Spiridon I. Penev

Publication Activity (10 Years)

Years Active: 1997-2024
Publications (10 Years): 10

Top Topics

Root Mean Square Error

Robust Optimization

Measurement Error

Density Estimation

Top Venues

J. Multivar. Anal.

Eur. J. Oper. Res.

Ann. Oper. Res.

Publications

Leyang Zhao, Guoyin Li, Spiridon I. Penev
Regularized distributionally robust optimization with application to the index tracking problem. Ann. Oper. Res. 337 (1) (2024)
Darinka Dentcheva, Yang Lin, Spiridon I. Penev
Stability and Sample-Based Approximations of Composite Stochastic Optimization Problems. Oper. Res. 71 (5) (2023)
Firouzeh Noghrehchi, Jakub Stoklosa, Spiridon I. Penev
Multiple imputation and functional methods in the presence of measurement error and missingness in explanatory variables. Comput. Stat. 35 (3) (2020)
Spiridon I. Penev, Pavel V. Shevchenko, Wei Wu
The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion. Eur. J. Oper. Res. 273 (2) (2019)
Carlos Aya-Moreno, Gery Geenens, Spiridon I. Penev
Shape-preserving wavelet-based multivariate density estimation. J. Multivar. Anal. 168 (2018)
Spiridon I. Penev, Kanta Naito
Locally robust methods and near-parametric asymptotics. J. Multivar. Anal. 167 (2018)
Michael Hanke, Spiridon I. Penev
Comparing large-sample maximum Sharpe ratios and incremental variable testing. Eur. J. Oper. Res. 265 (2) (2018)
Michael Hanke, Spiridon I. Penev, Wolfgang K. Schief, Alex Weissensteiner
Random orthogonal matrix simulation with exact means, covariances, and multivariate skewness. Eur. J. Oper. Res. 263 (2) (2017)
Yanan Fan, Pierre Lafaye de Micheaux, Spiridon I. Penev, Donna Salopek
Multivariate nonparametric test of independence. J. Multivar. Anal. 153 (2017)
Hugh Bannister, Beniamin Goldys, Spiridon I. Penev, Wei Wu
Multiperiod mean-standard-deviation time consistent portfolio selection. Autom. 73 (2016)
Yassine Matmoura, Spiridon I. Penev
Multistage optimization of option portfolio using higher order coherent risk measures. Eur. J. Oper. Res. 227 (1) (2013)
Darinka Dentcheva, Spiridon I. Penev, Andrzej Ruszczynski
Kusuoka representation of higher order dual risk measures. Ann. Oper. Res. 181 (1) (2010)
Dimitrina S. Dimitrova, Vladimir K. Kaishev, Spiridon I. Penev
GeD spline estimation of multivariate Archimedean copulas. Comput. Stat. Data Anal. 52 (7) (2008)
Spiridon I. Penev, Tenko Raykov
A Wiener Germ approximation of the noncentral chi square distribution and of its quantiles. Comput. Stat. 15 (2) (2000)
Peter Hall, Spiridon I. Penev, Gerard Kerkyacharian, Dominique Picard
Numerical performance of block thresholded wavelet estimators. Stat. Comput. 7 (2) (1997)