Svetlozar Rachev

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Svetlozar Rachev

Calculated based on number of publications stored in Pure and citations from Scopus
1981 …2024

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  • Conference contribution

    A comparison among performance measures in portfolio theory

    Ortobelli, S., Biglova, A., Stoyanov, S., Rachev, S. & Fabozzi, F., 2005, Proceedings of the 16th IFAC World Congress, IFAC 2005. IFAC Secretariat, p. 1-5 5 p. (IFAC Proceedings Volumes (IFAC-PapersOnline); vol. 16).

    Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

    Open Access
    2 Scopus citations

  • A new tempered stable distribution and its application to finance

    Kim, Y. S., Rachev, S. T., Bianchi, M. L. & Fabozzi, F. J., 2009, Risk Assessment: Decisions in Banking and Finance. Bol, G., Rachev, S. & Wurth, R. (eds.). p. 77-109 33 p. (Contributions to Economics).

    Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

    10 Scopus citations

  • Estimation of α-stable sub-Gaussian distributions for asset returns

    Kring, S., Rachev, S. T., Höchstötter, M. & Fabozzi, F. J., 2009, Risk Assessment: Decisions in Banking and Finance. Bol, G., Rachev, S. & Wurth, R. (eds.). p. 111-152 42 p. (Contributions to Economics).

    Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

    22 Scopus citations

  • On constrained transportation problems

    Rachev, S. T. & Ruschendorf, L., 1993, Proceedings of the IEEE Conference on Decision and Control. Anon (ed.). Publ by IEEE, p. 2896-2900 5 p. (Proceedings of the IEEE Conference on Decision and Control; vol. 3).

    Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

  • Pricing tranches of a CDO and a CDS index: Recent advances and future research

    Wang, D., Rachev, S. T. & Fabozzi, F. J., 2009, Risk Assessment: Decisions in Banking and Finance. Bol, G., Rachev, S. & Wurth, R. (eds.). p. 263-286 24 p. (Contributions to Economics).

    Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

    5 Scopus citations

  • Stable ETL optimal portfolios and extreme risk management

    Rachev, S. T., Martin, R. D., Racheva, B. & Stoyanov, S., 2009, Risk Assessment: Decisions in Banking and Finance. Bol, G., Rachev, S. & Wurth, R. (eds.). p. 235-262 28 p. (Contributions to Economics).

    Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

    14 Scopus citations

  • Tempered stable distributions and processes in finance: Numerical analysis

    Bianchi, M. L., Rachev, S. T., Kim, Y. S. & Fabozzi, F. J., 2010, Mathematical and Statistical Methods for Actuarial Sciences and Finance. Kluwer Academic Publishers, p. 33-42 10 p. (Mathematical and Statistical Methods for Actuarial Sciences and Finance).

    Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

    Open Access
    35 Scopus citations