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math.ST2026
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…
math.ST2021★ 1 cited
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…