Svetlozar T. Rachev

Publication Activity (10 Years)

Years Active: 1990-2024
Publications (10 Years): 3

Top Topics

Robust Optimization

Nonparametric Estimation

Mixture Modeling

Top Venues

Ann. Oper. Res.

Commun. Stat. Simul. Comput.

Frontiers Appl. Math. Stat.

Publications

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) (2024)
Abootaleb Shirvani, Stoyan V. Stoyanov, Svetlozar T. Rachev, Frank J. Fabozzi
A New Set of Financial Instruments. Frontiers Appl. Math. Stat. 6 (2020)
Michele Leonardo Bianchi, Svetlozar T. Rachev, Frank J. Fabozzi
Tempered stable Ornstein- Uhlenbeck processes: A practical view. Commun. Stat. Simul. Comput. 46 (1) (2017)
Stoyan V. Stoyanov, Svetlozar T. Rachev, Frank J. Fabozzi
Sensitivity of portfolio VaR and CVaR to portfolio return characteristics. Ann. Oper. Res. 205 (1) (2013)
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)
Markus Hoechstoetter, Abdolreza Nazemi, Svetlozar T. Rachev, Caslav Bozic
An Application of Data Mining in Consumer Credit. ICDM (Workshops) (2013)
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) (2012)
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) (2010)
Christian Menn, Svetlozar T. Rachev
Smoothly truncated stable distributions, GARCH-models, and option pricing. Math. Methods Oper. Res. 69 (3) (2009)
Svetlozar T. Rachev, Frank J. Fabozzi
Introduction to special issue: studies in mathematical and empirical finance. Math. Methods Oper. Res. 69 (3) (2009)
Domenico De Giovanni, Sergio Ortobelli Lozza, Svetlozar T. Rachev
Delta hedging strategies comparison. Eur. J. Oper. Res. 185 (3) (2008)
Anna Chernobai, Krzysztof Burnecki, Svetlozar T. Rachev, Stefan Trück, Rafal Weron
Modelling catastrophe claims with left-truncated severity distributions. Comput. Stat. 21 (3-4) (2006)
Christian Menn, Svetlozar T. Rachev
Calibrated FFT-based density approximations for alpha. Comput. Stat. Data Anal. 50 (8) (2006)
Christian Menn, Svetlozar T. Rachev
A GARCH option pricing model with alpha-stable innovations. Eur. J. Oper. Res. 163 (1) (2005)
Fabio Lamantia, Sergio Ortobelli Lozza, Svetlozar T. Rachev
Time-Scale Transformations: Effects on VaR Models. International Conference on Computational Science (2004)
Svetlozar T. Rachev, Werner Römisch
Quantitative Stability in Stochastic Programming: The Method of Probability Metrics. Math. Oper. Res. 27 (4) (2002)
Stefan Trück, Svetlozar T. Rachev, Thomas Link
New Tendencies in Rating SMEs with Respect to Basel II. Informatica 12 (4) (2001)
Anatoliy T. Fomenko, Svetlozar T. Rachev
Volume functions of historical texts and the amplitude correlation principle. Comput. Humanit. 24 (3) (1990)