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Essays on finite sample inference and financial econometrics
Bao, Yong - 2004
Persistent link: https://www.econbiz.de/10003386763
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Sampling error and double shrinkage estimation of minimum variance portfolio
Candelon, Bertrand; Hurlin, Christophe; Tokpavi, S. - In: Journal of empirical finance 19 (2012) 4, pp. 511-527
Persistent link: https://www.econbiz.de/10009615665
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Advances in estimating covariance matrices
Menchero, Jose; Ji, Lei - In: Journal of investment management : JOIM 19 (2021) 3, pp. 60-80
Persistent link: https://www.econbiz.de/10013041084
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Robust Portfolio Optimization Under Sampling Error : Estimation of Sampling Error in Small Eigen Value by Semidefinite Programming
Minami, Seiji - 2013
covariance matrix. Estimation of sampling errors for small eigen values is quite important for fund managers who construct their … portfolios from estimated covariance matrixes. If they can calculate the sampling errors, they can construct robust portfolios …. In this study, we propose the method of estimation of sampling error for eigen values from error of each element of …
Persistent link: https://www.econbiz.de/10013079251
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The effect of regularization in portfolio selection problems
Pagnoncelli, Bernardo K.; Canto, Felipe del; Cifuentes, … - In: Top : an official journal of the Spanish Society of … 29 (2021) 1, pp. 156-176
Persistent link: https://www.econbiz.de/10012498983
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Fast and efficient nested simulation for large variable annuity portfolios : a surrogate modeling approach
Lin, X. Sheldon; Yang, Shuai - In: Insurance / Mathematics & economics 91 (2020), pp. 85-103
Persistent link: https://www.econbiz.de/10012241991
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Utility-based shortfall risk : efficient computations via Monte Carlo
Hu, Zhaolin; Zhang, Dali - In: Naval research logistics : an international journal 65 (2018) 5, pp. 378-392
Persistent link: https://www.econbiz.de/10011969327
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High‐dimensional macroeconomic forecasting and variable selection via penalized regression : editor's choice
Uematsu, Yoshimasa; Tanaka, Shinya - In: The econometrics journal 22 (2019) 1, pp. 34-56
Persistent link: https://www.econbiz.de/10012166649
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Sampling distributions of optimal portfolio weights and characteristics in low and large dimensions
Bodnar, Taras; Dette, Holger; Parolya, Nestor; … - Sonderforschungsbereich Statistical Modelling of … - 2019
Persistent link: https://www.econbiz.de/10012119286
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Data-driven satisficing measure and ranking
Huang, Wenjie - In: Journal of the Operational Research Society 71 (2020) 3, pp. 456-474
Persistent link: https://www.econbiz.de/10012216628