Details about Jules SADEFO KAMDEM

Access statistics for papers by Jules SADEFO KAMDEM.

Last updated 2023-11-12. Update your information in the RePEc Author Service.

Short-id: psa158

Working Papers

2024

1. An abelian way approach to study random extended intervals and their ARMA processes
   Post-Print, HAL
2. Analysis of replacement investment decisions under maintenance and operating costs uncertainty using MMFBM
   Working Papers, HAL
3. Deep reinforcement learning for an empirical approach to Value-at-Risk
   Working Papers, HAL
4. Dynamic optimal hedging with futures in portfolio context
   Post-Print, HAL

2023

5. Empirical Performance of an ESG Assets Portfolio from US Market
   Post-Print, HAL
   See also Journal Article Empirical Performance of an ESG Assets Portfolio from US Market, Computational Economics, Springer (2024) (2024)
6. Energy supply, public debt, and economic growth: Causality analysis for a panel of OECD European countries
   Post-Print, HAL
7. Hybridization of ARIMA with Learning Models for Forecasting of Stock Market Time Series
   Post-Print, HAL
   See also Journal Article Hybridization of ARIMA with Learning Models for Forecasting of Stock Market Time Series, Computational Economics, Springer (2024) View citations (1) (2024)
8. RISK-ADJUSTED PERFORMANCE AND SEMI-MOMENTS OF NON-GAUSSIAN PORTFOLIO RETURNS DISTRIBUTIONS
   Working Papers, HAL
9. Time-frequency analysis and machine learning models for carbon market forecasting
   Post-Print, HAL

2022

10. A fuzzy multifactor asset pricing model
    Post-Print, HAL
    See also Journal Article A fuzzy multifactor asset pricing model, Annals of Operations Research, Springer (2022) (2022)
11. Cyber-Risk Forecasting using Machine Learning Models and Generalized Extreme Value Distributions
    Working Papers, HAL
12. Dynamic Optimal Hedge Ratio Design when Price and Production are stochastic with Jump
    Post-Print, HAL
    See also Journal Article Dynamic optimal hedge ratio design when price and production are stochastic with jump, Annals of Finance, Springer (2022) (2022)
13. Multiscale Agricultural Commodities Forecasting using Wavelet-SARIMA Process
    Post-Print, HAL
    See also Journal Article Multiscale Agricultural Commodities Forecasting Using Wavelet-SARIMA Process, Journal of Quantitative Economics, Springer (2023) (2023)
14. Optimal Renewable Resource Harvesting model using price and biomass stochastic variations: A Utility Based Approach
    Post-Print, HAL
    See also Journal Article Optimal renewable resource harvesting model using price and biomass stochastic variations: a utility based approach, Mathematical Methods of Operations Research, Springer (2022) View citations (1) (2022)
15. Pricing for a vulnerable bull spread options using a mixed modified fractional Hull-White-Vasicek model
    Post-Print, HAL
    See also Journal Article Pricing for a vulnerable bull spread options using a mixed modified fractional Hull–White–Vasicek model, Annals of Operations Research, Springer (2024) (2024)
16. The Implications of oil market volatility on the credit risk of some oil-exporting countries
    Post-Print, HAL
17. Uncertain outcomes and climate change policy using Expo-Power Utility Function
    Post-Print, HAL
    See also Journal Article Uncertain Outcomes and Climate Change Policy Using an Expo-Power Utility Function, The B.E. Journal of Theoretical Economics, De Gruyter (2022) (2022)

