Svetlozar T. Rachev - Publications, H-index & Citations

Svetlozar T. Rachev

Helmholtz Association

47H指数

432论文数

9.2K被引数

收录论文 12

发表时间

Sustainability-valued discrete option pricing in complete markets

JOURNAL OF SUSTAINABLE FINANCE & INVESTMENT

IF4.3

2024-03-25

PREAI

Hu, Yuan; Lindquist, W. Brent; Rachev, Svetlozar T.

Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean-variance mixture models

ANNALS OF OPERATIONS RESEARCH

IF4.5

2023-05-30

PREAI

Abudurexiti, Nuerxiati; He, Kai; Hu, Dongdong; Rachev, Svetlozar T.; Sayit, Hasanjan; Sun, Ruoyu

Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model 基于非高斯多变量模型的金融风险度量与投资组合优化

ANNALS OF OPERATIONS RESEARCH

IF4.5

2012-11-21

PREAI

Kim, Young Shin; Giacometti, Rosella; Rachev, Svetlozar T.; Fabozzi, Frank J.; Mignacca, Domenico

Sensitivity of portfolio VaR and CVaR to portfolio return characteristics 投资组合VaR和CVaR对投资组合收益特征的敏感性

ANNALS OF OPERATIONS RESEARCH

IF4.5

2012-04-27

PREAI

Stoyanov, Stoyan V.; Rachev, Svetlozar T.; Fabozzi, Frank J.

Balancing energy strategies in electricity portfolio management

ENERGY ECONOMICS

IF14.2

2011-01-01

OAAI

Moeller, Christoph; Rachev, Svetlozar T.; Fabozzi, Frank J.

Multi-tail generalized elliptical distributions for asset returns 资产收益的多尾广义椭圆分布

ECONOMETRICS JOURNAL

IF7

2009-07-01

PREAI

Kring, Sebastian; Rachev, Svetlozar T.; Hoechstoetter, Markus; Fabozzi, Frank J.; Bianchi, Michele Leonardo

Relative deviation metrics and the problem of strategy replication

JOURNAL OF BANKING & FINANCE

IF3.8

2008-02-01

PREAI

Stoyanov, Stoyan V.; Rachev, Svetlozar T.; Ortobelli, Sergio; Fabozzi, Frank J.

Quantifying risk in the electricity business:: A RAROC-based approach

ENERGY ECONOMICS

IF14.2

2007-09-01

PREAI

Prokopczuk, Marcel; Rachev, Svetlozar T.; Schindlmayr, Gero; Truck, Stefan

Momentum strategies based on reward-risk stock selection criteria

JOURNAL OF BANKING & FINANCE

IF3.8

2007-08-01

PREAI

Rachev, Svetlozar; Jasic, Teo; Stoyanov, Stoyan; Fabozzi, Frank J.

Stationarity of stable power-GARCH processes 稳定幂-GARCH过程的平稳性

JOURNAL OF ECONOMETRICS

IF4

2002-01-01

PREAI

Mittnik, S; Paotella, MS; Rachev, ST

A distribution of tumor size at detection and its limiting form

PROCEEDINGS OF THE NATIONAL ACADEMY OF SCIENCES OF THE UNITED STATES OF AMERICA

IF9.1

1996-06-25

OAAI

Yakovlev, AY; Hanin, LG; Rachev, ST; Tsodikov, AD

THE THEORY OF GEOMETRIC STABLE-DISTRIBUTIONS AND ITS USE IN MODELING FINANCIAL DATA 几何稳定分布理论及其在金融数据建模中的应用

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH

IF6

1994-04-01

PREAI

KOZUBOWSKI, TJ; RACHEV, ST

研究方向