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~institution:"Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam"
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asymmetry
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conditional value-at-risk
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disutility
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econometric models
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elliptical distributions
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expert forecasts
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linear loss functions
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loss functions
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model forecasts
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Franses, Philip Hans
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Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
Department of Economics, University of Connecticut
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Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
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Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
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Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam
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Erasmus University Rotterdam, Econometric Institute
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European Central Bank
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Faculteit Toegepaste Economische Wetenschappen, Universiteit Antwerpen
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Faculty of Economics, University of Cambridge
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Estimating
Loss
Functions
of Experts
Franses, Philip Hans
;
Paap, Richard
;
Legerstee, …
-
Faculteit der Economische Wetenschappen, Erasmus …
-
2011
the
loss
functions
of the experts, with underprediction penalized more than overprediction. …
Persistent link: https://www.econbiz.de/10010731677
Saved in:
2
Application of a general risk management model to portfolio optimization problems with elliptical distributed returns for risk neutral and risk averse decision makers.
Kaynar, B.
;
Birbil, Birbil, S.I.
;
Frenk, Frenk, J.B.G.
-
Faculteit der Economische Wetenschappen, Erasmus …
-
2007
We discuss a class of risk measures for portfolio optimization with linear
loss
functions
, where the random returns of …
Persistent link: https://www.econbiz.de/10010731653
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