Search Results - subject:"Out-of-sample analysis"

Testing out-of-sample portfolio performance using second-order stochastic dominance constrained optimization approach

Xu, Peng - 2024

Persistent link: https://www.econbiz.de/10015147913

Robust enhanced indexation optimization with sparse industry layout constraint

Allen-Zhao, Zhihua; Xu, Fengmin; Dai, Yu-Hong; Liu, Sanyang - In: Computers & operations research : an international journal 161 (2024), pp. 1-12

Persistent link: https://www.econbiz.de/10014557812

Worst-case analysis of Omega-VaR ratio optimization model

Sehgal, Ruchika; Sharma, Amita; Mansini, Renata - In: Omega : the international journal of management science 114 (2023), pp. 1-20

Persistent link: https://www.econbiz.de/10013441559

The predictability of real estate excess returns : an out-of-sample economic value analysis

Guidolin, Massimo; Pedio, Manuela; Petrova, Milena - In: The journal of real estate finance and economics 67 (2023) 1, pp. 108-149

Persistent link: https://www.econbiz.de/10014322191

Wasserstein distributionally robust chance-constrained optimization for energy and reserve dispatch : An exact and physically-bounded formulation

Arrigo, Adriano; Ordoudis, Christos; Kazempour, Jalal; … - In: European journal of operational research : EJOR 296 (2022) 1, pp. 304-322

Persistent link: https://www.econbiz.de/10012820165

CVaR-cardinality enhanced indexation optimization with tunable short-selling constraints

Zhao, Zhihua; Wang, Hao; Yang, Xiangyu; Xu, Fengmin - In: Applied economics letters 28 (2021) 3, pp. 201-207

Persistent link: https://www.econbiz.de/10012415134

Out-of-sample analysis of international reserves for emerging economies with a dynamic panel model

Jung, Kuk Mo; Pyun, Ju Hyun - In: Panoeconomicus 67 (2020) 5, pp. 675-695

Persistent link: https://www.econbiz.de/10012621243

Probabilidad Clásica de Sobreajuste con Criterios de Información: Estimaciones con Series Macroeconómicas Chilenas

Medel, Carlos A. - Volkswirtschaftliche Fakultät, … - 2014

This paper provides, via Monte Carlo simulations, estimates of the classical probability of overfitting under an autoregressive environment (AR), using the information criteria (IC) of Akaike, Schwarz and Hannan-Quinn (AIC, BIC and HQ), calibrated with Chilean data of total inflation, core...

Persistent link: https://www.econbiz.de/10011111369

Forecasting REIT volatility with high-frequency data : a comparison of alternative methods

Zhou, Jian - In: Applied economics 49 (2017) 26, pp. 2590-2605

Persistent link: https://www.econbiz.de/10011819614

Extended omega ratio optimization for risk-averse investors

Sharma, Amita; Mehra, Aparna - In: International transactions in operational research : … 24 (2017) 3, pp. 485-506

Persistent link: https://www.econbiz.de/10011724426