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Non-parametric models
Taylor, Greg - 1999
Persistent link: https://www.econbiz.de/10001459611
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Parametric models
Taylor, Greg - 1999
Persistent link: https://www.econbiz.de/10001459616
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Optimized Tax Loss Harvesting : A Simple Algorithm and Framework
Israelov, Roni; Lu, Jason - 2022
When should you harvest a tax loss? Tax-loss harvesting is a strategy used to improve the net of tax returns of a … portfolio, where an investor deliberately sells assets that have incurred a loss in order to use these losses to offset current … or future capital gains. However, an important unanswered question is at what threshold should an investor harvest a loss …
Persistent link: https://www.econbiz.de/10013404561
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Sample out-of-sample inference based on Wasserstein distance
Blanchet, Jose; Kang, Yang - In: Operations research 69 (2021) 3, pp. 985-1013
Persistent link: https://www.econbiz.de/10012546913
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Agent teams and evolutionary computation : optimizing semi-parametric spatial autoregressive models
Krisztin, Tamás; Koch, Matthias - 2011 - Manuscript received January 26, 2011
Classical spatial autoregressive models share the same weakness as the classical linear regression models, namely it is not possible to estimate non-linear relationships between the dependent and independent variables. In the case of classical linear regression a semi-parametric approach can be...
Persistent link: https://www.econbiz.de/10011527332
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Partial identification by extending subdistributions
Torgovitsky, Alexander - In: Quantitative economics : QE ; journal of the … 10 (2019) 1, pp. 105-144
generalize a classic result in copula theory concerning the extendibility of subcopulas to show that related objects …
Persistent link: https://www.econbiz.de/10011994834
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Sensitivity of university rankings : implications of stochastic dominance efficiency analysis
Pinar, Mehmet; Milla, Joniada; Stengos, Thanasēs - In: Education economics 27 (2019) 1, pp. 75-92
Persistent link: https://www.econbiz.de/10012202824
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Bounding average treatment effects using linear programming
Lafférs, Lukáš - In: Empirical economics : a journal of the Institute for … 57 (2019) 3, pp. 727-767
Persistent link: https://www.econbiz.de/10012214799
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Spanning analysis of stock market anomalies under prospect stochastic dominance
Arvanitis, Stelios; Scaillet, Olivier; Topaloglou, Nikolas - 2020 - This version: April 2020
We develop and implement methods for determining whether introducing new securities or relaxing investment constraints improves the investment opportunity set for prospect investors. We formulate a new testing procedure for prospect spanning for two nested portfolio sets based on subsampling and...
Persistent link: https://www.econbiz.de/10012219063
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Modeling uncertainty of expert elicitation for use in risk-based optimization
Teter, Michael D.; Royset, Johannes O.; Newman, Alexandra M. - 2019
Persistent link: https://www.econbiz.de/10012116215