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Svetlozar Rachev
Information about the author Svetlozar Rachev will soon be added to the site.
Found
2 papers
in total
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Sensitivity of portfolio VaR and CVaR to portfolio return characteristics
2013
Risk management through marginal rebalancing is important for institutional investors...
Measuring financial risk and portfolio optimization with a non‐Gaussian multivariate model
2012
In this paper, we propose a multivariate market model with returns assumed to follow a...
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