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Incorporating uncertainty into the Black-Litterman portfolio selection model
Simonian, Joseph; Davis, Joshua M. - In: Applied economics letters 18 (2011) 16/18, pp. 1719-1722
Persistent link: https://www.econbiz.de/10009383340
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Uncertainty aversion, robust control and asset holdings with a stochastic investment opportunity set
Vardas, Giannis; Xepapadeas, Anastasios - In: International journal of theoretical and applied finance 10 (2007) 6, pp. 985-1014
Persistent link: https://www.econbiz.de/10003630985
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Stress testing and model validation : application of the Bayesian approach to a credit risk portfolio
Jacobs, Michael <Jr.>; Karagozoglu, Ahmet K.; … - In: The journal of risk model validation 9 (2015) 3, pp. 41-70
Persistent link: https://www.econbiz.de/10011410323
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A shrinkage approach to model uncertainty and asset allocation
Wang, Zhenyu - In: The review of financial studies 18 (2005) 2, pp. 673-705
Persistent link: https://www.econbiz.de/10002882106
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Model risk
Derman, Emanuel - In: The Handbook of risk, (pp. 129-142). 2003
Persistent link: https://www.econbiz.de/10001739095
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Financial modelling with jump processes
Cont, Rama; Tankov, Peter - 2004
Persistent link: https://www.econbiz.de/10001790344
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Testing for mean-variance spanning : a survey
Roon, Frans de; Nijman, Theodore E. - In: Journal of empirical finance 8 (2001) 2, pp. 111-155
Persistent link: https://www.econbiz.de/10001575265
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A note on optimal estimation from a risk-management perspective under possibly misspecified tail behavior
Lucas, André - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 1, pp. 31-39
Persistent link: https://www.econbiz.de/10001441592
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A Model of Momentum
Liu, Laura Xiaolei - 2011
Optimal investment of firms implies that expected stock returns are tied with the expected marginal benefit of investment divided by the marginal cost of investment. Winners have higher expected growth and expected marginal productivity (two major components of the marginal benefit of...
Persistent link: https://www.econbiz.de/10013130782
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A Model of Momentum
Liu, Laura Xiaolei - 2011
Optimal investment of firms implies that expected stock returns are tied with the expected marginal benefit of investment divided by the marginal cost of investment. Winners have higher expected growth and expected marginal productivity (two major components of the marginal benefit of...
Persistent link: https://www.econbiz.de/10013132883