1 citations · 2 across the 2 of their papers we have counts for
2 papers
q-fin.RM2017★ 1 cited
Portfolio Risk Assessment using Copula Models
Mikhail Semenov, Daulet Smagulov
In the paper, we use and investigate copulas models to represent multivariate dependence in financial time series. We propose the algorithm of risk measure computation using copula…
q-fin.PR2017★ 1 cited
Model for Constructing an Options Portfolio with a Certain Payoff Function
Margarita E. Fatyanova, Mikhail E. Semenov
The portfolio optimization problem is a basic problem of financial analysis. In the study, an optimization model for constructing an options portfolio with a certain payoff functio…