Spiridon I. Penev

17 papers A* 1Journal 16
YearRankTypeTitle / Venue / Authors
2024 J jnl
Regularized distributionally robust optimization with application to the index tracking problem.
Ann. Oper. Res.
Leyang Zhao, Guoyin Li, Spiridon I. Penev
2023 A* conf
LegendreTron: Uprising Proper Multiclass Loss Learning.
ICML
Kevin H. Lam, Christian J. Walder, Spiridon I. Penev, Richard Nock
2023 J jnl
LegendreTron: Uprising Proper Multiclass Loss Learning.
CoRR
Kevin H. Lam, Christian J. Walder, Spiridon I. Penev, Richard Nock
2023 J jnl
Stability and Sample-Based Approximations of Composite Stochastic Optimization Problems.
Oper. Res.
Darinka Dentcheva, Yang Lin, Spiridon I. Penev
2020 J jnl
Multiple imputation and functional methods in the presence of measurement error and missingness in explanatory variables.
Comput. Stat.
Firouzeh Noghrehchi, Jakub Stoklosa, Spiridon I. Penev
2019 J jnl
The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion.
Eur. J. Oper. Res.
Spiridon I. Penev, Pavel V. Shevchenko, Wei Wu
2018 J jnl
Comparing large-sample maximum Sharpe ratios and incremental variable testing.
Eur. J. Oper. Res.
Michael Hanke, Spiridon I. Penev
2018 J jnl
Locally robust methods and near-parametric asymptotics.
J. Multivar. Anal.
Spiridon I. Penev, Kanta Naito
2018 J jnl
Shape-preserving wavelet-based multivariate density estimation.
J. Multivar. Anal.
Carlos Aya-Moreno, Gery Geenens, Spiridon I. Penev
2017 J jnl
Multivariate nonparametric test of independence.
J. Multivar. Anal.
Yanan Fan, Pierre Lafaye de Micheaux, Spiridon I. Penev, Donna Salopek
2017 J jnl
Random orthogonal matrix simulation with exact means, covariances, and multivariate skewness.
Eur. J. Oper. Res.
Michael Hanke, Spiridon I. Penev, Wolfgang K. Schief, Alex Weissensteiner
2016 J jnl
Multiperiod mean-standard-deviation time consistent portfolio selection.
Autom.
Hugh Bannister, Beniamin Goldys, Spiridon I. Penev, Wei Wu
2013 J jnl
Multistage optimization of option portfolio using higher order coherent risk measures.
Eur. J. Oper. Res.
Yassine Matmoura, Spiridon I. Penev
2010 J jnl
Kusuoka representation of higher order dual risk measures.
Ann. Oper. Res.
Darinka Dentcheva, Spiridon I. Penev, Andrzej Ruszczynski
2008 J jnl
GeD spline estimation of multivariate Archimedean copulas.
Comput. Stat. Data Anal.
Dimitrina S. Dimitrova, Vladimir K. Kaishev, Spiridon I. Penev
2000 J jnl
A Wiener Germ approximation of the noncentral chi square distribution and of its quantiles.
Comput. Stat.
Spiridon I. Penev, Tenko Raykov
1997 J jnl
Numerical performance of block thresholded wavelet estimators.
Stat. Comput.
Peter Hall, Spiridon I. Penev, Gerard Kerkyacharian, Dominique Picard