Search Results - subject:"parameter estimation risk"

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Measures of model risk for continuous-time finance models

Lazar, Emese; Qi, Shuyuan; Tunaru, Radu - 2024

Persistent link: https://www.econbiz.de/10015338808

Partial index tracking enhanced mean-variance portfolio

Cai, Zhaokun; Cui, Zhenyu; Simaan, Majeed - 2025

Persistent link: https://www.econbiz.de/10015375252

A Bayesian perspective on commodity style integration

Fuertes, Ana María; Zhao, Nan - In: Journal of commodity markets 30 (2023), pp. 1-29

Persistent link: https://www.econbiz.de/10014426739

Parameter estimation risk in asset pricing and risk management : a Bayesian approach

Tunaru, Radu; Zheng, Teng - In: International review of financial analysis 53 (2017), pp. 80-93

Persistent link: https://www.econbiz.de/10011877849

Understanding Delta-Hedged Option Returns in Stochastic Volatility Environments

Sasaki, Hiroshi - In: Asia-Pacific Financial Markets 22 (2015) 2, pp. 151-184

: volatility risk premium and parameter estimation risk. In an empirical analysis, we examine delta-hedged option returns based on … that the delta-hedged option returns for OTM put options are strongly affected by parameter estimation risk as well as the …

Persistent link: https://www.econbiz.de/10011241983

Understanding delta-hedged option returns in stochastic volatility environments

Sasaki, Hiroshi - In: Asia-Pacific financial markets 22 (2015) 2, pp. 151-184

Persistent link: https://www.econbiz.de/10011377526