2021

18. Accuracies of Model Risks in Finance using Machine Learning
    Working Papers, HAL
19. Accuracies of some Learning or Scoring Models for Credit Risk Measurement
    Working Papers, HAL
20. An Abelian Group way to study Random Extended Intervals and their ARMA Processes
    Working Papers, HAL
21. Analysis of the Dynamic Relationship between Liquidityproxies and returns on French CAC 40 index
    Post-Print, HAL View citations (1)
    See also Journal Article Analysis of the dynamic relationship between liquidity proxies and returns on the French CAC 40 index, SN Business & Economics, Springer (2021) View citations (2) (2021)
22. Bull Spread Option pricing using a mixed modified fractional process with stochastic volatility and interest rates
    Post-Print, HAL
23. Criteria for choosing the method of leasing finances in Small and Medium Enterprises (SMEs) in Cameroon
    (Critères de choix du mode de financement par crédit-bail dans les Petites et Moyennes Entreprises (PME) au Cameroun)
    Post-Print, HAL
24. Economic Analysis of a Grid-Connected PV Plant: A Case Study in French Guiana
    Post-Print, HAL
25. Learning models for forecasting COVID-19 spread in Africa
    Post-Print, HAL
26. Local and implied volatilities with the Mixed-Modified-Fractional-Dupire Model
    Post-Print, HAL
    See also Journal Article Local and implied volatilities with the mixed-modified-fractional-Dupire model, Chaos, Solitons & Fractals, Elsevier (2021) View citations (1) (2021)
27. Mixed Modified Fractional Merton model of the bear spread Basket put option using the multidimensional Mellin transform
    Working Papers, HAL
28. S-ARMA model and Wold decomposition for covariance stationary interval-valued time series processes
    Post-Print, HAL View citations (2)
    See also Journal Article S-ARMA Model and Wold Decomposition for Covariance Stationary Interval-Valued Time Series Processes, New Mathematics and Natural Computation (NMNC), World Scientific Publishing Co. Pte. Ltd. (2021) (2021)
29. The Co-Evolution of Energy Intensity and Carbon Emissions in Morocco
    Post-Print, HAL

2020

30. A root mean square fuzzy pay-off approach for real options valuation of energy projects
    Post-Print, HAL
31. Agricultural Production Decision using Jumps and Seasonal Volatility in commodities prices dynamics
    Working Papers, HAL
32. Comparison of Some Static Hedging Models of Agricultural Commodities Price Uncertainty
    Post-Print, HAL
    See also Journal Article Comparison of Some Static Hedging Models of Agricultural Commodities Price Uncertainty, Journal of Quantitative Economics, Springer (2020) (2020)
33. Deep learning models for forecasting and analyzing the implications of COVID-19 spread on some commodities markets volatilities
    Post-Print, HAL View citations (20)
    See also Journal Article Deep learning models for forecasting and analyzing the implications of COVID-19 spread on some commodities markets volatilities, Chaos, Solitons & Fractals, Elsevier (2020) View citations (21) (2020)
34. Fishery Management in a Regime Switching Environment: Utility Based Approach
    Working Papers, HAL View citations (2)
35. Hydropower rent in Africa: An evaluation by optimization of the total costs of production
    (La rente hydroélectrique en Afrique: une évaluation avec taxation et optimisation des coûts totaux de production)
    Post-Print, HAL
36. La rente hydroélectrique en Afrique: Une évaluation avec taxation et optimisation des coûts totaux de production
    Working Papers, HAL
    Also in Post-Print, HAL (2019)
    See also Journal Article La rente hydroélectrique en Afrique: Une évaluation avec taxation et optimisation des coûts totaux de production, Region et Developpement, Region et Developpement, LEAD, Universite du Sud - Toulon Var (2020) (2020)
37. On Random Extended Intervals and their ARMA Processes
    Working Papers, HAL
38. On two dominances of fuzzy variables based on a parametrized fuzzy measure and application to portfolio selection with fuzzy return
    Post-Print, HAL View citations (1)
    See also Journal Article On two dominances of fuzzy variables based on a parametrized fuzzy measure and application to portfolio selection with fuzzy return, Annals of Operations Research, Springer (2021) View citations (1) (2021)
39. Risk Aversion and Optimal Hedge Ratio in Commodities Futures Markets
    Post-Print, HAL View citations (1)
    See also Journal Article Risk Aversion and Optimal Hedge Ratio in Commodities Futures Markets, Economics Bulletin, AccessEcon (2020) View citations (3) (2020)
40. The First Moments and Semi-Moments of Fuzzy Variables Based on an Optimism-Pessimism Measure with Application for Portfolio Selection
    Post-Print, HAL View citations (1)
    See also Journal Article The First Moments and Semi-Moments of Fuzzy Variables Based on an Optimism-Pessimism Measure with Application for Portfolio Selection, New Mathematics and Natural Computation (NMNC), World Scientific Publishing Co. Pte. Ltd. (2020) View citations (1) (2020)
41. WILLINGNESS TO PAY OF AN EXPO-POWER UTILITY DECISION MAKER TO LIMIT CLIMATE CHANGE
    Working Papers, HAL

