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Shah, Anish R. - In: The journal of investment strategies 10 (2021) 1, pp. 29-41

Persistent link: https://www.econbiz.de/10012805357

Essays on asset pricing and portfolio optimization

Koeppel, Christian - 2021

WThis doctoral thesis focuses on the effects of investor sentiment on asset pricing and the challenges of portfolio optimization under parameter uncertainty. The ﬁrst essay "Sentiment risk premia in the cross-section of global equity" applies a recently developed sentiment proxy to the...

Persistent link: https://www.econbiz.de/10012651028

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

The robustness of forecast combination in unstable environments : a Monte Carlo study of advanced algorithms

Zhao, Yongchen - In: Empirical economics : a quarterly journal of the … 61 (2021) 1, pp. 173-199

Persistent link: https://www.econbiz.de/10012585892

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

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

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

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

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

Regression based reserving models and partial information

Lindholm, Mathias; Verrall, Richard - In: Insurance / Mathematics & economics 94 (2020), pp. 109-124

Persistent link: https://www.econbiz.de/10012419147

A service of the

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