called fractional multinomial logit model - which allows for joint estimation of shares while accounting for their fractional …

orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … proposed estimation approach pairs intuitiveappeal with computational efficiency. We evaluate various alternative estimation …

This paper is aimed at presenting application of bootstrap interval estimation methods to the assessment of financial … investment’s effectiveness and risk. At first, we give an overview of various methods of bootstrap confidence interval estimation …, i.e. bootstrap-t interval, percentile interval and BCa interval. Then, bootstrap confidence interval estimation methods …

investor personae in the Behavioral Finance literature, namely, the Cumulative Prospect Theory, the Markowitz and the Loss …

exact volatility measurement equations in state space form and propose a Bayesian estimation approach. Our highly efficient …

various estimation procedures based on publicly available data. Compared to the Lee-Carter model, we have a more flexible …

are known exactly. In practice, these input parameters are subject to estimation errors that may render the output of the … with estimation uncertainty to derive more stable portfolios. The naïve equal weighted portfolio assumes that there is no … recommend using a more active approach to portfolio investing in order to profit from the generally smaller estimation errors of …