Search Results - subject:"Estimation error"

Portfolio Selection under Parameter Uncertainty using a Predictive Distribution

Im, Ji Jung; Lim, Hyun Soo; Choi, Sung sub; Nikitin, Denis - In: Annals of Economics and Finance 8 (2007) 2, pp. 305-312

We propose a portfolio selection model based on a generalized hyperbolic predictive distribution. This distribution incorporates uncertainties in mean and volatility of market returns. We then select an optimal portfolio with expected utility calculated under the predictive distribution. We...

Persistent link: https://www.econbiz.de/10009228656

Research Note: What Counts as a House? Comparing 2010 Census Counts and Administrative Records

Jarosz, Beth; Hofmockel, John - In: Population Research and Policy Review 32 (2013) 5, pp. 753-765

As a tool for fulfilling data needs for small area (subcounty) analysis, demographers are increasingly turning to administrative records such as building permits and tax assessor records as a source of data for use in producing small area demographic estimates. While Census counts are considered...

Persistent link: https://www.econbiz.de/10010989020

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

We carry out a comprehensive investigation of shrinkage estimators for asset allocation, and we find that size matters—the shrinkage intensity plays a significant role in the performance of the resulting estimated optimal portfolios. We study both portfolios computed from shrinkage estimators...

Persistent link: https://www.econbiz.de/10011065615

A Survey of Recent Advances in Forecast Accuracy Comparison Testing, with an Extension to Stochastic Dominance

Corradi, Valentina; Swanson, Norman - Department of Economics, Rutgers University-New Brunswick - 2013

that allows for parameter estimation error in certain contexts, and White (2000) who develops testing methodology suitable …, both under vanishing and non-vanishing parameter estimation error, with focus on the construction of valid bootstrap … critical values in the case of non-vanishing parameter estimation error, under recursive estimation schemes, drawing on Corradi …

Persistent link: https://www.econbiz.de/10010678606

A survey of recent advances in forecast accuracy comparison testing, with an extension to stochastic dominance

Corradi, Valentina; Swanson, Norman R. - 2013

Persistent link: https://www.econbiz.de/10009766717

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

Facility location decisions with random disruptions and imperfect estimation

Lim, Michael K.; Bassamboo, Achal; Chopra, Sunil; … - In: Manufacturing & service operations management : M & SOM 15 (2013) 2, pp. 239-249

Persistent link: https://www.econbiz.de/10009751814

A simulation based specification test for diffusion processes

Bhardwaj, Geetesh; Corradi, Valentina; Swanson, Norman R. - 2005

This paper makes two contributions. First, we outline a simple simulation based framework for constructing conditional distributions for multi-factor and multi-dimensional diffusion processes, for the case where the functional form of the conditional density is unknown. The distributions can be...

Persistent link: https://www.econbiz.de/10010266342

Nonparametric bootstrap procedures for predictive inference based on recursive estimation schemes

Corradi, Valentina; Swanson, Norman R. - 2005

vanishing parameter estimation error, and extend the integrated conditional moment tests of Bierens (1982, 1990) and Bierens and …

Persistent link: https://www.econbiz.de/10010266361

A predictive comparison of some simple long memory and short memory models of daily US stock returns, with emphasis on business cycle effects

Bhardwaj, Geetesh; Swanson, Norman R. - 2005

This chapter builds on previous work by Bhardwaj and Swanson (2004) who address the notion that many fractional I(d) processes may fall into the empty box" category, as discussed in Granger (1999). However, rather than focusing primarily on linear models, as do Bhardwaj and Swanson, we analyze...

Persistent link: https://www.econbiz.de/10010266365