Results

Chapters in Books

• Aida Toma, Samuela Leoni-Aubin, (2014) Minimum pseudodistance estimators and applications to portfolio optimization, In New Perspectives on Stochastic Modeling and Data Analysis, J.R. Bozeman, V.Girardin and C.H. Skiadas (Eds.), ISAST International, pp. 79-86.

Articles published in ISI journals (IF=impact factor, RIS=relative influence score)

• • Aida Toma, Samuela Leoni-Aubin, (2013) Optimal robust M-estimators using Renyi pseudodistances, Journal of Multivariate Analysis, 115, 359-373. (IF 2012=1.063, RIS 2013=1.404) http://www.sciencedirect.com/science/article/pii/S0047259X12002266

  • Aida Toma, (2013) Robustness of dual divergence estimators for models satisfying linear constraints, Comptes Rendus Mathematique, Volume 351, 7-8, 311-316. (IF 2012=0.477, RIS 2013=0.792) http://www.sciencedirect.com/science/article/pii/S1631073X13000320

  • Aida Toma, (2014) Model selection criteria using divergences, Entropy, 16, 5, 2686-2698. (IF 2013=1.564, RIS 2014=1.362) http://www.mdpi.com/1099-4300/16/5/2686

  • Aida Toma, Silvia Dedu, (2014) Quantitative techniques for financial risk assessment: a comparative approach using different risk measures and estimation methods, Procedia Economics and Finance, 8, 712-719. http://www.sciencedirect.com/science/article/pii/S221256711400149X

  • Vasile Preda, Silvia Dedu, Muhammad Sheraz, (2014) New measure selection for Hunt-Devolder semi-Markov regime switching interest rate models, Physica A, Volume 407, 350-359. (IF 2013=1.722, RIS 2014=1.176) http://www.sciencedirect.com/science/article/pii/S037843711400315X

  • Silvia Dedu, Aida Toma, (2015) An integrated risk measure and information theory approach for modeling financial data and solving decision making problems, Procedia Economics and Finance, 22, 531-537. http://www.sciencedirect.com/science/article/pii/S221256711500252X

  • Aida Toma, Samuela Leoni-Aubin, (2015) Robust portfolio optimization using pseudodistances, PLoS ONE, 10, 1-26. (IF 2014=3.234, RIS 2014 =2.563) http://journals.plos.org/plosone/article?id=10.1371/journal.pone.0140546

  • Silvia Dedu, (2015) A new risk assessment and optimization model with applications to insurance, Economic Computation and Economic Cybernetics Studies and Research, 49, 2, 129-142, (IF 2014=0,406, RIS 2015=0,084) http://ecocyb.ase.ro/nr20152/08%20-%20Silvia%20Dedu.pdf

  • Vasile Preda, Silvia Dedu, Carmen Gheorghe (2015) New classes of Lorenz curves by maximizing Tsallis entropy under mean and Gini equality and inequality constraints, Physica A, Volume 436, 925-932, 2015, Elsevier. (IF 2014=1,732, RIS 2015=1,032) http://www.sciencedirect.com/science/article/pii/S0378437115005075

  • Silvia Dedu, Florentin Şerban (2015) Modeling financial data using risk measures with interval analysis approach, Procedia Economics and Finance, 22, 610-617, Elsevier, Procedia Economics and Finance, 22, 610-617, Elsevier. http://www.sciencedirect.com/science/article/pii/S2212567115002713

  • Muhammad Sheraz, Silvia Dedu., Vasile Preda (2015) Entropy measures for assessing volatile markets, Procedia Economics and Finance, 22, 655-662, Elsevier. http://www.sciencedirect.com/science/article/pii/S2212567115002798

  • Cristinca Fulga, (2015) Integrated bi-criteria decision support system for portfolio selection, Journal of Decision Systems, 24, 2, 159-177. http://www.tandfonline.com/doi/full/10.1080/12460125.2015.1046684

  • Cristinca Fulga (2016) Portfolio optimization with disutility-based risk measure, European Journal of Operational Research, Vol. 251, Nr. 2, 541–553. (IF 2015 = 2.679, RIS 2015= 1.685) http://dx.doi.org/10.1016/j.ejor.2015.11.012

