Spiridon Penev

University of New South Wales (UNSW) - School of Mathematics

Department of Statistics

Sydney, New South Wales

2053 Australia

SCHOLARLY PAPERS

3

DOWNLOADS

154

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (3)

1.

Ex Ante Comparison of Maximum Sharpe Ratios and Incremental Variable Testing

European Journal of Operational Research, Volume 265, Issue 2, 1 March 2018, Pages 571-579
Number of pages: 21 Posted: 19 Jan 2016 Last Revised: 30 Jan 2018
Michael Hanke and Spiridon Penev
University of Liechtenstein and University of New South Wales (UNSW) - School of Mathematics
Downloads 81 (302,720)

Abstract:

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Maximum Sharpe ratio, Incremental variables, Comparing tangency portfolios, Mean-variance spanning

2.

Random Orthogonal Matrix Simulation with Exact Means, Covariances, and Multivariate Skewness

European Journal of Operational Research, forthcoming
Number of pages: 46 Posted: 11 Aug 2016 Last Revised: 30 Jun 2017
University of Liechtenstein, University of New South Wales (UNSW) - School of Mathematics, University of New South Wales (UNSW) - School of Mathematics and Statistics and Free University of Bolzano Bozen
Downloads 62 (350,677)

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ROM simulation, multivariate skewness, risk factors

3.

The Impact of Model Risk on Dynamic Portfolio Selection Under Multi-Period Mean-Standard-Deviation Criterion

European Journal of Operational Research (2018), doi: 10.1016/j.ejor.2018.08.026
Number of pages: 33 Posted: 13 Oct 2018
Spiridon Penev, Pavel V. Shevchenko and Wei Wu
University of New South Wales (UNSW) - School of Mathematics, Macquarie University and University of New South Wales (UNSW) - School of Mathematics and Statistics
Downloads 11 (575,859)

Abstract:

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Uncertainty Modelling, Robust Portfolio Allocation, Multivariate Statistics, Pseudo Dynamic Programming, Mean-Standard-Deviation, Kullback-Leibler Divergence