Search Results - subject:"Predictive inference"

Bootstrap consistency for the Mack bootstrap

Steinmetz, Julia; Jentsch, Carsten - In: Insurance : mathematics and economics 115 (2024), pp. 83-121

Persistent link: https://www.econbiz.de/10015066731

An imprecise pricing model for Asian options based on nonparametric predictive inference

He, Ting - In: Pacific-Basin finance journal 77 (2023), pp. 1-14

Persistent link: https://www.econbiz.de/10014463687

A Bayesian Small Area Model with Dirichlet Processes on the Responses

Yin, Jiani; Nandram, Balgobin - In: Statistics in Transition New Series 21 (2020) 3, pp. 1-19

skewed. Usually, in small area estimation, predictive inference is done using a two-stage Bayesian model with normality at … predictive inference. This model has a Gaussian (normal) distribution on the area means, and so we call it the DPG model …. For Bayesian predictive inference, we need to integrate two data sets, one with the responses and other with area sizes …

Persistent link: https://www.econbiz.de/10012600255

A Bayesian small area model with Dirichlet processes on the responses

Yin, Jiani; Nandram, Balgobin - In: Statistics in transition : an international journal of … 21 (2020) 3, pp. 1-19

Persistent link: https://www.econbiz.de/10012291514

Modeling tail risks of inflation using unobserved component quantile regressions

Pfarrhofer, Michael - In: Journal of economic dynamics & control 143 (2022), pp. 1-19

Persistent link: https://www.econbiz.de/10013543015

Comparing probabilistic predictive models applied to football

Diniz, Marcio Alves; Izbicki, Rafael; Lopes, Danilo; … - In: Journal of the Operational Research Society 70 (2019) 5, pp. 770-782

Persistent link: https://www.econbiz.de/10012212951

On nonparametric predictive inference for asset and European option trading in the binomial tree model

Chen, Junbin; Coolen, Frank P. A.; Coolen-Maturi, Tahani - In: Journal of the Operational Research Society 70 (2019) 10, pp. 1678-1691

Persistent link: https://www.econbiz.de/10012214367

Nonparametric predictive inference for European option pricing based on the binomial tree model

He, Ting; Coolen, Frank P. A.; Coolen-Maturi, Tahani - In: Journal of the Operational Research Society 70 (2019) 10, pp. 1692-1708

Persistent link: https://www.econbiz.de/10012214368

Robust Portfolio Protection: A Scenarios-Based Approach

Mankaï, Selim; Guesmi, Khaled - Institut de Préparation à l'Administration et à la … - 2014

This paper constructs a robust optimization framework of the uncertain worst-case return. The model defines an adjustable discrete uncertainty set which controls the conservatism of the optimal asset allocation. Without prior assumptions on the data generating process, the model also develops an...

Persistent link: https://www.econbiz.de/10010786598

Data-Driven Robust Optimization with Application to Portfolio Management

Mankaï, Selim - Institut de Préparation à l'Administration et à la … - 2014

Portfolio optimization results are strongly dependent on the model parameters. To circumvent this shortcoming, this paper proposes a new modeling approach to address data uncertainty. The model offers full control over the degree of conservatism and underlines its interaction with robustness for...

Persistent link: https://www.econbiz.de/10010860464