  • Cristinca Fulga, (2016) Portfolio optimization under loss aversion, European Journal of Operational Research, Vol. 251, Nr. 1, 310-322. (IF 2015 = 2.679, RIS 2015=1.685) http://dx.doi.org/10.1016/j.ejor.2015.11.038

  • Vasile Preda, Silvia Dedu, Muhammad Sheraz, (2016) Second order entropy approach for risk models involving truncation and censoring, Proceedings of the Romanian Academy, 17, 3, 195-202. (IF 2016 = 1.735, RIS 2016 = 0.429) http://www.acad.ro/sectii2002/proceedings/doc2016-3/01-%20Preda.pdf

  • Aida Toma, Cristinca Fulga, (2018) Robust estimation for the single index model using pseudodistances, Entropy, 20, 5, 374. link

  • Aida Toma, Alex Karagrigoriou, Paschalini Trentou, (2020) Robust model selection criteria using pseudodistances, Entropy, 22, 3, 304. link

Proceedings papers

• Aida Toma, Samuela Leoni-Aubin, (2014) Minimum pseudodistance estimators and applications to portfolio optimization, Proceedings of 15th Applied Stochastic Models and Data Analysis (ASMDA 2013) International Conference, Mataro (Barcelona) Spain 25-28, June 2013, 931-938.

• Cristinca Fulga (2014) Portfolio optimization and preferences, Proceedings of the Joint InternationalConference of the INFORMS Group Decision and Negociation Section and the EURO Working Group on Decision Support Systems, Editors : P. Zaraté, G. Camilleri, D. Kamissoko, F. Amblard, Publ. Univ. Toulouse 1 Capitole, ISBN : 978-2-917490-27-3, 301-306.

• Muhammad Sheraz, Silvia Dedu, Vasile Preda, (2016) Volatility analysis of Shanghai composite index and financial crises, Proceedings of the International Conference ESPERA 2015, Peter Lang Publishing House, accepted.

• Muhammad Sheraz, Vasile Preda, Silvia Dedu, (2016) The minimal weighted Kaniadakis entropy martingale measure for valuation problems in financial markets, Proceedings of the International Conference ESPERA 2015, Peter Lang Publishing House, accepted.

Papers presented at international conferences

• • Aida Toma, Amor Keziou, (2013) Robustness of dual divergence estimators for moment condition models, The 16^th Conference of the Society for Probability and Statistics from Romania, Bucharest, 26 April 2013.

  • Aida Toma, Samuela Leoni-Aubin, (2013) Minimum pseudodistance estimators and applications to portfolio optimization, The 15th Conference Applied Stochastic Models and Data Analysis - ASMDA 2013, Mataro Barcelona, Spain, 25-28 June 2013.

  • Aida Toma, Samuela Leoni-Aubin, (2013) Robust minimum pseudodistance estimators and applications in portfolio optimization, International Conference on Robust Statistics - ICORS 2013, Saint Petersburg, Russia, 8-12 July 2013.

  • Cristinca Fulga, (2013) Portfolio multiple criteria analysis, ranking and optimal selection, The 22nd International Conference on Multiple Criteria Decision Making, MCDM 2013, Malaga, Spain, 17-21 June 2013.

  • Cristinca Fulga, (2013) Optimal portfolio selection with performance evaluation. The 26th EURO-INFORMS Joint International Conference on Operational Research, Roma, Italia, 1-4 July 2013.

  • Cristinca Fulga, (2013) Optimization and performance evaluation in the portfolio selection problem, The 16^th Conference of the Society for Probability and Statistics from Romania, Bucharest, 26-27 April 2013.

  • Silvia Dedu, (2013) Optimization of some risk measures in reinsurance, The 16^th Conference of the Society for Probability and Statistics from Romania, Bucharest, 26 April 2013.

  • Silvia Dedu, Florentin Şerban, (2013) Variance reduction techniques for estimating Limited Value-at-Risk and Limited Conditional Tail Expectation measures, The 15^th International Conference Applied Stochastic Models and Data Analysis - ASMDA 2013, Mataró (Barcelona), Spain, 25-28 June 2013.

  • Vasile Preda, Silvia Dedu, (2013) Modeling survival data using Lindley-Geometric distribution and some extensions, The 15^th International Conference Applied Stochastic Models and Data Analysis - ASMDA 2013, Mataró (Barcelona), Spain, 25-28 June 2013.

