Spiridon I. Penev

Orcid: 0000-0002-3669-0010

Affiliations:
  • University of New South Wales, School of Mathematics and Statistics, Australia


According to our database1, Spiridon I. Penev authored at least 16 papers between 1997 and 2024.

Collaborative distances:
  • Dijkstra number2 of five.
  • Erdős number3 of four.

Timeline

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Bibliography

2024
Regularized distributionally robust optimization with application to the index tracking problem.
Ann. Oper. Res., June, 2024

2023
Stability and Sample-Based Approximations of Composite Stochastic Optimization Problems.
Oper. Res., 2023

LegendreTron: Uprising Proper Multiclass Loss Learning.
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.
Comput. Stat., 2020

2019
The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion.
Eur. J. Oper. Res., 2019

2018
Locally robust methods and near-parametric asymptotics.
J. Multivar. Anal., 2018

Shape-preserving wavelet-based multivariate density estimation.
J. Multivar. Anal., 2018

Comparing large-sample maximum Sharpe ratios and incremental variable testing.
Eur. J. Oper. Res., 2018

2017
Multivariate nonparametric test of independence.
J. Multivar. Anal., 2017

Random orthogonal matrix simulation with exact means, covariances, and multivariate skewness.
Eur. J. Oper. Res., 2017

2016
Multiperiod mean-standard-deviation time consistent portfolio selection.
Autom., 2016

2013
Multistage optimization of option portfolio using higher order coherent risk measures.
Eur. J. Oper. Res., 2013

2010
Kusuoka representation of higher order dual risk measures.
Ann. Oper. Res., 2010

2008
GeD spline estimation of multivariate Archimedean copulas.
Comput. Stat. Data Anal., 2008

2000
A Wiener Germ approximation of the noncentral chi square distribution and of its quantiles.
Comput. Stat., 2000

1997
Numerical performance of block thresholded wavelet estimators.
Stat. Comput., 1997


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