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Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors

Lee, Yong Woong; Poon, Ser-Huang - In: Journal of economic dynamics & control 41 (2014), pp. 69-92

Persistent link: https://www.econbiz.de/10010425019

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

Portfolio optimization based on GARCH-EVT-Copula forecasting models

Sahamkhadam, Maziar; Stephan, Andreas; Östermark, Ralf - In: International journal of forecasting 34 (2018) 3, pp. 497-506

Persistent link: https://www.econbiz.de/10012031027

Machine learning and portfolio optimization

Ban, Gah-Yi; El Karoui, Noureddine; Lim, Andrew E. B. - In: Management science : journal of the Institute for … 64 (2018) 3, pp. 1136-1154

Persistent link: https://www.econbiz.de/10011847178

Conditional value-at-risk approximation to value-at-risk constrained programs : a remedy via Monte Carlo

Hong, L. Jeff; Hu, Zhaolin; Zhang, Liwei - In: INFORMS journal on computing : JOC 26 (2014) 2, pp. 385-400

Persistent link: https://www.econbiz.de/10010362435

Evaluating the accuracy of tail risk forecasts for systemic risk measurement

Brownlees, Christian; Cavaliere, Giuseppe; Monti, Alice - In: Annals of financial economics 13 (2018) 2, pp. 1-25

Persistent link: https://www.econbiz.de/10011931111

Online portfolio selection with long-short term forecasting

Li, Roujia; Liu, Jia - In: Operations research forum 3 (2022) 4, pp. 1-15

Persistent link: https://www.econbiz.de/10013461950

Forecasting value-at-risk under temporal and portfolio aggregation

Kole, Erik; Markwat, Thijs; Opschoor, Anne; Dijk, Dick van - 2015

We examine the impact of temporal and portfolio aggregation on the quality of Value-at-Risk (VaR) forecasts over a horizon of ten trading days for a well-diversified portfolio of stocks, bonds and alternative investments. The VaR forecasts are constructed based on daily, weekly or biweekly...

Persistent link: https://www.econbiz.de/10011431503

Decay factor as a determinant of forecasting models

Mentel, Grzegorz; Brożyna, Jacek - In: International journal of economics and finance 7 (2015) 1, pp. 118-128

Persistent link: https://www.econbiz.de/10010471694

Expected shortfall or median shortfall

Kou, Steven; Peng, Xianhua - In: Journal of financial engineering 1 (2014) 1, pp. 1-6

Persistent link: https://www.econbiz.de/10010508103

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