Showing 61 - 70 of 107,676
This paper presents how the most recent improvements made on covariance matrix estimation and model order selection can be applied to the portfolio optimisation problem. The particular case of the Maximum Variety Portfolio is treated but the same improvements apply also in the other optimisation...
Persistent link: https://www.econbiz.de/10012918912
We introduce the Gerber statistic, a robust measure of correlation. The statistic extends Kendall's Tau by counting the … standard Pearson correlation that is sensitive to outliers or the Spearman correlation that relies on ranking observations …
Persistent link: https://www.econbiz.de/10012890822
This paper resolves a question proposed in Kardaras and Robertson [Ann. Appl. Probab. 22 (2012) 1576-1610]: how to invest in a robust growth-optimal way in a market where precise knowledge of the covariance structure of the underlying assets is unavailable. Among an appropriate class of...
Persistent link: https://www.econbiz.de/10013059790
This paper proposes two new approaches to improve estimation of the coefficients of the multivariate HAR (MHAR) model, and in turn improve forecast performance. A robust estimator of the covariance matrix is adopted to replace the realized covariance (RCov) matrix while estimating the MHAR...
Persistent link: https://www.econbiz.de/10014355197
Persistent link: https://www.econbiz.de/10008989131
Persistent link: https://www.econbiz.de/10010485679
Persistent link: https://www.econbiz.de/10010485680
Persistent link: https://www.econbiz.de/10011419309
Persistent link: https://www.econbiz.de/10011949581
The chain ladder method is a popular technique to estimate the future reserves needed to handle claims that are not fully settled. Since the predictions of the aggregate portfolio (consisting of different subportfolios) do not need to be equal to the sum of the predictions of the subportfolios,...
Persistent link: https://www.econbiz.de/10011906200