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Analytic decision rules for financial stochastic programs
Siegmann, Adriaan Hendrik; Lucas, André - 2000 - This version: May 1, 2000
Contemporary financial stochastic programs typically involve a trade-offbetween return and (downside)-risk. Using stochastic programming we characterize analytically (rather than numerically) the optimal decisions that follow from characteristic single-stage and multi-stage versions of such...
Persistent link: https://www.econbiz.de/10011303296
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Analytic Decision Rules for Financial Stochastic Programs
Siegmann, Arjen H.; Lucas, André - 2000
Contemporary financial stochastic programs typically involve a trade-offbetween return and (downside)-risk. Using stochastic programming we characterize analytically (rather than numerically) the optimal decisions that follow from characteristic single-stage and multi-stage versions of such...
Persistent link: https://www.econbiz.de/10010324403
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Analytic Decision Rules for Financial Stochastic Programs
Siegmann, Arjen H.; Lucas, André - Tinbergen Institute - 2000
Contemporary financial stochastic programs typically involve a trade-off between return and (downside)-risk. Using stochastic programming we characterize analytically (rather than numerically) the optimal decisions that follow from characteristic single-stage and multi-stage versions of such...
Persistent link: https://www.econbiz.de/10005450807
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Analytic Decision Rules for Financial Stochastic Programs
Siegmann, Arjen H.; Lucas, André - Tinbergen Instituut - 2000
Contemporary financial stochastic programs typically involve a trade-offbetween return and (downside)-risk. Using stochastic programming we characterize analytically (rather than numerically) the optimal decisions that follow from characteristic single-stage and multi-stage versions of such...
Persistent link: https://www.econbiz.de/10011256489
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Modelling portfolio defaults using hidden Markov models with covariates
Banachewicz, Konrad; Lucas, André; Vaart, Aad W. van der - In: The econometrics journal 11 (2008) 1, pp. 155-171
Persistent link: https://www.econbiz.de/10003648671
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Macro, industry and frailty effects in defaults : the 2008 credit crisis in perspective
Koopman, Siem Jan; Lucas, André; Schwaab, Bernd - 2010
Persistent link: https://www.econbiz.de/10003973286
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The effect of shortfall as a risk measure for portfolios with hedge funds
Lucas, André; Siegmann, Adriaan Hendrik - In: Journal of business finance & accounting : JBFA 35 (2008) 1/2, pp. 200-226
Persistent link: https://www.econbiz.de/10003694555
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Modeling portfolio defaults using hidden Markov models with covariates
Banachewicz, Konrad; Vaart, Aad W. van der; Lucas, André - 2006
Persistent link: https://www.econbiz.de/10003392203
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Risk aversion under preference uncertainty
Kräussl, Roman; Lucas, André; Siegmann, Adriaan Hendrik - In: Finance research letters 9 (2012) 1, pp. 1-7
Persistent link: https://www.econbiz.de/10009575398
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Nowcasting and forecasting global financial sector stress and credit market dislocation
Schwaab, Bernd; Koopman, Siem Jan; Lucas, André - In: International journal of forecasting 30 (2014) 3, pp. 741-758
Persistent link: https://www.econbiz.de/10010515585