Select Publications

Preprints

Aya-Moreno C; Geenens G; Penev S, 2022, Hellinger-Bhattacharyya cross-validation for shape-preserving multivariate wavelet thresholding, http://dx.doi.org/10.48550/arxiv.2204.13854

Dentcheva D; Lin Y; Penev S, 2022, Stability and Sample-based Approximations of Composite Stochastic Optimization Problems, http://dx.doi.org/10.48550/arxiv.2201.01338

Penev S; Shevchenko PV; Wu W, 2021, The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion, http://dx.doi.org/10.48550/arxiv.2108.02633

Kulinich M; Fan Y; Penev S; Evans JP, 2020, A Markov chain method for weighting climate model ensembles, http://dx.doi.org/10.5194/gmd-2020-253

Penev S; Shevchenko P; Wu W, 2019, Myopic robust index tracking with Bregman divergence, http://dx.doi.org/10.48550/arxiv.1908.07659

Moreno CA; Geenens G; Penev S, 2017, Shape-preserving wavelet-based multivariate density estimation, http://dx.doi.org/10.48550/arxiv.1708.08321

Dentcheva D; Penev S; Ruszczynski A, 2015, Statistical Estimation of Composite Risk Functionals and Risk Optimization Problems

Hanke M; Penev S, Ex Ante Comparison of Maximum Sharpe Ratios and Incremental Variable Testing, http://dx.doi.org/10.2139/ssrn.2718033

Hanke M; Schief W; Weissensteiner A, Rom Simulation with Exact Means, Covariances, and Multivariate Skewness, http://dx.doi.org/10.2139/ssrn.2816279


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