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Mitov, Ivan K.; Rachev, Svetlozar T.; Fabozzi, Frank J. Approximation of aggregate and extremal losses within the very heavy tails framework. (English) Zbl 1201.91233 Quant. Finance 10, No. 10, 1153-1162 (2010). MSC: 91G70 65C05 91B30 91G60 PDFBibTeX XMLCite \textit{I. K. Mitov} et al., Quant. Finance 10, No. 10, 1153--1162 (2010; Zbl 1201.91233) Full Text: DOI
Giacometti, Rosella; Bertocchi, Marida; Rachev, Svetlozar T.; Fabozzi, Frank J. Stable distributions in the Black-Litterman approach to asset allocation. (English) Zbl 1190.91136 Quant. Finance 7, No. 4, 423-433 (2007). MSC: 91G10 91B30 PDFBibTeX XMLCite \textit{R. Giacometti} et al., Quant. Finance 7, No. 4, 423--433 (2007; Zbl 1190.91136) Full Text: DOI