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Correlation shrinkage : implications for risk forecasting
Menchero, Jose; Li, Peng - In: Journal of investment management : JOIM 18 (2020) 3, pp. 92-108
Persistent link: https://www.econbiz.de/10012589102
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Backtesting and estimation error : value-at-risk overviolation rate
Tsafack, Georges; Cataldo, James M. - In: Empirical economics : a quarterly journal of the … 61 (2021) 3, pp. 1351-1396
Persistent link: https://www.econbiz.de/10012616952
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Portfolio optimization under Expected Shortfall : contour maps of estimation error
Caccioli, Fabio; Kondor, Imre; Papp, Gábor - In: Quantitative finance 18 (2018) 8, pp. 1295-1313
Persistent link: https://www.econbiz.de/10011911538
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Asset Allocation und Prognoseunsicherheit : Die Berücksichtigung von Schätzfehlern in der strategischen und taktischen Asset Allocation
Herold, Ulf - 2004 - 1. Aufl.
Persistent link: https://www.econbiz.de/10001916089
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Portfolio turnover when IC is time-varying
Ding, Zhuanxin; Martin, R. Douglas; Yang, Chaojun - In: The journal of asset management 21 (2020) 7, pp. 609-622
Persistent link: https://www.econbiz.de/10012421074
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Can portfolio risk be described with estimates of financial risk tolerance calibration?
Rabbani, Abed G.; Grable, John E. - In: Finance research letters 46 (2022) 2, pp. 1-7
Persistent link: https://www.econbiz.de/10013342753
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Discussion of "The impact of analysts' forecast errors and forecast revisions on stock prices"
Eames, Michael - In: Journal of business finance & accounting : JBFA 35 (2008) 5/6, pp. 741-747
Persistent link: https://www.econbiz.de/10003742905
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Arithmetic mean : a bellwether for unbiased forecasting of portfolio performance
Missiakoulis, Spyros; Vasiliou, Dimitrios; Eriotis, Nikolaos - In: Managerial finance 36 (2010) 11, pp. 958-968
Persistent link: https://www.econbiz.de/10008778161
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Rationality and momentum in real estate investment forecasts
Papastamos, Dēmētrēs; Muzakēs, Phōtēs; Stevenson, … - 2014
Persistent link: https://www.econbiz.de/10010387939
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Incorporating prediction and estimation risk in point-in-time credit portfolio models
Hamerle, Alfred; Knapp, Michael; Liebig, Thilo; … - 2005
In this paper we focus on the analysis of the effect of prediction and estimation risk on the loss distribution, risk measures and economic capital. When variables for the determination of probability of default and loss distribution have to be predicted because they are not available at the...
Persistent link: https://www.econbiz.de/10003209701