2019

42. ECONOMIC GROWTH, ENERGY CONSUMPTION, AND TRANSITION IN MOROCCO
    Post-Print, HAL
43. Fuzzy lower partial moment and Mean-risk Dominance: An application for poverty Measurement
    Working Papers, HAL
44. New models of commodity risk hedging according to the behavior of economic decision-makers or Rollover Strategies
    Working Papers, HAL
45. On Two Dominances of Fuzzy Variables based on a Parametric Fuzzy Measure and Application to Portfolio Selection with Fuzzy Return
    Working Papers, HAL
46. On the first moments and semi-moments of fuzzy variables based on a new measure and application for portfolio selection with fuzzy returns
    Working Papers, HAL
47. Optimal harvesting of a regime-switching stochastic growing renewable resource: A Utility Theory Approach
    Post-Print, HAL
    Also in Post-Print, HAL (2019)

2018

48. Characterization of order dominances on fuzzy variables for portfolio selection with fuzzy returns
    Post-Print, HAL
    See also Journal Article Characterization of order dominances on fuzzy variables for portfolio selection with fuzzy returns, Journal of the Operational Research Society, Palgrave Macmillan (2017) View citations (5) (2017)
49. Optimal Fishery Stopping Time Harvesting with a Regime Switching or Jump In Biomass Variation
    Post-Print, HAL
    Also in Post-Print, HAL (2018)
50. Renewable Energy in French Guiana: Prospects towards a Sustainable Development Scenario
    Post-Print, HAL View citations (2)

2017

51. Expected value and variance of a fuzzy variable based on a new fuzzy measure
    Post-Print, HAL View citations (1)
    Also in Post-Print, HAL (2017) View citations (1)
52. REAL OPTION APPROACH FOR OPTIMAL FISHERY HARVESTING WITH JUMPS IN STOCK DYNAMICS
    Post-Print, HAL
    Also in Post-Print, HAL (2017)

2016

53. Time-Frequency Analysis of the Relationship Between EUA and CER Carbon Markets
    Post-Print, HAL View citations (4)

2015

54. Analyse temps-fréquence du co-mouvement entre le marché européen du CO2 et les autres marchés de l'énergie
    Working Papers, LAMETA, Universtiy of Montpellier

2014

55. CAPM with fuzzy returns and hypothesis testing
    Post-Print, HAL View citations (9)
    See also Journal Article CAPM with fuzzy returns and hypothesis testing, Insurance: Mathematics and Economics, Elsevier (2014) View citations (9) (2014)
56. Fuzzy value-at-risk and expected shortfall for portfolios with heavy-tailed returns
    Post-Print, HAL View citations (9)
    See also Journal Article Fuzzy value-at-risk and expected shortfall for portfolios with heavy-tailed returns, Economic Modelling, Elsevier (2014) View citations (8) (2014)
57. Generalized Integral Transforms with the Homotopy Perturbation Method
    Post-Print, HAL
58. Time Series Analysis Intervals and Energy Economics Forecast
    (Analyse des séries temporelles intervalles et prévision en économie de l'énergie)
    Post-Print, HAL

2013

59. Analyse temps-fréquence de la relation entre les prix du quota et du crédit carbone
    Working Papers, LAMETA, Universtiy of Montpellier View citations (1)
60. The (α, β)-multi-level α-Gini decomposition with an illustration to income inequality in France in 2005
    Post-Print, HAL View citations (5)
    See also Journal Article The (α, β)-multi-level α-Gini decomposition with an illustration to income inequality in France in 2005, Economic Modelling, Elsevier (2013) View citations (5) (2013)

