Spiridon I. Penev

According to our database, Spiridon I. Penev authored at least 16 papers between 1997 and 2024.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2024

Regularized distributionally robust optimization with application to the index tracking problem.

Leyang Zhao, Guoyin Li, Spiridon I. Penev

Ann. Oper. Res., June, 2024

2023

Stability and Sample-Based Approximations of Composite Stochastic Optimization Problems.

Darinka Dentcheva, Yang Lin, Spiridon I. Penev

Oper. Res., 2023

LegendreTron: Uprising Proper Multiclass Loss Learning.

Kevin H. Lam, Christian J. Walder, Spiridon I. Penev, Richard Nock

Proceedings of the International Conference on Machine Learning, 2023

2020

Multiple imputation and functional methods in the presence of measurement error and missingness in explanatory variables.

Firouzeh Noghrehchi, Jakub Stoklosa, Spiridon I. Penev

Comput. Stat., 2020

2019

The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion.

Spiridon I. Penev, Pavel V. Shevchenko, Wei Wu

Eur. J. Oper. Res., 2019

2018

Locally robust methods and near-parametric asymptotics.

Spiridon I. Penev, Kanta Naito

J. Multivar. Anal., 2018

Shape-preserving wavelet-based multivariate density estimation.

Carlos Aya-Moreno, Gery Geenens, Spiridon I. Penev

J. Multivar. Anal., 2018

Comparing large-sample maximum Sharpe ratios and incremental variable testing.

Michael Hanke, Spiridon I. Penev

Eur. J. Oper. Res., 2018

2017

Multivariate nonparametric test of independence.

Yanan Fan, Pierre Lafaye de Micheaux, Spiridon I. Penev, Donna Salopek

J. Multivar. Anal., 2017

Random orthogonal matrix simulation with exact means, covariances, and multivariate skewness.

Michael Hanke, Spiridon I. Penev, Wolfgang K. Schief, Alex Weissensteiner

Eur. J. Oper. Res., 2017

2016

Multiperiod mean-standard-deviation time consistent portfolio selection.

Hugh Bannister, Beniamin Goldys, Spiridon I. Penev, Wei Wu

Autom., 2016

2013

Multistage optimization of option portfolio using higher order coherent risk measures.

Yassine Matmoura, Spiridon I. Penev

Eur. J. Oper. Res., 2013

2010

Kusuoka representation of higher order dual risk measures.

Darinka Dentcheva, Spiridon I. Penev, Andrzej Ruszczynski

Ann. Oper. Res., 2010

2008

GeD spline estimation of multivariate Archimedean copulas.

Dimitrina S. Dimitrova, Vladimir K. Kaishev, Spiridon I. Penev

Comput. Stat. Data Anal., 2008

2000

A Wiener Germ approximation of the noncentral chi square distribution and of its quantiles.

Spiridon I. Penev, Tenko Raykov

Comput. Stat., 2000

1997

Numerical performance of block thresholded wavelet estimators.

Peter Hall, Spiridon I. Penev, Gerard Kerkyacharian, Dominique Picard

Stat. Comput., 1997