Search Results - subject:"parameter uncertainty"

Trend-cycle decomposition and forecasting using Bayesian multivariate unobserved components

Jahan-Parvar, Mohammad R.; Knipp, Charles; Szerszeń, … - 2024

Persistent link: https://www.econbiz.de/10015271311

Long-term dynamic asset allocation under asymmetric risk preferences

Kontosakos, Vasileios E.; Hwang, Soosung; … - In: European journal of operational research : EJOR 312 (2024) 2, pp. 765-782

Persistent link: https://www.econbiz.de/10014456327

Constructing Bayesian tangency portfolios under short-selling restrictions

Bodnar, Olha; Bodnar, Taras; Niklasson, Vilhelm - In: Finance research letters 62 (2024) 1, pp. 1-8

Persistent link: https://www.econbiz.de/10014530749

Learning about the consumption risk exposure of firms

Kim, Yongjin; Kuehn, Lars-Alexander; Li, Kai - In: Journal of financial economics 152 (2024), pp. 1-21

Persistent link: https://www.econbiz.de/10014452125

Forecasting levels in loglinear unit root models

VanGarderen, Kees Jan - In: Econometric reviews 42 (2023) 9/10, pp. 780-805

Persistent link: https://www.econbiz.de/10014420346

Bootstrap VAR forecasts : the effect of model uncertainties

Fresoli, Diego - In: Journal of forecasting 41 (2022) 2, pp. 279-293

Persistent link: https://www.econbiz.de/10012817747

A finite-time maintenance policy of deteriorating systems with multiple dependent performance characteristics

He, Shuguang; Song, Lisha; Li, Ting; Zhao, Xiujie; Liu, Bin - In: Journal of management science and engineering 7 (2022) 3, pp. 439-452

. Subsequently, the maintenance policy is optimized by minimizing the expected cost under parameter uncertainty. The expectation and …

Persistent link: https://www.econbiz.de/10014310625

Optimal robust monetary policy with parameters and output gap uncertainty

Grasso, Adriana; Traficante, Guido - 2021

Persistent link: https://www.econbiz.de/10012584683

Robust hedging of terminal wealth under interest rate risk and inflation risk

Balter, Anne; Coumans, Lieske; Jong, Frank de - 2021 - This version: November 9, 2021

Persistent link: https://www.econbiz.de/10012664512

Mean-variance optimization is a good choice, but for other reasons than you might think

Rigamonti, Andrea - In: Risks 8 (2020) 1, pp. 1-16

Mean-variance portfolio optimization is more popular than optimization procedures that employ downside risk measures such as the semivariance, despite the latter being more in line with the preferences of a rational investor. We describe strengths and weaknesses of semivariance and how to...

Persistent link: https://www.econbiz.de/10013200564

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