Search Results - subject:"parameter uncertainty"

Heterogeneous parameter uncertainty and the timing of investment during crisis

Ni, Shawn; Ratti, Ronald A. - In: Economics: The Open-Access, Open-Assessment E-Journal 3 (2009) 2009-41, pp. 1-22

We present a model in which investors observe the same macroeconomic data but have varying levels of information about the parameters that determine the distribution of the expected returns on investment. During a crisis that increases macroeconomic uncertainty and reduces asset prices, the...

Persistent link: https://www.econbiz.de/10010299494

Time and risk diversification in real estate investements: Assessing the ex post economic value

Fugazza, Carolina; Guidolin, Massimo; Nicodano, Giovanna - 2009

account for parameter uncertainty) investors. The increases in Sharpe ratios are often statistically significant. However the …

Persistent link: https://www.econbiz.de/10010277881

Heterogeneous Parameter Uncertainty and the Timing of Investment during Crisis

Ni, Shawn; Ratti, Ronald A. - Institut für Weltwirtschaft (IfW) - 2009

Persistent link: https://www.econbiz.de/10005083349

Parameter estimation and long-term process simulation of a biogas reactor operated under trace elements limitation

Lübken, Manfred; Koch, Konrad; Gehring, Tito; Horn, Harald - In: Applied Energy 142 (2015) C, pp. 352-360

The Anaerobic Digestion Model No. 1 (ADM1) was modified to describe the long-term process stability of a two-stage agricultural biogas system operated for 494days with a mono-substrate. The ADM1 model fraction for carbohydrates was divided into a slowly and readily degradable part. Significant...

Persistent link: https://www.econbiz.de/10011208423

Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach

Maillet, Bertrand; Tokpavi, Sessi; Vaucher, Benoit - In: European Journal of Operational Research 244 (2015) 1, pp. 289-299

parameter uncertainty, an important component of model risk. Using a robust approach, we introduce a portfolio rule for … that is robust to parameter uncertainty. Our robust portfolio corresponds theoretically to the global minimum variance …

Persistent link: https://www.econbiz.de/10011209406

Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach

Maillet, Bertrand; Tokpavi, Sessi; Vaucher, Benoit - Université Paris-Dauphine (Paris IX) - 2015

Persistent link: https://www.econbiz.de/10011228180

Staffing call centers with uncertain arrival rates and co-sourcing

Levent Koçağa, Yaşar; Armony, Mor; Ward, Amy R. - In: Production and operations management : an international … 24 (2015) 7, pp. 1101-1117

Persistent link: https://www.econbiz.de/10011309925

Robustness of the inference procedures for the global minimum variance portfolio weights in a skew-normal model

Bodnar, Taras; Gupta, Arjun K. - In: The European journal of finance 21 (2015) 13/15, pp. 1176-1194

Persistent link: https://www.econbiz.de/10011419827

Global minimum variance portfolio optimisation under some model risk : a robust regression-based approach

Maillet, Bertrand; Tokpavi, Sessi; Vaucher, Benoit - In: European journal of operational research : EJOR 244 (2015) 1, pp. 289-299

Persistent link: https://www.econbiz.de/10010531938

Equally weighted vs. long-run optimal portfolios

Fugazza, Carolina; Guidolin, Massimo; Nicodano, Giovanna - In: European financial management : the journal of the … 21 (2015) 4, pp. 742-789

Persistent link: https://www.econbiz.de/10011408525