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Search: subject:"Consistent loss function"
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Consistent loss function
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Testing forecast accuracy of expectiles and quantiles with the extremal consistent loss functions
Yen, Yu-min
;
Yen, Tso-Jung
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 733-758
Persistent link: https://www.econbiz.de/10012792867
Saved in:
2
Predicting the global minimum variance portfolio
Reh, Laura
;
Krüger, Fabian
;
Liesenfeld, Roman
-
2020
representation enables us to derive a
consistent
loss
function
from which we can infer the optimal GMVP weights without imposing any …
Persistent link: https://www.econbiz.de/10012243462
Saved in:
3
Predicting the global minimum variance portfolio
Reh, Laura
;
Krüger, Fabian
;
Liesenfeld, Roman
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
2
,
pp. 440-452
Persistent link: https://www.econbiz.de/10014448239
Saved in:
4
Predicting the global minimum variance portfolio
Reh, Laura
;
Krüger, Fabian
;
Liesenfeld, Roman
-
2020
representation enables us to derive a
consistent
loss
function
from which we can infer the optimal GMVP weights without imposing any …
Persistent link: https://www.econbiz.de/10012250683
Saved in:
5
Deep quantile and deep composite triplet regression
Fissler, Tobias
;
Merz, Michael
;
Wüthrich, Mario V.
- In:
Insurance
109
(
2023
),
pp. 94-112
Persistent link: https://www.econbiz.de/10014282471
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