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Size matters : optimal calibration of shrinkage estimators for portfolio selection
DeMiguel, Victor; Martin-Utrera, Alberto; Nogales, … - In: Journal of banking & finance 37 (2013) 8, pp. 3018-3034
Persistent link: https://www.econbiz.de/10009777150
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Making Cornish-Fisher fit for risk measurement
Lamb, John D.; Monville, Maura E.; Tee, Kaihong - In: Journal of risk 21 (2018/2019) 5, pp. 53-81
Persistent link: https://www.econbiz.de/10012059934
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Diversifying estimation errors: an efficient averaging rule for portfolio optimization
Füss, Roland; Koeppel, Christian; Miebs, Felix - 2021
-of-sample variance. Our rule overcomes the problem of selecting the “best” strategy ex-ante and diversifies remaining estimation errors … of the single strategies included in the averaging. Extensive simulations show that the contributions of estimation …
Persistent link: https://www.econbiz.de/10012426966
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Time is relative : how framing of time estimation affects the accuracy of cost information
Schuhmacher, Karl; Burkert, Michael - In: Management science : journal of the Institute for … 68 (2022) 7, pp. 5493-5513
Persistent link: https://www.econbiz.de/10013369327
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Comparing the small-sample estimation error of conceptually different risk measures
Auer, Benjamin R.; Schuhmacher, Frank - In: International journal of theoretical and applied finance 24 (2021) 5, pp. 1-21
Persistent link: https://www.econbiz.de/10012662011
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Correlation shrinkage : implications for risk forecasting
Menchero, Jose; Li, Peng - In: Journal of investment management : JOIM 18 (2020) 3, pp. 92-108
Persistent link: https://www.econbiz.de/10012589102
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Profit estimation error in the newsvendor model under a parametric demand distribution
Siegel, Andrew F.; Wagner, Michael R. - In: Management science : journal of the Institute for … 67 (2021) 8, pp. 4863-4879
Persistent link: https://www.econbiz.de/10012625040
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Backtesting and estimation error : value-at-risk overviolation rate
Tsafack, Georges; Cataldo, James M. - In: Empirical economics : a quarterly journal of the … 61 (2021) 3, pp. 1351-1396
Persistent link: https://www.econbiz.de/10012616952
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Reduction of estimation error impact in the risk parity strategiesv
Kim, Hyuksoo; Kim, Saejoon - In: Quantitative finance 21 (2021) 8, pp. 1351-1364
Persistent link: https://www.econbiz.de/10012608651
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Noise fit, estimation error and a Sharpe information criterion
Paulsen, Dirk; Söhl, Jakob - In: Quantitative finance 20 (2020) 6, pp. 1027-1043
Persistent link: https://www.econbiz.de/10012262656