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contrast, expectile risk measures are not as widely used, even though they are both coherent and elicitable. This paper … optimization problems involving expectile-linked constraints, relate expectiles with VaR and CVaR by means of both equalities and …
Persistent link: https://www.econbiz.de/10014446781
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This paper applies the methodological tools typical of social network analysis (SNA) within an evolutionary framework, to investigate the knowledge-base (KB) dynamics of the biotechnology sector. Knowledge is here considered a collective good represented as a co-relational and a...
Persistent link: https://www.econbiz.de/10009200595
coherence vs. market coherence and of accumulated knowledge on the productivity of firms differs. Productivity increases with … the number of patents and decreases with the patent diversity and project portfolio coherence. When considering only the …
Persistent link: https://www.econbiz.de/10008511333
coherence (no arbitrage opportunities, a.k.a. "Dutch books"). However, the Nash property of statistical independence between …
Persistent link: https://www.econbiz.de/10009203747
<Para ID="Par1">We extend a result of Dubins (Ann Probab 3:89–99, <CitationRef CitationID="CR8">1975</CitationRef>) from bounded to unbounded random variables. Dubins showed that a finitely additive expectation over the collection of bounded random variables can be written as an integral of conditional expectations (disintegrability) if and only if the...</citationref></para>
Persistent link: https://www.econbiz.de/10011151899
<Para ID="Par1">Starting from a likelihood function and a prior information represented by a belief function, a closed form expression is provided for the lower envelope of the set of all the possible “posterior probabilities” in finite spaces. The same problem, removing the hypothesis of finiteness for the...</para>
Persistent link: https://www.econbiz.de/10011151901
We revisit a central task of the extant liquidity literature, which is to identify effective measures of liquidity. We critically assess the influential practice of identifying the best liquidity measures based on monthly correlations by comparing and contrasting correlations between monthly and...
Persistent link: https://www.econbiz.de/10011156975