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Portfolio allocation for European markets with predictability and parameter uncertainty

Jondeau, Eric; Rockinger, Michael - 2010

We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model …

Persistent link: https://www.econbiz.de/10008797745

Concepts of Forecast and Decision Horizons : Applications to Dynamic Stochastic Optimization Problems

Bes, Christian - 2015

Focuses on a study which developed a framework for forecast and decision horizons. Definition of finite and infinite horizon stochastic optimization problems for a given forecast; Description of the general framework; Conditions for the existence of a solution horizon; Development of sufficient...

Persistent link: https://www.econbiz.de/10012750265

An efficient application of the extended path algorithm in Matlab with examples

Binning, Andrew - 2022

Recent experience with interest rates hitting the effective lower bound and agents facing binding borrowing constraints has emphasised the importance of understanding the behaviour of an economy in which some variables may be restricted at times. The extended path algorithm is a commonly used...

Persistent link: https://www.econbiz.de/10013365558

Robust and Risk-Neutral Optimization with Linear Dynamic Perfect Foresight Models : A Field Manual

Von zur Mühlen, Peter - 2022

linear dynamic perfect foresight models. Two broad categories, differing in the treatment of risk, are presented. The first … group comprises certainty-equivalent optimization, based on risk neutrality, and includes closed-loop optimal control, time … suggest that, compared with certainty equivalent rules, optimal risk-sensitive policies lead neither to attenuation of …

Persistent link: https://www.econbiz.de/10013403822

Dynamic Stochastic Optimization Problems in the Framework of Forecast and Decision Horizons

Sethi, Suresh; Bes, Christian - 2020

In this paper, we develop a rigorous new framework for the concepts of forecast and decision horizons. These concepts are conditional in nature and, in turn, enable us to unify the existing concepts of “strong” and “weak” horizons. Moreover, we are able to precisely state the question of...

Persistent link: https://www.econbiz.de/10014097191

Lasso-Type and Heuristic Strategies in Model Selection and Forecasting

Savin, Ivan - 2012

Several approaches for subset recovery and improved forecasting accuracy have been proposed and studied. One way is to apply a regularization strategy and solve the model selection task as a continuous optimization problem. One of the most popular approaches in this research field is given by...

Persistent link: https://www.econbiz.de/10013099334

Existence of Forecast Horizons in Undiscounted Discrete-Time Lot Size Models

Chand, Suresh; Sethi, Suresh; Proth, Jean-Marie - 2017

of forecast horizon theory, we obtain conditions for a finite forecast horizon to exist in the undiscounted dynamic lot …

Persistent link: https://www.econbiz.de/10014218588

Existence and Derivation of Forecast Horizons in a Dynamic Lot Size Model with Nondecreasing Holding Costs

Bylka, Stanislaw; Sethi, Suresh - 2008

We are concerned with a discrete-time undiscounted dynamic lot size model in which demand and the production setup cost are constant for an initial few periods and the holding cost of inventory is an arbitrary nondecreasing function assumed to be stationary (i.e., explicitly independent of time)...

Persistent link: https://www.econbiz.de/10014220369

Lasso-type and heuristic strategies in model selection and forecasting

Savin, Ivan; Winker, Peter - 2012

Persistent link: https://www.econbiz.de/10009630302

Measuring Longevity Risk Through a Neural Network Lee-Carter Model

Marino, Mario - 2020

One of the main challenges for life actuaries is modeling and predicting the future mortality evolution. To this end, several stochastic mortality models have been proposed in literature, starting from the pivotal approach of the Lee-Carter model. These models essentially use the ARIMA processes...

Persistent link: https://www.econbiz.de/10012834239