Svetlozar T. Rachev

According to our database, Svetlozar T. Rachev authored at least 23 papers between 1989 and 2024.

Collaborative distances:

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

2024

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

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

Ann. Oper. Res., May, 2024

2020

A New Set of Financial Instruments.

Abootaleb Shirvani, Stoyan V. Stoyanov, Svetlozar T. Rachev, Frank J. Fabozzi

Frontiers Appl. Math. Stat., 2020

2017

Tempered stable Ornstein- Uhlenbeck processes: A practical view.

Michele Leonardo Bianchi, Svetlozar T. Rachev, Frank J. Fabozzi

Commun. Stat. Simul. Comput., 2017

2013

Efficient global portfolios: Big data and investment universes.

John B. Guerard Jr., Svetlozar T. Rachev, Barret Pengyuan Shao

IBM J. Res. Dev., 2013

Sensitivity of portfolio VaR and CVaR to portfolio return characteristics.

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

Ann. Oper. Res., 2013

An Application of Data Mining in Consumer Credit.

Markus Hoechstoetter, Abdolreza Nazemi, Svetlozar T. Rachev, Caslav Bozic

Proceedings of the Advances in Data Mining, 13th Industrial Conference, 2013

2012

On a Class of Distributions Stable Under Random Summation.

Lev B. Klebanov, Ashot V. Kakosyan, Svetlozar T. Rachev, Grigory Temnov

J. Appl. Probab., 2012

Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model.

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

Ann. Oper. Res., 2012

2010

Stochastic models for risk estimation in volatile markets: a survey.

Stoyan V. Stoyanov, Borjana Racheva-Iotova, Svetlozar T. Rachev, Frank J. Fabozzi

Ann. Oper. Res., 2010

2009

Introduction to special issue: studies in mathematical and empirical finance.

Svetlozar T. Rachev, Frank J. Fabozzi

Math. Methods Oper. Res., 2009

Smoothly truncated stable distributions, GARCH-models, and option pricing.

Christian Menn, Svetlozar T. Rachev

Math. Methods Oper. Res., 2009

2008

Delta hedging strategies comparison.

Domenico De Giovanni, Sergio Ortobelli Lozza, Svetlozar T. Rachev

Eur. J. Oper. Res., 2008

2006

Modelling catastrophe claims with left-truncated severity distributions.

Anna Chernobai, Krzysztof Burnecki, Svetlozar T. Rachev, Stefan Trück, Rafal Weron

Comput. Stat., 2006

Calibrated FFT-based density approximations for alpha.

Christian Menn, Svetlozar T. Rachev

Comput. Stat. Data Anal., 2006

2005

An Empirical Examination of Daily Stock Return Distributions for U.S. Stocks.

Svetlozar T. Rachev, Stoyan V. Stoyanov, Almira Biglova, Frank J. Fabozzi

Proceedings of the Data Analysis and Decision Support, 2005

A GARCH option pricing model with alpha-stable innovations.

Christian Menn, Svetlozar T. Rachev

Eur. J. Oper. Res., 2005

2004

Time-Scale Transformations: Effects on VaR Models.

Fabio Lamantia, Sergio Ortobelli Lozza, Svetlozar T. Rachev

Proceedings of the Computational Science, 2004

2002

Quantitative Stability in Stochastic Programming: The Method of Probability Metrics.

Svetlozar T. Rachev, Werner Römisch

Math. Oper. Res., 2002

2001

New Tendencies in Rating SMEs with Respect to Basel II.

Stefan Trück, Svetlozar T. Rachev, Thomas Link

Informatica, 2001

2000

Local prelimit theorems and their applications to finance.

Lev B. Klebanov, Svetlozar T. Rachev, M. Safarian

Appl. Math. Lett., 2000

1993

Maximum Submatrix Traces for Positive Definite Matrices.

I. Olkin, Svetlozar T. Rachev

SIAM J. Matrix Anal. Appl., April, 1993

1990

Volume functions of historical texts and the amplitude correlation principle.

Anatoliy T. Fomenko, Svetlozar T. Rachev

Comput. Humanit., 1990

1989

The Problem of Stability in Queueing Theory.

Svetlozar T. Rachev

Queueing Syst. Theory Appl., 1989