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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

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

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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

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

Portfolio construction by mitigating error amplification : the bounded-noise portfolio

Zhao, Long; Chakrabarti, Deepayan; Muthuraman, Kumar - In: Operations research 67 (2019) 4, pp. 965-983

Persistent link: https://www.econbiz.de/10012062850

Vector autoregressions and macroeconomic modeling : an error taxonomy

Poskitt, Donald Stephen; Yao, Wenying - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 3, pp. 407-419

Persistent link: https://www.econbiz.de/10011705950

Portfolio optimization under Expected Shortfall : contour maps of estimation error

Caccioli, Fabio; Kondor, Imre; Papp, Gábor - In: Quantitative finance 18 (2018) 8, pp. 1295-1313

Persistent link: https://www.econbiz.de/10011911538

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

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

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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