu, Svetlozar T. Rachev, Hasanjan Sayit, Ruoyu Sun:
Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean-variance mixture models. Ann. Oper. Res. 336(1-2): 945-966 (2024)- 2020
- [j19]Abootaleb Shirvani, Stoyan V. Stoyanov, Svetlozar T. Rachev, Frank J. Fabozzi:
A New Set of Financial Instruments. Frontiers Appl. Math. Stat. 6: 606812 (2020)
2010 – 2019
- 2017
- [j18]Michele Leonardo Bianchi
, Svetlozar T. Rachev, Frank J. Fabozzi:
Tempered stable Ornstein- Uhlenbeck processes: A practical view. Commun. Stat. Simul. Comput. 46(1): 423-445 (2017) - 2013
- [j17]Stoyan V. Stoyanov, Svetlozar T. Rachev, Frank J. Fabozzi:
Sensitivity of portfolio VaR and CVaR to portfolio return characteristics. Ann. Oper. Res. 205(1): 169-187 (2013) - [j16]John B. Guerard Jr., Svetlozar T. Rachev, Barret Pengyuan Shao:
Efficient global portfolios: Big data and investment universes. IBM J. Res. Dev. 57(5) (2013) - [c2]Markus Hoechstoetter, Abdolreza Nazemi, Svetlozar T. Rachev, Caslav Bozic:
An Application of Data Mining in Consumer Credit. ICDM (Workshops) 2013: 1-15 - 2012
- [j15]Young Shin Kim, Rosella Giacometti, Svetlozar T. Rachev, Frank J. Fabozzi, Domenico Mignacca:
Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model. Ann. Oper. Res. 201(1): 325-343 (2012) - [j14]Lev B. Klebanov, Ashot V. Kakosyan, Svetlozar T. Rachev, Grigory Temnov:
On a Class of Distributions Stable Under Random Summation. J. Appl. Probab. 49(2): 303-318 (2012) - 2010
- [j13]Stoyan V. Stoyanov, Borjana Racheva-Iotova, Svetlozar T. Rachev, Frank J. Fabozzi:
Stochastic models for risk estimation in volatile markets: a survey. Ann. Oper. Res. 176(1): 293-309 (2010)
2000 – 2009
- 2009
- [j12]Svetlozar T. Rachev, Frank J. Fabozzi:
Introduction to special issue: studies in mathematical and empirical finance. Math. Methods Oper. Res. 69(3): 375-377 (2009) - [j11]Christian Menn, Svetlozar T. Rachev:
Smoothly truncated stable distributions, GARCH-models, and option pricing. Math. Methods Oper. Res. 69(3): 411-438 (2009) - 2008
- [j10]Domenico De Giovanni, Sergio Ortobelli Lozza, Svetlozar T. Rachev:
Delta hedging strategies comparison. Eur. J. Oper. Res. 185(3): 1615-1631 (2008) - 2006
- [j9]Christian Menn, Svetlozar T. Rachev:
Calibrated FFT-based density approximations for alpha. Comput. Stat. Data Anal. 50(8): 1891-1904 (2006) - [j8]Anna Chernobai, Krzysztof Burnecki, Svetlozar T. Rachev, Stefan Trück, Rafal Weron:
Modelling catastrophe claims with left-truncated severity distributions. Comput. Stat. 21(3-4): 537-555 (2006) - 2005
- [j7]Christian Menn, Svetlozar T. Rachev:
A GARCH option pricing model with alpha-stable innovations. Eur. J. Oper. Res. 163(1): 201-209 (2005) - [p1]Svetlozar T. Rachev, Stoyan V. Stoyanov, Almira Biglova, Frank J. Fabozzi:
An Empirical Examination of Daily Stock Return Distributions for U.S. Stocks. Data Analysis and Decision Support 2005: 269-281 - 2004
- [c1]Fabio Lamantia, Sergio Ortobelli Lozza, Svetlozar T. Rachev:
Time-Scale Transformations: Effects on VaR Models. International Conference on Computational Science 2004: 779-786 - 2002
- [j6]Svetlozar T. Rachev, Werner Römisch:
Quantitative Stability in Stochastic Programming: The Method of Probability Metrics. Math. Oper. Res. 27(4): 792-818 (2002) - 2001
- [j5]Stefan Trück, Svetlozar T. Rachev, Thomas Link:
New Tendencies in Rating SMEs with Respect to Basel II. Informatica 12(4): 593-610 (2001) - 2000
- [j4]Lev B. Klebanov, Svetlozar T. Rachev, M. Safarian:
Local prelimit theorems and their applications to finance. Appl. Math. Lett. 13(5): 73-78 (2000)
1990 – 1999
- 1993
- [j3]I. Olkin, Svetlozar T. Rachev:
Maximum Submatrix Traces for Positive Definite Matrices. SIAM J. Matrix Anal. Appl. 14(2): 390-397 (1993) - 1990
- [j2]Anatoliy T. Fomenko, Svetlozar T. Rachev:
Volume functions of historical texts and the amplitude correlation principle. Comput. Humanit. 24(3): 187-206 (1990)
1980 – 1989
- 1989
- [j1]Svetlozar T. Rachev:
The Problem of Stability in Queueing Theory. Queueing Syst. Theory Appl. 4(4): 287-317 (1989)
Coauthor Index
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