  • Silvia Dedu, Vasile Preda, (2013) Variance reduction techniques for estimating Limited Value-at-Risk and Limited Conditional Tail Expectation, The 17^th International Congress on Insurance: Mathematics and Economics, Copenhagen, Denmark, July 1-3, 2013.

  • Aida Toma, Silvia Dedu, (2013) Quantitative techniques for financial risk assessment: a comparative approach using different risk measures and estimation methods, International Conference 'Economic Scientific Research - Theoretical, Empirical and Practical Approaches' – ESPERA 2013, Bucharest, Romania, 11-12 December 2013.

  • Silvia Dedu, (2014) Restricted optimal retention under minimizing limited risk measures, The 17^th Conference of the Society for Probability and Statistics from Romania, Bucharest, 25-26 April 2014.

  • Aida Toma, Silvia Dedu, (2014) The minimum pseudodistance approach: an application to extreme quantile estimation in finance, Stochastic Modeling Techniques and Data Analysis International Conference SMTDA 2014, Lisbon, Portugal, 11-14 June 2014.

  • Silvia Dedu, Muhammad Sheraz, Vasile Preda, (2014) Some criteria to select a pricing measure for solving the valuation problem in incomplete markets, Stochastic Modeling Techniques and Data Analysis International Conference SMTDA 2014, Lisbon, Portugal, 11-14 June 2014.

  • Cristinca Fulga (2014) Mean-Risk portfolio optimization and preferences, The 17^th Conference of the Society for Probability and Statistics from Romania, Bucharest, 25-26 April 2014.

  • Cristinca Fulga (2014) Utility-based portfolio selection models in the Risk-Return framework, The 5^th International Conference on Optimization Theory and its Applications, Seville, Spain, 5-7 June 2014.

  • Cristinca Fulga (2014) Portfolio optimization with embedded risk preferences,The Joint International Conference of the INFORMS Group Decision and Negotiation Section and the EURO Working Group on Decision Support Systems, Toulouse, France, 10-13 June 2014.

  • Aida Toma, Silvia Dedu, (2014) New methods for extreme quantile estimation in finance, International Conference ’Economic Scientific Research – Theoretical, Empirical and Practical Approaches’, ESPERA 2014, Bucharest, 13-14 November, 2014.

  • Silvia Dedu, Aida Toma, (2014) An integrated risk measure and information theory approach for modeling financial data and solving decision making problems, International Conference ’Economic Scientific Research – Theoretical, Empirical and Practical Approaches’ ESPERA 2014, Bucharest, 13-14 November, 2014.

  • Silvia Dedu, Florentin Şerban, (2014) Modeling financial data using risk measures with interval analysis approach, International Conference ’Economic Scientific Research – Theoretical, Empirical and Practical Approaches’, ESPERA 2014, Bucharest, 13-14 November, 2014.

  • Muhammad Sheraz, Silvia Dedu, Vasile Preda, (2014) Entropy measures for assessing volatile markets, International Conference ’Economic Scientific Research – Theoretical, Empirical and Practical Approaches’, ESPERA 2014, Bucharest, 13-14 November, 2014.

  • Aida Toma, Amor Keziou, (2015) Empirical divergence estimates in moment condition models: robustness properties, 18th Conference of the Society for Probabilities and Statistics from Romania, Bucharest, 8 May 2015.

  • Aida Toma, Amor Keziou, (2015) Empirical divergence estimates in moment condition models: robustness properties, 16th Conference of the Applied Stochastic Models and Data Analysis International Society & Demographic Analysis and Research International Workshop, Piraeus, Greece, 30 June - 4 July 2015.

  • Aida Toma, Amor Keziou, (2015) Empirical divergence estimates in moment condition models: robustness properties, 8th International Conference of the ERCIM WG on Computational and Methodological Statistics (CM Statistics 2015), Senate House, University of London, London, United Kingdom, 12 - 14 December 2015.

  • Silvia Dedu, Preda, V. (2015) The Power Log-Lindley distribution, with applications to lifetime data modeling, The 19th International Congress on Insurance: Mathematics and Economics IME 2015, Liverpool, United Kingdom, 24-26 June 2015.

