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Anybody can do value at risk : a teaching study using parametric computation and Monte Carlo simulation
Cheung, Yun-hsing; Powell, Robert - In: Australasian accounting business and finance journal : AABF 6 (2012) 5, pp. 101-118
Persistent link: https://www.econbiz.de/10010244995
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Portfolio management with robustness in both prediction and decision : a mixture model based learning approach
Zhu, Shushang; Fan, Minjie; Li, Duan - In: Journal of economic dynamics & control 48 (2014), pp. 1-25
Persistent link: https://www.econbiz.de/10010485842
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Portfolio Management with Dual Robustness in Prediction and Optimization : A Mixture Model Based Learning Approach
Zhu, Shushang - 2013
uncertainty. By using duality theory, we show that the robust portfolio selection problem via learning with a mixture model can be …
Persistent link: https://www.econbiz.de/10013076696
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A neural network with shared dynamics for multi‐step prediction of value‐at‐risk and volatility
Baştürk, Nalan; Schotman, Peter C.; Schyns, Hugo - 2022
Persistent link: https://www.econbiz.de/10013539142
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Investment portfolio optimization based on modern portfolio theory and deep learning models
Wysocki, Maciej; Sakowski, Paweł - 2022
Persistent link: https://www.econbiz.de/10013473216
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Portfolio optimization through hybrid deep learning and genetic algorithms vine Copula-GARCH-EVT-CVaR model
Bedoui, Rihab; Benkraiem, Ramzi; Guesmi, Khaled; … - In: Technological forecasting & social change : an … 197 (2023), pp. 1-13
Persistent link: https://www.econbiz.de/10014468847
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Forecasting by ARIMA methods : a comparison of integer and fractionally differenced models
Chen, Shaw-kuan; Jarrett, Jeffrey E.; Ray, Bonnie K. - In: Advances in business and management forecasting 3 (2002), pp. 125-141
Persistent link: https://www.econbiz.de/10003750923
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Comovement and return predictability in asset markets : an experiment with two Lucas trees
Noussair, Charles; Popescu, Andreea Victoria - In: Journal of economic behavior & organization : JEBO 185 (2021), pp. 671-687
Persistent link: https://www.econbiz.de/10012601339
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Do investors experience heuristics in earnings forecasting?
Praditha, Riza; Haliah, Haliah; Habbe, Abdul Hamid; … - In: Verslas : teorija ir praktika : Vilniaus Gedimino … 21 (2020) 2, pp. 686-694
This research aims to examine empirically the overreliance on representativeness heuristic and anchoring-adjustment influences experienced by investors in forecasting future earnings. This research was a laboratory experiment with a design of 2x2 full factorial between subject. The results...
Persistent link: https://www.econbiz.de/10012502444
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Congation and return predictabiity in asset markets : an experiment with two Lucas trees
Noussair, Charles; Popescu, Andreea Victoria - 2020
Persistent link: https://www.econbiz.de/10012227958