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Biases and heuristics in portfolio management : determinants for non-optimal portfolio diversification
Filiz, Ibrahim - 2019
particular has identified some heuristics and cognitive distortions (such as the 1/N heuristic, home bias, mental accounting or … (wie zum Beispiel die 1/n-Heuristik, die Heimat-Verzerrung, die mentale Buchführung oder die Ex... …
Persistent link: https://www.econbiz.de/10012128097
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Probability and statistics for finance
Račev, Svetlozar T.; Höchstötter, Markus; Fabozzi, … - 2010
finance. Includes detailed discussions of descriptive statistics, basic probability theory, inductive statistics, and …
Persistent link: https://www.econbiz.de/10008665229
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Cognitive biases, downside risk shocks, and stock expected returns
Li, Si; He, Fangyi; Shi, Fangquan - In: The North American journal of economics and finance : a … 68 (2023), pp. 1-22
Persistent link: https://www.econbiz.de/10014485480
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Nonparametric inference of expectile-based value-at-risk for financial time series with application to risk assessment
Zhang, Feipeng; Xu, Yixiong; Fan, Caiyun - In: International review of financial analysis 90 (2023), pp. 1-8
Persistent link: https://www.econbiz.de/10014469910
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Portfolio rankings with skewness and kurtosis
Di Pierro, Massimo; Mosevich, J. - In: Computational finance and its applications III : …, (pp. 109-117). 2008
Persistent link: https://www.econbiz.de/10003713279
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Financial decision-making under distribution uncertainty
Kacperczyk, Marcin - 2004
Persistent link: https://www.econbiz.de/10003386915
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Comparison of conditional distributions in portfolios of dependent risks
Sordo, Miguel A.; Suárez-Llorens, Alfonso; Bello, … - In: Insurance / Mathematics & economics 61 (2015), pp. 62-69
Persistent link: https://www.econbiz.de/10010515927
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On multivariate extensions of the conditional value-at-risk measure
Di Bernardino, Elena; Fernández-Ponce, J. M.; … - In: Insurance / Mathematics & economics 61 (2015), pp. 1-16
Persistent link: https://www.econbiz.de/10010515946
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Recursive calculation of ruin probabilities at or before claim instants for non-identically distributed claims
Raducan, Anisoara Maria; Vernic, Raluca; Zbaganu, Gheorghita - In: Astin bulletin : the journal of the International … 45 (2015) 2, pp. 421-443
Persistent link: https://www.econbiz.de/10011312279
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Tail behavior of credit loss distributions for general latent factor models
Lucas, André; Klaassen, Pieter; Spreij, Peter; … - 2001
Using a limiting approach to portfolio credit risk, we obtain analyticexpressions for the tail behavior of the distribution of credit losses. We showthat in many cases of practical interest the distribution of these losses haspolynomial ('fat') rather than exponential ('thin') tails. Our...
Persistent link: https://www.econbiz.de/10011316891