2012

61. A nice estimation of Gini index and power Pen's parade
    Post-Print, HAL View citations (1)
    See also Journal Article A nice estimation of Gini index and power Pen's parade, Economic Modelling, Elsevier (2012) View citations (3) (2012)
62. Bivariate adaptive fuzzy-GARCH model applied to forecasting the dynamic conditional correlation of financial stocks using particle swarm optimization
    Post-Print, HAL
63. Capital asset pricing model with fuzzy returns and hypothesis testing
    Working Papers, LAMETA, Universtiy of Montpellier View citations (1)
64. Dominances on fuzzy variables based on credibility measure
    Working Papers, HAL
65. Fuzzy risk adjusted performance measures: Application to hedge funds
    Post-Print, HAL View citations (6)
    Also in Working Papers, LAMETA, Universtiy of Montpellier (2012) View citations (6)
    See also Journal Article Fuzzy risk adjusted performance measures: Application to hedge funds, Insurance: Mathematics and Economics, Elsevier (2012) View citations (6) (2012)
66. Moments partiels crédibilistes et application à l’évaluation de la performance des fonds spéculatifs
    Post-Print, HAL
    Also in Post-Print, HAL (2012)
67. VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors
    Post-Print, HAL View citations (2)
    See also Journal Article VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors, Annals of Finance, Springer (2012) View citations (3) (2012)

2011

68. Businesses Risks Aggregation with Copula
    Post-Print, HAL
    See also Journal Article Businesses Risks Aggregation with Copula, Journal of Quantitative Economics, The Indian Econometric Society (2011) View citations (1) (2011)
69. Coefficient of variation and Power Pen's parade computation
    Working Papers, HAL
70. DOWNSIDE RISK AND KAPPA INDEX OF NON-GAUSSIAN PORTFOLIO WITH LPM
    Working Papers, HAL View citations (4)
71. Gini Index and Polynomial Pen's Parade
    Working Papers, HAL
72. INTEGRAL TRANSFORMS WITH THE HOMOTOPY PERTURBATION METHOD AND SOME APPLICATIONS
    Working Papers, HAL
73. KURTOSIS AND SEMI-KURTOSIS FOR PORTFOLIO SELECTION WITH FUZZY RETURNS
    Post-Print, HAL
74. Moments and Semi-Moments for fuzzy portfolios selection
    Working Papers, HAL View citations (2)
    See also Journal Article Moments and semi-moments for fuzzy portfolio selection, Insurance: Mathematics and Economics, Elsevier (2012) View citations (15) (2012)
75. VALUE-AT-RISK AND EXPECTED SHORTFALL FOR LINEAR PORTFOLIOS WITH ELLIPTICALLY DISTRIBUTED RISK FACTORS
    Post-Print, HAL
    Also in Papers, arXiv.org (2003) View citations (4)
    Risk and Insurance, University Library of Munich, Germany (2004) View citations (2)
    Post-Print, HAL (2011)
    See also Journal Article VALUE-AT-RISK AND EXPECTED SHORTFALL FOR LINEAR PORTFOLIOS WITH ELLIPTICALLY DISTRIBUTED RISK FACTORS, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2005) View citations (25) (2005)

2010

76. Quadratic Pen's Parade and the Computation of the Gini index
    Cahiers de recherche, Departement d'économique de l'École de gestion à l'Université de Sherbrooke
    See also Journal Article QUADRATIC PEN'S PARADE AND THE COMPUTATION OF THE GINI INDEX, Review of Income and Wealth, International Association for Research in Income and Wealth (2011) View citations (2) (2011)
77. Sharp estimates for the CDF of quadratic forms of MPE random vectors
    Post-Print, HAL
    See also Journal Article Sharp estimates for the CDF of quadratic forms of MPE random vectors, Journal of Multivariate Analysis, Elsevier (2010) View citations (1) (2010)

