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Stoyanov, Stoyan V.'s
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
625 |
Total
Citations
13 |
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1.
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Stoyanov, Stoyan V.
EDHEC Business School Rachev, Svetlozar
University of Karlsruhe - Institut für Statistik und Mathematische Wirtschaftstheorie Fabozzi, Frank J.
EDHEC Business School
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140
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3
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mean-variance analysis, Sharpe ratio, STARR ratio, Rachev ratio, Conditional value-at-risk, efficient frontier
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2.
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Stoyanov, Stoyan V.
EDHEC Business School Samorodnitsky, Gennady
Cornell University Rachev, Svetlozar
University of Karlsruhe - Institut für Statistik und Mathematische Wirtschaftstheorie Ortobelli Lozza, Sergio
University of Bergamo - Mathematics, Statistics, Computer Science and Applications (MSIA)
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131
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6
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stable distributions, heavy tails, coherent risk measures, conditional value-at-risk, expected tail loss
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3.
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Stoyanov, Stoyan V.
EDHEC Business School
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97
(137,836)
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spectral risk measures, L-moments, coherent risk measures, mean-variance analysis, Gini mean difference
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4.
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Stoyanov, Stoyan V.
EDHEC Business School Racheva-Iotova, Boryana
affiliation not provided to SSRN
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80
(156,065)
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stable distributions, risk management
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5.
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Dokov, Steftcho
affiliation not provided to SSRN Stoyanov, Stoyan V.
EDHEC Business School Rachev, Svetlozar
University of Karlsruhe - Institut für Statistik und Mathematische Wirtschaftstheorie
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75
(162,342)
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3
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skewed-T distribution, value-at-risk, average value-at-risk, conditional value-at-risk
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6.
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Stoyanov, Stoyan V.
EDHEC Business School Rachev, Svetlozar
University of Karlsruhe - Institut für Statistik und Mathematische Wirtschaftstheorie Racheva-Iotova, Boryana
affiliation not provided to SSRN Fabozzi, Frank J.
EDHEC Business School
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48
(203,771)
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Fat-Tailed Distributions, Stable Distributions, Downside Risk, Average Value-at-Risk, Conditional Value-at-Risk, Risk Budgeting
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7.
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Stoyanov, Stoyan V.
EDHEC Business School Rachev, Svetlozar
University of Karlsruhe - Institut für Statistik und Mathematische Wirtschaftstheorie Fabozzi, Frank J.
EDHEC Business School
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38
(223,690)
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Probability Metrics, Stochastic Dominance, Dispersion Measure, Deviation Measure, Risk Measure, Benchmark-Tracking
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8.
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Stoyanov, Stoyan V.
EDHEC Business School Rachev, Svetlozar
University of Karlsruhe - Institut für Statistik und Mathematische Wirtschaftstheorie
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16
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1
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average value-at-risk, risk measures, heavy-tails, asymptotic distribution, Monte Carlo method
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9.
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Stoyanov, Stoyan V.
EDHEC Business School Rachev, Svetlozar
University of Karlsruhe - Institut für Statistik und Mathematische Wirtschaftstheorie Racheva-Iotova, Boryana
affiliation not provided to SSRN Fabozzi, Frank J.
EDHEC Business School
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Fat-Tailed Distributions, Tempered Stable Distributions, Extreme Value Theory, Student's T Distribution, Risk Measurement
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Records 1 -
9
of 9 matches
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