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Sharpe-like ratios have been traditionally used to measure the performances of portfolio managers. However, they are known to suffer major drawbacks. Among them, two are intricate : (1) they are relative to a peer's performance and (2) the best score is generally assumed to correspond to a...
Persistent link: https://www.econbiz.de/10008679899
Sharpe-like ratios have been traditionally used to measure the performances of portfolio managers. However, they suffer two intricate drawbacks (1) they are relative to a perr's performance and (2) the best score is generally assumed to correspond to a "good" portfolio allocation, with no...
Persistent link: https://www.econbiz.de/10010603642
Sharpe-like ratios have been traditionally used to measure the performances of portfolio managers. However, they are known to suffer major drawbacks. Among them, two are intricate : (1) they are relative to a peer's performance and (2) the best score is generally assumed to correspond to a...
Persistent link: https://www.econbiz.de/10010603679
In this paper we employ ML-II ε-contaminated class of priors to study the sensitivity of Bayes Reliability measures for an Inverse Gaussian (IG) distribution and Lognormal (LN) distribution to misspecification in the prior. The numerical illustrations suggest that reliability measures of both...
Persistent link: https://www.econbiz.de/10005029703
This paper is a continuation of our earlier studies on short-term price forecasting of California electricity prices with time series models. Here we focus on whether models with heavy-tailed innovations perform better in terms of forecasting accuracy than their Gaussian counterparts....
Persistent link: https://www.econbiz.de/10005790265
Background: A call centre usually represents the first contact of a customer with a given company. Therefore, the quality of its service is of key importance. An essential factor of the call centre optimization is the determination of the proper number of operators considering the selected...
Persistent link: https://www.econbiz.de/10010929951
In the present study, we estimate the parameters of the Generalized Hyperbolic Distribution for a series of stock index returns including the Romanian BETC and indexes from other two Eastern European countries, Hungary and the Czech Republic. Using different econometric techniques, we...
Persistent link: https://www.econbiz.de/10005014902
The essence of the Value-at-Risk (VaR) and Expected Shortfall (ES) computations is estimation of low quantiles in the portfolio return distributions. Hence, the performance of market risk measurement methods depends on the quality of distributional assumptions on the underlying risk factors....
Persistent link: https://www.econbiz.de/10009323908
Many of the concepts in theoretical and empirical finance developed over the past decades – including the classical portfolio theory, the Black-Scholes-Merton option pricing model or the RiskMetrics variance-covariance approach to VaR – rest upon the assumption that asset returns follow a...
Persistent link: https://www.econbiz.de/10009323914
We propose marginal integration estimation and testing methods for the coefficients of varying coefficient multivariate regression model. Asymptotic distribution theory is developed for the estimation method which enjoys the same rate of convergence as univariate function estimation. For the...
Persistent link: https://www.econbiz.de/10005677957