2009

78. Decomposition method for the b-balanced shallow water equation
    Post-Print, HAL
    Also in Post-Print, HAL (2007)
79. VAR FOR QUADRATIC PORTFOLIO'S WITH GENERALIZED LAPLACE DISTRIBUTED RETURNS
    Working Papers, LAMETA, Universtiy of Montpellier View citations (1)

2008

80. Approximation of multiple integrals over hyperboloids with application to a quadratic portfolio with options
    Post-Print, HAL View citations (6)
    Also in Post-Print, HAL (2008) View citations (6)
    Papers, arXiv.org (2003)
    See also Journal Article Approximation of multiple integrals over hyperboloids with application to a quadratic portfolio with options, Computational Statistics & Data Analysis, Elsevier (2008) View citations (7) (2008)

2007

81. Decomposition method for the Camassa–Holm equation
    Post-Print, HAL
    See also Journal Article Decomposition method for the Camassa–Holm equation, Chaos, Solitons & Fractals, Elsevier (2007) View citations (5) (2007)
82. VaR and ES for linear portfolios with mixture of elliptic distributions risk factors
    Post-Print, HAL View citations (6)

2006

83. Option pricing with Levy process using Mellin Transform
    Post-Print, HAL View citations (2)

2004

84. VaR and ES for Linear Portfolios with mixture of Generalized Laplace Distributed Risk Factors
    Risk and Insurance, University Library of Munich, Germany
85. VaR and ES for linear Portfolios with mixture of elliptically distributed Risk Factors
    GE, Growth, Math methods, University Library of Munich, Germany
    Also in GE, Growth, Math methods, University Library of Munich, Germany (2004) View citations (1)
86. VaR and ES for linear portfolios with mixture of elliptic distributed Risk Factors
    Papers, arXiv.org
87. Value-at-Risk and Expected Shortfall for Quadratic Portfolio of Securities with Mixture of Elliptic Distribution Risk Factors
    Computing in Economics and Finance 2004, Society for Computational Economics View citations (7)

Journal Articles

2024

1. Empirical Performance of an ESG Assets Portfolio from US Market
   Computational Economics, 2024, 64, (3), 1569-1638
   See also Working Paper Empirical Performance of an ESG Assets Portfolio from US Market, Post-Print (2023) (2023)
2. Hybridization of ARIMA with Learning Models for Forecasting of Stock Market Time Series
   Computational Economics, 2024, 63, (4), 1349-1399 View citations (1)
   See also Working Paper Hybridization of ARIMA with Learning Models for Forecasting of Stock Market Time Series, Post-Print (2023) (2023)
3. Pricing for a vulnerable bull spread options using a mixed modified fractional Hull–White–Vasicek model
   Annals of Operations Research, 2024, 334, (1), 101-131
   See also Working Paper Pricing for a vulnerable bull spread options using a mixed modified fractional Hull-White-Vasicek model, Post-Print (2022) (2022)

2023

4. Multiscale Agricultural Commodities Forecasting Using Wavelet-SARIMA Process
   Journal of Quantitative Economics, 2023, 21, (1), 1-40
   See also Working Paper Multiscale Agricultural Commodities Forecasting using Wavelet-SARIMA Process, Post-Print (2022) (2022)

2022

5. A fuzzy multifactor asset pricing model
   Annals of Operations Research, 2022, 313, (2), 1221-1241
   See also Working Paper A fuzzy multifactor asset pricing model, Post-Print (2022) (2022)
6. Dynamic optimal hedge ratio design when price and production are stochastic with jump
   Annals of Finance, 2022, 18, (3), 419-428
   See also Working Paper Dynamic Optimal Hedge Ratio Design when Price and Production are stochastic with Jump, Post-Print (2022) (2022)
7. Optimal renewable resource harvesting model using price and biomass stochastic variations: a utility based approach
   Mathematical Methods of Operations Research, 2022, 95, (2), 297-326 View citations (1)
   See also Working Paper Optimal Renewable Resource Harvesting model using price and biomass stochastic variations: A Utility Based Approach, Post-Print (2022) (2022)
8. Uncertain Outcomes and Climate Change Policy Using an Expo-Power Utility Function
   The B.E. Journal of Theoretical Economics, 2022, 22, (1), 17-50
   See also Working Paper Uncertain outcomes and climate change policy using Expo-Power Utility Function, Post-Print (2022) (2022)

