This book covers the method of metric distances and its application in probability theory and
other fields. The method is fundamental in the study of limit theorems and generally in …

The classes of reward‐risk optimization problems that arise from different choices of reward
and risk measures are considered. In certain examples the generic problem reduces to …

… Stoyanov and Frank J. Fabozzi to be identified as the author of this work has been asserted
… Stoyanov is a Professor of Finance at EDHEC Business School and Scientific Director for …

In the post-crisis era, financial institutions seem to be more aware of the risks posed by
extreme events. Even though there are attempts to adapt methodologies drawing from the vast …

Distortion risk measures are perspective risk measures because they allow an asset manager
to reflect a client’s attitude toward risk by choosing the appropriate distortion function. In …

Risk management through marginal rebalancing is important for institutional investors due
to the size of their portfolios. We consider the problem of improving marginally portfolio VaR …

Analyzing comovements in equity markets is important for risk diversification in portfolio
management. Copulas have several advantages compared to the linear correlation measure in …

… ∗Stoyan Stoyanov gratefully acknowledges research support by grant MM 1103/2001,
MES, Bulgaria †Rachev gratefully acknowledges research support by grants from Division of …

This article investigates whether the Gaussian distribution hypothesis holds 382 US stocks
and compares it to the stable Paretian hypothesis. The daily returns are examined in the …

… The formal result in Stoyanov and Rachev (2008b) confirms these observations. Taking
advantage of the generalized … This case is considered in detail in Stoyanov and Rachev (2008a). …