Stoyan V. Stoyanov

Charles Schwab

101 Montgomery Street (120K-15)

San Francisco, CA 94104

United States

SCHOLARLY PAPERS

18

DOWNLOADS
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Top 30,516

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2,541

SSRN CITATIONS
Rank 25,217

SSRN RANKINGS

Top 25,217

in Total Papers Citations

7

CROSSREF CITATIONS

30

Scholarly Papers (18)

1.

Computing the Portfolio Conditional Value-at-Risk in the Alpha-Stable Case

Probability and Mathematical Statistics, Vol. 26, No. 1, pp. 1-22, 2006
Number of pages: 25 Posted: 21 Dec 2010
Charles Schwab, Cornell University, Texas Tech University and University of Bergamo - Mathematics, Statistics, Computer Science and Applications (MSIA)
Downloads 382 (118,304)
Citation 1

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stable distributions, heavy tails, coherent risk measures, conditional value-at-risk, expected tail loss

2.

Optimal Financial Portfolios

Applied Mathematical Finance, Vol. 14, No. 5, 2007
Number of pages: 36 Posted: 22 Dec 2010
Stoyan V. Stoyanov, Svetlozar Rachev and Frank J. Fabozzi
Charles Schwab, Texas Tech University and EDHEC Business School
Downloads 379 (119,387)
Citation 5

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mean-variance analysis, Sharpe ratio, STARR ratio, Rachev ratio, Conditional value-at-risk, efficient frontier

3.

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

Number of pages: 30 Posted: 02 Mar 2020
Texas Tech University, Charles Schwab, Ludwig Maximilian University of Munich (LMU), EDHEC Business School and Texas Tech University - Department of Mathematics and Statistics
Downloads 327 (140,483)

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Behavioral Finance, Rational Finance

4.

Portfolio Choice When Stock Returns May Disappoint: An Empirical Analysis Based on L-Moments

Swiss Finance Institute Research Paper No. 18-65, Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC, 31st Australasian Finance and Banking Conference 2018
Number of pages: 78 Posted: 30 Jul 2018 Last Revised: 06 Sep 2022
Monash UniversityMonash University, USI Lugano - Institute of Finance and Charles Schwab
Downloads 251 (184,386)
Citation 1

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choice under uncertainty, optimal portfolios, generalized disappointment aversion, higher-order moments

5.

Computing VaR and AVaR of Skewed-T Distribution

Journal of Applied Functional Analysis, 3, pp. 189-209, 2008
Number of pages: 19 Posted: 24 Dec 2010
Steftcho Dokov, Stoyan V. Stoyanov and Svetlozar Rachev
affiliation not provided to SSRN, Charles Schwab and Texas Tech University
Downloads 222 (207,565)

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skewed-T distribution, value-at-risk, average value-at-risk, conditional value-at-risk

6.

Equity Premium Puzzle or Faulty Economic Modelling?

Number of pages: 13 Posted: 04 Mar 2020
Texas Tech University - Department of Mathematics and Statistics, Charles Schwab, EDHEC Business School and Texas Tech University
Downloads 152 (289,501)
Citation 1

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Rational Finance, Equity Premium Puzzle, Normal compound inverse Gaussian distribution

7.

Numerical Methods for Stable Modeling in Financial Risk Management

HANDBOOK OF COMPUTATIONAL AND NUMERICAL METHODS IN FINANCE, pp. 299-329, S. Rachev, ed., Birkhauser, 2004
Number of pages: 33 Posted: 23 Dec 2010
Stoyan V. Stoyanov and Boryana Racheva-Iotova
Charles Schwab and affiliation not provided to SSRN
Downloads 150 (292,710)

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stable distributions, risk management

8.

A Moment Expansion of Downside Risk Measures

Number of pages: 30 Posted: 21 Feb 2011
Stoyan V. Stoyanov
Charles Schwab
Downloads 148 (295,873)
Citation 1

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spectral risk measures, L-moments, coherent risk measures, mean-variance analysis, Gini mean difference

9.