  • Silvia Dedu, Preda, V., Sheraz, M. (2015) New Lorenz curves by maximizing quadratic entropy under inequality constraints, The 16th Conference of the Applied Stochastic Models and Data Analysis International Society ASMDA 2015, Piraeus, Greece, 30 June – 4 July 2015.

  • Silvia Dedu, Preda, V. (2015) Optimization under various uncertainty measures for insurance and Stop-Loss reinsurance models, The 18th Conference of The Romanian Probability and Statistics Society, Bucharest, 8 May 2015.

  • Preda, V., Silvia Dedu, Dănilă, I. (2015) Second order entropy optimization with applications to survival models, The 16th Conference of the Applied Stochastic Models and Data Analysis International Society ASMDA 2015, Piraeus, Greece, 30 June – 4 July 2015.

  • Şerban, F., Silvia Dedu (2015) An entropy based model for portfolio optimization, The 16th Conference of the Applied Stochastic Models and Data Analysis International Society ASMDA 2015, Piraeus, Greece, 30 June – 4 July 2015.

  • Drăgan, M., Preda, V., Silvia Dedu (2015) Estimation algorithms for information measures and applications to some network problems, The 16th Conference of the Applied Stochastic Models and Data Analysis International Society ASMDA 2015, Piraeus, Greece, 30 June – 4 July 2015

  • Cristinca Fulga, (2015) Downside loss aversion. Application to portfolio optimization, 18th Conference of the Society for Probabilities and Statistics from Romania, Bucureşti, 8 May 2015.

  • Cristinca Fulga, (2015) Portfolio optimization with loss aversion, The 23rd International Conference on Multiple Criteria Decision Making MCDM 2015 – Bridging Disciplines, 2 – 7 August 2015, Hamburg, Germany.

  • Cristinca Fulga, (2015) Portfolio optimization in the downside risk framework with loss aversion, OR 2015 International Conference on Operations Research – Big Data & Optimal Decisions, 1 – 4 September 2015, Vienna, Austria.

  • Aida Toma, Amor Keziou, (2016) Minimum dual divergence estimators for moment condition models: a Monte-Carlo simulation study, 19th Conference of the Society for Probabilities and Statistics from Romania, Bucharest, Romania, 27 May 2016.

  • Aida Toma, Amor Keziou, (2016) Robust inference with minimum dual divergence estimators for moment condition models, International Conference on Robust Statistics ICORS 2016, Geneva, Switzerland, 4-8 July 2016.

  • Aida Toma, (2016) Minimum dual divergence estimators for moment condition models, XIIIeme Colloque Franco-Roumain de Mathematiques Appliquees, Iasi, Romania, 25-29 August 2016. (Invited speaker at the special session Statistics organised by Cristian Preda and Celine Lacaux)

  • Cristinca Fulga, (2016) Portfolio selection with loss aversion and prior stock ranking based on AHP, In The 19^th Conference of the Society for Probability and Statistics from Romania, Bucharest, Romania, 27 May 2016.

  • Cristinca Fulga, (2016) AHP based portfolio selection with risk preference modeling, Lecture Notes in Computer Science, Springer, Principles and Practice of Constraint Programming 22nd International Conference, CP 2016, Toulouse, France, 5-9 September 2016.

  • Silvia Dedu, Muhammad Sheraz, (2016) Information measure approach for risk models optimization, The 19th Conference of the Society for Probability and Statistics from Romania, Bucharest, Romania, 27 May 2016.

  • Muhammad Sheraz, Vasile Preda, Silvia Dedu, (2016) Risk-neutral densities using general entropy measures in the Hunt-Devolder semi-Markov regime switching interest rate models, 4th Stochastic Modeling Techniques and Data Analysis International Conference SMTDA 2016, Valletta, Malta, 1-4 June 2016.

  • Silvia Dedu, Vasile Preda, Muhammad Sheraz, (2016) Risk assessment and survival models involving truncated and censored random variables using information measures, 4th Stochastic Modeling Techniques and Data Analysis International Conference SMTDA 2016, Valletta, Malta, 1-4 June 2016.

  • Silvia Dedu, (2016) Weighted power type probability distributions. Statistical properties and applications, XIII-éme Colloque Franco Roumain de Mathématiques Appliquées, Iaşi, Romania, 25-29 August 2016. (Invited speaker at the special session Statistics organised by Cristian Preda and Celine Lacaux)