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~isPartOf:"Working papers"
~source:"econis"
~subject:"Mathematical programming"
~subject:"Risikomaß"
~type_genre:"Amtsdruckschrift"
~type_genre:"Working Paper"
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Mathematical programming
Risikomaß
Portfolio selection
72
Portfolio-Management
72
Theorie
37
Theory
37
Anlageverhalten
16
Behavioural finance
16
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13
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Ślepaczuk, Robert
5
Barro, Diana
4
Billio, Monica
3
Canestrelli, Elio
3
Chlebus, Marcin
3
Corazza, Marco
2
Afonso, António
1
Barziy, Illya
1
Buczyńsk, Mateusz
1
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1
Casarin, Roberto
1
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1
Chojnacki, Karol
1
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1
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1
Fasano, Giovanni
1
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Gallo, Giampiero M.
1
Gomes, Pedro
1
Grosset, Luca
1
Gusso, Riccardo
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Kielak, Karol
1
Lanza, Fabio
1
Michańków, Jakub
1
Nardon, Martina
1
Nguyen Vo
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Palandri, Alessandro
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39
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26
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8
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7
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7
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6
Dresdner Beiträge zu quantitativen Verfahren
6
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6
Série des documents de travail / Centre de Recherche en Économie et Statistique
5
CESifo working papers
4
Discussion paper
4
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4
Discussion paper series / Harvard Institute of Economic Research
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Mannheimer Manuskripte zu Risikotheorie, Portfolio Management und Versicherungswirtschaft
4
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ERIM report series research in management
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ECONIS (ZBW)
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1
Modeling and evaluating conditional quantile dynamics in VaR forecasts
Cipollini, Fabrizio
;
Gallo, Giampiero M.
;
Palandri, …
-
2023
-
Prima edizione
Persistent link: https://www.econbiz.de/10014321854
Saved in:
2
Mean absolute directional loss as a new loss function for machine learning problems in algorithmic investment strategies
Michańków, Jakub
;
Sakowski, Paweł
;
Ślepaczuk, Robert
-
2023
Persistent link: https://www.econbiz.de/10014448222
Saved in:
3
Ensembled LSTM with walk forward optimization in algorithmic trading
Chojnacki, Karol
;
Ślepaczuk, Robert
-
2023
Persistent link: https://www.econbiz.de/10014308890
Saved in:
4
Applying hybrid ARIMA-SGARCH in algorithmic investment strategies on S&P 500 Index
Nguyen Vo
;
Ślepaczuk, Robert
-
2021
Persistent link: https://www.econbiz.de/10012816706
Saved in:
5
Robust optimisation in algorithmic investment strategies
Castellano Gómez, Sergio
;
Ślepaczuk, Robert
-
2021
Persistent link: https://www.econbiz.de/10012816708
Saved in:
6
The effectiveness of Value-at-Risk models in various volatility regimes
Schiffers, Aleksander
;
Chlebus, Marcin
-
2021
Persistent link: https://www.econbiz.de/10012816709
Saved in:
7
Size does matter : a study on the required window size for optimal quality market risk models
Buczyńsk, Mateusz
;
Chlebus, Marcin
-
2020
Persistent link: https://www.econbiz.de/10012322119
Saved in:
8
HRP performance comparison in portfolio optimization under various codependence and distance metrics
Barziy, Illya
;
Chlebus, Marcin
-
2020
Persistent link: https://www.econbiz.de/10012322189
Saved in:
9
Value-at-risk: the comparison of state-of-the-art models on varous assets
Kielak, Karol
;
Ślepaczuk, Robert
-
2020
Persistent link: https://www.econbiz.de/10012322235
Saved in:
10
Cumulative prospect theory portfolio selection
Barro, Diana
;
Corazza, Marco
;
Nardon, Martina
-
2020
Persistent link: https://www.econbiz.de/10012496655
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