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Postmodern portfolio theory : navigating abnormal markets and investor behavior

Chen, James Ming; Chen, Jim - 2016

Persistent link: https://www.econbiz.de/10011485940

On exactitude in financial regulation : value-at-risk, expected shortfall, and expectiles

Chen, Jim - In: Risks : open access journal 6 (2018) 2, pp. 1-28

This article reviews two leading measures of financial risk and an emerging alternative. Embraced by the Basel accords, value-at-risk and expected shortfall are the leading measures of financial risk. Expectiles offset the weaknesses of value-at-risk (VaR) and expected shortfall. Indeed,...

Persistent link: https://www.econbiz.de/10011867427

Even-keeled moments of doubt

Chen, Jim - In: International advances in economic research : IAER ; an … 23 (2017) 3, pp. 353-354

Persistent link: https://www.econbiz.de/10011944622

Baryonic beta dynamics : an econophysical model of systematic risk

Chen, Jim - In: Estudios de economía aplicada : revista promovida por … 36 (2018) 1, pp. 263-276

Persistent link: https://www.econbiz.de/10011972736

An introduction to machine learning for panel data

Chen, Jim - In: International advances in economic research 27 (2021) 1, pp. 1-16

Persistent link: https://www.econbiz.de/10012582478

Interpreting linear beta coefficients alongside feature importances in machine learning

Chen, Jim - In: Atlantic economic journal : AEJ 49 (2021) 2, pp. 245-247

Persistent link: https://www.econbiz.de/10012614571