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On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability
Bodnar, Taras; Parolya, Nestor; Schmid, Wolfgang - In: European journal of operational research : EJOR 246 (2015) 2, pp. 528-542
Persistent link: https://www.econbiz.de/10011338116
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Partially unforeseen events : corrections and correcting formulae for forecasts
Charin, Aleksandr A. - In: Expert journal of economics 2 (2014) 2, pp. 69-79
A hypothesis of uncertain future was created and first applied in the field of utility and prospect theories. An extension of application of the hypothesis to the field of forecasting is considered in the article. The concept of inevitability of unforeseen events is a part of the hypothesis of...
Persistent link: https://www.econbiz.de/10012057407
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Lost in noise? : some thoughts on the use of machine learning in financial market risk measurement
Quell, Peter - In: Journal of risk management in financial institutions 17 (2023) 1, pp. 43-52
Persistent link: https://www.econbiz.de/10014489153
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Dynamic asset allocation with ambiguous return predictability
Chen, Hui; Ju, Nengjiu; Miao, Jianjun - In: Review of economic dynamics 17 (2014) 4, pp. 799-823
Persistent link: https://www.econbiz.de/10011281431
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Predicting equity premium using news-based economic policy uncertainty : not all uncertainty changes are equally important
Nonejad, Nima - In: International review of financial analysis 77 (2021), pp. 1-20
Persistent link: https://www.econbiz.de/10012805880
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Ambiguous investor sentiment
Wagner, Moritz; Wei, Xiaopeng - In: Finance research letters 67 (2024) 1, pp. 1-13
Persistent link: https://www.econbiz.de/10015061580
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On the informational content of changing risk for dynamic asset allocation
Barone-Adesi, Giovanni; Gagliardini, Patrick; Trojani, Fabio - 2000
Persistent link: https://www.econbiz.de/10001641348
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Sustainable profitability in volatile cyclical markets
Sarraf, Hanna - In: Journal of risk management in financial institutions 13 (2019/2020) 2, pp. 182-189
Persistent link: https://www.econbiz.de/10012250026
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Asset allocation under predictability and parameter uncertainty using LASSO
Rigamonti, Andrea; Weissensteiner, Alex - In: Computational management science 17 (2020) 2, pp. 179-201
Persistent link: https://www.econbiz.de/10012272060