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Search: subject:"Out-of-sample analysis"
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Out-of-sample analysis
6
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ECONIS (ZBW)
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Robust enhanced indexation optimization with sparse industry layout constraint
Allen-Zhao, Zhihua
;
Xu, Fengmin
;
Dai, Yu-Hong
;
Liu, Sanyang
- In:
Computers & operations research : an international journal
161
(
2024
),
pp. 1-12
Persistent link: https://www.econbiz.de/10014557812
Saved in:
2
Worst-case analysis of Omega-VaR ratio optimization model
Sehgal, Ruchika
;
Sharma, Amita
;
Mansini, Renata
- In:
Omega : the international journal of management science
114
(
2023
),
pp. 1-20
Persistent link: https://www.econbiz.de/10013441559
Saved in:
3
The predictability of real estate excess returns : an out-of-sample economic value analysis
Guidolin, Massimo
;
Pedio, Manuela
;
Petrova, Milena
- In:
The journal of real estate finance and economics
67
(
2023
)
1
,
pp. 108-149
Persistent link: https://www.econbiz.de/10014322191
Saved in:
4
Wasserstein distributionally robust chance-constrained optimization for energy and reserve dispatch : An exact and physically-bounded formulation
Arrigo, Adriano
;
Ordoudis, Christos
;
Kazempour, Jalal
; …
- In:
European journal of operational research : EJOR
296
(
2022
)
1
,
pp. 304-322
Persistent link: https://www.econbiz.de/10012820165
Saved in:
5
CVaR-cardinality enhanced indexation optimization with tunable short-selling constraints
Zhao, Zhihua
;
Wang, Hao
;
Yang, Xiangyu
;
Xu, Fengmin
- In:
Applied economics letters
28
(
2021
)
3
,
pp. 201-207
Persistent link: https://www.econbiz.de/10012415134
Saved in:
6
Out-of-sample
analysis
of international reserves for emerging economies with a dynamic panel model
Jung, Kuk Mo
;
Pyun, Ju Hyun
- In:
Panoeconomicus
67
(
2020
)
5
,
pp. 675-695
Persistent link: https://www.econbiz.de/10012621243
Saved in:
7
Extended omega ratio optimization for risk-averse investors
Sharma, Amita
;
Mehra, Aparna
- In:
International transactions in operational research : …
24
(
2017
)
3
,
pp. 485-506
Persistent link: https://www.econbiz.de/10011724426
Saved in:
8
Forecasting REIT volatility with high-frequency data : a comparison of alternative methods
Zhou, Jian
- In:
Applied economics
49
(
2017
)
26
,
pp. 2590-2605
Persistent link: https://www.econbiz.de/10011819614
Saved in:
9
Hedging performance of REIT index futures : a comparison of alternative hedge ratio estimation methods
Zhou, Jian
- In:
Economic modelling
52
(
2016
),
pp. 690-698
Persistent link: https://www.econbiz.de/10011643001
Saved in:
10
Long-term strategic asset allocation : an out-of-sample evaluation
Diris, Bart
;
Palm, Franz C.
;
Schotman, Peter C.
- In:
Management science : journal of the Institute for …
61
(
2015
)
9
,
pp. 2185-2202
Persistent link: https://www.econbiz.de/10011372433
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