2021

9. Analysis of the dynamic relationship between liquidity proxies and returns on the French CAC 40 index
   SN Business & Economics, 2021, 1, (10), 1-23 View citations (2)
   See also Working Paper Analysis of the Dynamic Relationship between Liquidityproxies and returns on French CAC 40 index, Post-Print (2021) View citations (1) (2021)
10. Local and implied volatilities with the mixed-modified-fractional-Dupire model
    Chaos, Solitons & Fractals, 2021, 152, (C) View citations (1)
    See also Working Paper Local and implied volatilities with the Mixed-Modified-Fractional-Dupire Model, Post-Print (2021) (2021)
11. On two dominances of fuzzy variables based on a parametrized fuzzy measure and application to portfolio selection with fuzzy return
    Annals of Operations Research, 2021, 300, (2), 355-368 View citations (1)
    See also Working Paper On two dominances of fuzzy variables based on a parametrized fuzzy measure and application to portfolio selection with fuzzy return, Post-Print (2020) View citations (1) (2020)
12. S-ARMA Model and Wold Decomposition for Covariance Stationary Interval-Valued Time Series Processes
    New Mathematics and Natural Computation (NMNC), 2021, 17, (01), 191-213
    See also Working Paper S-ARMA model and Wold decomposition for covariance stationary interval-valued time series processes, Post-Print (2021) View citations (2) (2021)

2020

13. Comparison of Some Static Hedging Models of Agricultural Commodities Price Uncertainty
    Journal of Quantitative Economics, 2020, 18, (3), 631-655
    See also Working Paper Comparison of Some Static Hedging Models of Agricultural Commodities Price Uncertainty, Post-Print (2020) (2020)
14. Deep learning models for forecasting and analyzing the implications of COVID-19 spread on some commodities markets volatilities
    Chaos, Solitons & Fractals, 2020, 140, (C) View citations (21)
    See also Working Paper Deep learning models for forecasting and analyzing the implications of COVID-19 spread on some commodities markets volatilities, Post-Print (2020) View citations (20) (2020)
15. La rente hydroélectrique en Afrique: Une évaluation avec taxation et optimisation des coûts totaux de production
    Region et Developpement, 2020, 52, 147-170
    See also Working Paper La rente hydroélectrique en Afrique: Une évaluation avec taxation et optimisation des coûts totaux de production, Working Papers (2020) (2020)
16. Risk Aversion and Optimal Hedge Ratio in Commodities Futures Markets
    Economics Bulletin, 2020, 40, (1), 587-600 View citations (3)
    See also Working Paper Risk Aversion and Optimal Hedge Ratio in Commodities Futures Markets, Post-Print (2020) View citations (1) (2020)
17. The First Moments and Semi-Moments of Fuzzy Variables Based on an Optimism-Pessimism Measure with Application for Portfolio Selection
    New Mathematics and Natural Computation (NMNC), 2020, 16, (02), 271-290 View citations (1)
    See also Working Paper The First Moments and Semi-Moments of Fuzzy Variables Based on an Optimism-Pessimism Measure with Application for Portfolio Selection, Post-Print (2020) View citations (1) (2020)

2017

18. Characterization of order dominances on fuzzy variables for portfolio selection with fuzzy returns
    Journal of the Operational Research Society, 2017, 68, (12), 1491-1502 View citations (5)
    See also Working Paper Characterization of order dominances on fuzzy variables for portfolio selection with fuzzy returns, Post-Print (2018) (2018)

2014

19. CAPM with fuzzy returns and hypothesis testing
    Insurance: Mathematics and Economics, 2014, 55, (C), 40-57 View citations (9)
    See also Working Paper CAPM with fuzzy returns and hypothesis testing, Post-Print (2014) View citations (9) (2014)
20. Fuzzy value-at-risk and expected shortfall for portfolios with heavy-tailed returns
    Economic Modelling, 2014, 39, (C), 247-256 View citations (8)
    See also Working Paper Fuzzy value-at-risk and expected shortfall for portfolios with heavy-tailed returns, Post-Print (2014) View citations (9) (2014)

