Search Results - subject:"estimation error"

Double-edged sword of diversification : commodities and African equity indices in robust vs. optimal portfolio strategies

Kitenge, Anaclet K.; Muteba Mwamba, John; Mba, Jules C. - In: Econometrics : open access journal 14 (2026) 1, pp. 1-28

portfolio (P1, Sharpe: 0.788). This result validates the "estimation-error maximization" critique, as P1's performance was … practice. We conclude that portfolio construction must prioritize robustness to estimation error and explicit risk-balancing to …

Persistent link: https://www.econbiz.de/10015640563

Tail risk hedging : the superiority of the naïve hedging strategy

Cao, Min; Conlon, Thomas - In: The journal of futures markets 45 (2025) 8, pp. 977-1005

Persistent link: https://www.econbiz.de/10015464872

Tail risk hedging : the superiority of the naïve hedging strategy

Cao, Min; Conlon, Thomas - 2025

Persistent link: https://www.econbiz.de/10015627105

Properties of risk aversion estimated from portfolio weights

Grant, Andrew; Kwon, Oh Kang; Satchell, Stephen - In: Journal of asset management : a major new, … 25 (2024) 5, pp. 427-444

Persistent link: https://www.econbiz.de/10015192029

A rationale of the PD floor under the IRB framework

Casellina, Simone; Landini, Simone; Uberti, Mariacristina - 2025

The Prudential Regulation has raised the issue of estimation errors due to Internal Rating Based (IRB) estimation process that may produce underestimation of the risk measures. In the context of credit risk, lower bounds (i.e. floors) for the estimated parameters are introduced to limit the...

Persistent link: https://www.econbiz.de/10015564427