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A generalized Black-Litterman model
Chen, Shea D.; Lim, Andrew E. B. - In: Operations research 68 (2020) 2, pp. 381-410
Persistent link: https://www.econbiz.de/10012213340
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The impact of estimation error on portfolio selection for investors with constant relative risk aversion
Bengtsson, Christoffer (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001815413
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Mean-variance hedging in the presence of estimation risk
Chiu, Wan-Yi - In: Review of derivatives research 24 (2021) 3, pp. 221-241
Persistent link: https://www.econbiz.de/10012659670
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Optimal investment and consumption under a continuous-time cointegration model with exponential utility
Ma, Guiyuan; Zhu, Song-Ping - In: Quantitative finance 19 (2019) 7, pp. 1135-1149
Persistent link: https://www.econbiz.de/10012194749
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Testing the appropriateness of statistical methods
Neuburger, Hugh M. - In: Financial analysts' journal : FAJ 47 (1991) 4, pp. 83-88
Persistent link: https://www.econbiz.de/10001111204
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Modeling financial time series with S-PLUS
Zivot, Eric; Wang, Jiahui - 2006 - 2. ed.
Persistent link: https://www.econbiz.de/10003055672
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Risk aversion in the laboratory
Harrison, Glenn W.; Rutström, Eva Elisabet - 2008
Persistent link: https://www.econbiz.de/10003729022
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Uniform confidence bands for pricing kernels
Härdle, Wolfgang; Okhrin, Yarema; Wang, Weining - 2010
estimated nonparametrically too. In this framework, we develop the asymptotic distribution theory of the EPK in the L1 sense …, as an alternative to the asymptotic approach, we propose a bootstrap confidence band. The developed theory is helpful for …
Persistent link: https://www.econbiz.de/10003952791
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An alternative explanation for the variation in reported estimates of risk aversion
Conniffe, Denis; O'Neill, Donal - 2012
There is a large literature estimating Arrow-Pratt coefficients of absolute and relative risk aversion. A striking feature of this literature is the very wide variation in the reported estimates of the coefficients. While there are often legitimate reasons for these differences in the estimates,...
Persistent link: https://www.econbiz.de/10009629057