2013

21. The (α, β)-multi-level α-Gini decomposition with an illustration to income inequality in France in 2005
    Economic Modelling, 2013, 35, (C), 944-963 View citations (5)
    See also Working Paper The (α, β)-multi-level α-Gini decomposition with an illustration to income inequality in France in 2005, Post-Print (2013) View citations (5) (2013)

2012

22. A nice estimation of Gini index and power Pen's parade
    Economic Modelling, 2012, 29, (4), 1299-1304 View citations (3)
    See also Working Paper A nice estimation of Gini index and power Pen's parade, Post-Print (2012) View citations (1) (2012)
23. Fuzzy risk adjusted performance measures: Application to hedge funds
    Insurance: Mathematics and Economics, 2012, 51, (3), 702-712 View citations (6)
    See also Working Paper Fuzzy risk adjusted performance measures: Application to hedge funds, Post-Print (2012) View citations (6) (2012)
24. Moments and semi-moments for fuzzy portfolio selection
    Insurance: Mathematics and Economics, 2012, 51, (3), 517-530 View citations (15)
    See also Working Paper Moments and Semi-Moments for fuzzy portfolios selection, Working Papers (2011) View citations (2) (2011)
25. VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors
    Annals of Finance, 2012, 8, (1), 123-150 View citations (3)
    See also Working Paper VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors, Post-Print (2012) View citations (2) (2012)

2011

26. Businesses Risks Aggregation with Copula
    Journal of Quantitative Economics, 2011, 9, (2), 58-72 View citations (1)
    See also Working Paper Businesses Risks Aggregation with Copula, Post-Print (2011) (2011)
27. QUADRATIC PEN'S PARADE AND THE COMPUTATION OF THE GINI INDEX
    Review of Income and Wealth, 2011, 57, (3), 583-587 View citations (2)
    See also Working Paper Quadratic Pen's Parade and the Computation of the Gini index, Cahiers de recherche (2010) (2010)

2010

28. Sharp estimates for the CDF of quadratic forms of MPE random vectors
    Journal of Multivariate Analysis, 2010, 101, (8), 1755-1771 View citations (1)
    See also Working Paper Sharp estimates for the CDF of quadratic forms of MPE random vectors, Post-Print (2010) (2010)

2009

29. [Delta]-VaR and [Delta]-TVaR for portfolios with mixture of elliptic distributions risk factors and DCC
    Insurance: Mathematics and Economics, 2009, 44, (3), 325-336 View citations (7)

2008

30. Approximation of multiple integrals over hyperboloids with application to a quadratic portfolio with options
    Computational Statistics & Data Analysis, 2008, 52, (7), 3389-3407 View citations (7)
    See also Working Paper Approximation of multiple integrals over hyperboloids with application to a quadratic portfolio with options, Post-Print (2008) View citations (6) (2008)

2007

31. Decomposition method for the Camassa–Holm equation
    Chaos, Solitons & Fractals, 2007, 31, (2), 437-447 View citations (5)
    See also Working Paper Decomposition method for the Camassa–Holm equation, Post-Print (2007) (2007)

2005

32. VALUE-AT-RISK AND EXPECTED SHORTFALL FOR LINEAR PORTFOLIOS WITH ELLIPTICALLY DISTRIBUTED RISK FACTORS
    International Journal of Theoretical and Applied Finance (IJTAF), 2005, 08, (05), 537-551 View citations (25)
    See also Working Paper VALUE-AT-RISK AND EXPECTED SHORTFALL FOR LINEAR PORTFOLIOS WITH ELLIPTICALLY DISTRIBUTED RISK FACTORS, Post-Print (2011) (2011)

Chapters

2013

1. Hedge Funds Risk-adjusted Performance Evaluation: A Fuzzy Set Theory-Based Approach
   Palgrave Macmillan