Search Results - subject:"Loss functions"

Classical and Bayesian estimation of <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$$P(X>Y)$$</EquationSource> <EquationSource Format="MATHML"> <math xmlns:xlink="http://www.w3.org/1999/xlink"> <mrow> <mi>P</mi> <mo stretchy="false">(</mo> <mi>X</mi> <mo>></mo> <mi>Y</mi> <mo stretchy="false">)</mo> </mrow> </math> </EquationSource> </InlineEquation> using upper record values from ...

Nadar, Mustafa; Kızılaslan, Fatih - In: Statistical Papers 55 (2014) 3, pp. 751-783

under symmetric (squared error) and asymmetric (LINEX) loss functions using the conjugate and non informative prior …

Persistent link: https://www.econbiz.de/10010998557

Explorations in specifying construction price forecast loss functions

Skitmore, Martin; Cheung, Franco K.T. - 2007

, the loss functions involved are asymmetric, with the degree of asymmetry increasing according to the level of commercial …

Persistent link: https://www.econbiz.de/10009483260

Application of a General Risk Management Model to Portfolio Optimization Problems with Elliptical Distributed Returns for Risk Neutral and Risk Averse Decision Makers

Kaynar, B.; Birbil, S.I.; Frenk, J.B.G. - Erasmus Research Institute of Management (ERIM), ERIM … - 2007

In this paper portfolio problems with linear loss functions and multivariate elliptical distributed returns are studied … ABSTRACT AND KEYWORDS Abstract In this paper portfolio problems with linear loss functions and multivariate elliptical … conducted. Free Keywords Elliptical distributions, Linear loss functions, Value-at-risk, Conditional value …

Persistent link: https://www.econbiz.de/10005505034

Application of a general risk management model to portfolio optimization problems with elliptical distributed returns for risk neutral and risk averse decision makers.

Kaynar, B.; Birbil, S.I.; Frenk, J.B.G. - Erasmus University Rotterdam, Econometric Institute - 2007

We discuss a class of risk measures for portfolio optimization with linear loss functions, where the random returns of … of risk measures for portfolio optimization with linear loss functions, where the random returns of financial instruments …. Keywords: Elliptical distributions; linear loss functions; value-at-risk; conditional value-at-risk; portfolio opti- mization …

Persistent link: https://www.econbiz.de/10004972213

Application of a General Risk Management Model to Portfolio Optimization Problems with Elliptical Distributed Returns for Risk Neutral and Risk Averse Decision Makers

Kaynar, B.; Birbil, Birbil, S.I.; Frenk, Frenk, J.B.G. - Erasmus Research Institute of Management (ERIM), … - 2007

In this paper portfolio problems with linear loss functions and multivariate elliptical distributed returns are studied …

Persistent link: https://www.econbiz.de/10010731328

Application of a general risk management model to portfolio optimization problems with elliptical distributed returns for risk neutral and risk averse decision makers.

Kaynar, B.; Birbil, Birbil, S.I.; Frenk, Frenk, J.B.G. - Faculteit der Economische Wetenschappen, Erasmus … - 2007

We discuss a class of risk measures for portfolio optimization with linear loss functions, where the random returns of …

Persistent link: https://www.econbiz.de/10010731653

Volatility Forecast Comparison using Imperfect Volatility Proxies

Patton, Andrew - Finance Discipline Group, Business School - 2006

proxy, and derive some interesting special cases of this class of “robust” loss functions. We motivate the theory with … analytical results on the distortions caused by some widely-used loss functions, when used with standard volatility proxies such …

Persistent link: https://www.econbiz.de/10005102339

Beyond Optimal Forecasting

Richard A. Ashley. - Department of Economics, Virginia Polytechnic Institute … - 2006

entire class of loss functions which are nondecreasing functions of the forecast error magnitude and further implies that its … dominate the unbiased forecast over this class of loss functions. Thus, it can be asserted that shrinkage forecasts are in … that of for any loss function in the class of all loss functions which are continuous nondecreasing functions of M …

Persistent link: https://www.econbiz.de/10005572061

Chapter 2 Forecasting and Decision Theory

Granger, Clive W.J.; Machina, Mark J. - 2006

forecast evaluation. Decision-based loss functions are shown to exhibit certain necessary properties, and the relationship … approximation. A class of more realistic loss functions (“location-dependent loss functions”) is proposed. …

Persistent link: https://www.econbiz.de/10014023704

SDF-based estimation of linear factor models with alternative loss functions

Longarela, Iñaki R. - In: International Journal of Financial Markets and Derivatives 3 (2013) 2, pp. 137-178

Hansen and Jagannathan (1997) introduce a measure of model misspecification which is based on the L2-norm and which has been wildly used in recent years in order to estimate the parameters of linear factor models. Given the observed asymmetry and excess kurtosis of financial returns, this paper...

Persistent link: https://www.econbiz.de/10011130271