Stochastic Models for Risk Estimation in Volatile Markets: A Survey

Annals of Operation Research, Vol. 176, No. 1, 2010
Number of pages: 22 Posted: 24 Dec 2010
Charles Schwab, Texas Tech University, affiliation not provided to SSRN and EDHEC Business School
Downloads 113 (362,372)

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Fat-Tailed Distributions, Stable Distributions, Downside Risk, Average Value-at-Risk, Conditional Value-at-Risk, Risk Budgeting

Tail Parameters of Stable Distributions Using One Million Observations of Real Estate Returns from Five Continents

Number of pages: 34 Posted: 20 Nov 2013
Michael Stein, Daniel Piazolo and Stoyan V. Stoyanov
University of Duisburg-Essen, THM Technische Hochschule Mittelhessen and Charles Schwab
Downloads 61 (531,371)
Citation 1

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Real Estate Return Distributions, Stable Distributions, Tail Dependence

Tail Parameters of Stable Distributions Using One Million Observations of Real Estate Returns from Five Continents

Ruhr Economic Paper No. 465
Number of pages: 38 Posted: 11 Apr 2014
Michael Stein, Daniel Piazolo and Stoyan V. Stoyanov
University of Duisburg-Essen, THM Technische Hochschule Mittelhessen and Charles Schwab
Downloads 19 (802,375)

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Real Estate return distributions; stable distributions, tail dependence

Tail Parameters of Stable Distributions Using One Million Observations of Real Estate Returns from Five Continents

Journal of Real Estate Research, Vol. 37, No. 2, 2015, 245 - 279
Posted: 28 Nov 2015
Michael Stein, Daniel Piazolo and Stoyan V. Stoyanov
University of Duisburg-Essen, THM Technische Hochschule Mittelhessen and Charles Schwab

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Real Estate Return Distributions, Stable Distributions, Tail Dependence

11.

Probability Metrics Applied to Problems in Portfolio Theory

Journal of Statistical Theory and Practice, Vol. 2, No. 2, pp. 253-277, 2008
Number of pages: 40 Posted: 23 Dec 2010
Stoyan V. Stoyanov, Svetlozar Rachev and Frank J. Fabozzi
Charles Schwab, Texas Tech University and EDHEC Business School
Downloads 76 (466,185)

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Probability Metrics, Stochastic Dominance, Dispersion Measure, Deviation Measure, Risk Measure, Benchmark-Tracking

12.

A New Set of Financial Instruments

Number of pages: 20 Posted: 26 Nov 2019
Texas Tech University - Department of Mathematics and Statistics, Charles Schwab, Texas Tech University and EDHEC Business School
Downloads 75 (469,643)
Citation 2

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option pricing, hedging, Merton's jump diffusion model, stochastic volatility model, tail-loss ratio risk measure

13.

Option Pricing in an Investment Risk-Return Setting

Number of pages: 25 Posted: 01 Aug 2019
College of Business, Stony Brook University, Charles Schwab, Texas Tech University and EDHEC Business School
Downloads 73 (476,790)

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option pricing; mean-variance portfolio; binomial pricing trees; stochastic continuous diffusions

14.

Asymptotic Distribution of the Sample Average Value-at-Risk in the Case of Heavy-Tailed Returns

Journal of Applied Functional Analysis, Vol. 3, pp. 443-461, 2008
Number of pages: 18 Posted: 24 Dec 2010
Stoyan V. Stoyanov and Svetlozar Rachev
Charles Schwab and Texas Tech University
Downloads 48 (583,040)

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average value-at-risk, risk measures, heavy-tails, asymptotic distribution, Monte Carlo method

15.

Coherent Moment-Based Approximations of Risk Functionals

Number of pages: 33 Posted: 31 Oct 2013
Stoyan V. Stoyanov
Charles Schwab
Downloads 36 (649,636)

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coherent risk functionals, conditional value-at-risk, value-at-risk, L-moments, portfolio construction, convexity.

16.

Testing Model Adequacy – A Metric Approach

Number of pages: 43 Posted: 26 Nov 2019 Last Revised: 27 Jan 2020
Stoyan V. Stoyanov
Charles Schwab
Downloads 29 (696,264)

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model adequacy, non-linear models, model aggregation

17.

Long and Short Memory in the Risk-Neutral Pricing Process

Journal of Derivatives, Summer 2019, DOI: https://doi.org/10.3905/jod.2019.1.077
Posted: 28 Feb 2019 Last Revised: 14 Sep 2021
Young Shin Kim, Danling Jiang and Stoyan V. Stoyanov
College of Business, Stony Brook University, College of Business, Stony Brook University and Charles Schwab

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Option Pricing, Long-Range Dependence, Fractional Levy Processes

18.

Fat-Tailed Models for Risk Estimation

Journal of Portfolio Management, Vol. 37, No. 2, 2011
Posted: 26 Feb 2011
Charles Schwab, Texas Tech University, affiliation not provided to SSRN and EDHEC Business School

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Fat-Tailed Distributions, Tempered Stable Distributions, Extreme Value Theory, Student's T Distribution, Risk Measurement