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Coherent risk measures, valuation bounds, and (my,p)-portfolio optimization

Jaschke, Stefan R.; Küchler, Uwe - 1999

This paper presents a general theory that works out the relation between coherent risk measures, valuation bounds, and … theory presented seems to fill a gap between arbitrage valuation on the one hand and single agent utility maximization or … full-fledged equilibrium theory on the other hand. "Coherent" valuation bounds strike a balance in that the bounds can be …

Persistent link: https://www.econbiz.de/10009581108

On robustness of model-based bootstrap schemes in nonparametric time series analysis

Neumann, Michael H. - 1997

Theory in time series analysis is often developed in the context of finite-dimensional models for the data generating …

Persistent link: https://www.econbiz.de/10009660380

M robustified additive nonparametric regression

Tamine, Julien; Härdle, Wolfgang; Yang, Lijian - 2002

Additive modelling has been widely used in nonparametric regression to circumvent the "curse of dimensionality", by reducing the problem of estimating a multivariate regression function to the estimation of its univariate components. Estimation of these univariate functions, however, can suffer...

Persistent link: https://www.econbiz.de/10009626746

R robustified additive nonparametric regression

Tamine, Julien; Härdle, Wolfgang; Yang, Lijian - 2002

Additive modelling is known to be useful for multivariate nonparametric regression as it reduces the complexity of problem to the level of univariate regression. This usefulness could be compromised if the data set was contaminated by outliers whose detection and removal are particularly...

Persistent link: https://www.econbiz.de/10009627283

Robust estimation with discrete explanatory variables

Čížek, Pavel - 2002

Persistent link: https://www.econbiz.de/10009627285

Robust Kalman filtering

Ruckdeschel, Peter - 2000

Persistent link: https://www.econbiz.de/10009611552

Least trimmed squares

Čížek, Pavel; Víšek, Jan Ámos - 2000

Persistent link: https://www.econbiz.de/10009611558

Robust adaptive estimation of dimension reduction space

Čížek, Pavel (contributor); Härdle, Wolfgang (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001918932

Backtesting beyond VaR

Härdle, Wolfgang; Stahl, Gerhard - 1999

VaR models are related to statistical forecast systems. Within that framework different forecast tasks including Value-at-Risk and shortfall are discussed and motivated. A backtesting method based on the shortfall is developed and applied to VaR forecasts of areal portfolio. The analysis shows...

Persistent link: https://www.econbiz.de/10009582401

Quantile-VaR is the wrong measure to quantify market risk for regulatory purposes

Jaschke, Stefan R. - 2001

Starting from the objective of banking supervision - to minimize the overall costs of banking to the general public - we show that the current standard of quantifying market risk is flawed. It is perfectly aligned with the interests of banks' shareholders and management, but not with the...

Persistent link: https://www.econbiz.de/10009614286

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