3 citations · 5 across the 6 of their papers we have counts for
6 papers
Ball-Codifference Screening for Heavy-Tailed Predictors
Mohsen Rezapour, Vahed Maroufy
High-dimensional screening is commonly built on covariance, correlation, or least-squares measures. These summary measures can be unstable or even undefined, when predictors are sp…
Dynamic investment portfolio optimization using a Multivariate Merton Model with Correlated Jump Risk
Bahareh Afhami, Mohsen Rezapour, Mohsen Madadi +1
In this paper, we are concerned with the optimization of a dynamic investment portfolio when the securities which follow a multivariate Merton model with dependent jumps are period…
Portfolio Selection under Multivariate Merton Model with Correlated Jump Risk
Bahareh Afhami, Mohsen Rezapour, Mohsen Madadi +1
Portfolio selection in the periodic investment of securities modeled by a multivariate Merton model with dependent jumps is considered. The optimization framework is designed to ma…
Mixture Models: Building a Parameter Space
Vahed Maroufy, Paul Marriott
Despite the flexibility and popularity of mixture models, their associated parameter spaces are often difficult to represent due to fundamental identification problems. This paper…
Generalizing the Frailty Assumptions in Survival Analysis
Vahed Maroufy, Paul Marriott
This paper studies Cox's regression hazard model with an unobservable random frailty where no specific distribution is postulated for the frailty variable, and the marginal lifetim…
Local and global robustness in conjugate Bayesian analysis
Vahed Maroufy, Paul Marriott
This paper studies the influence of perturbations of conjugate priors in Bayesian inference. A perturbed prior is defined inside a larger family, local mixture models, and the effe…