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  • Search: subject:"risk functions"
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Year of publication
Subject
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risk functions 6 capacity adequacy 3 stochastic equilibrium models 3 FIC plots 2 confidence distributions 2 focused information criteria 2 median-FIC and quantile-FIC 2 model averaging 2 stochastic discount factors 2 Aktienindex 1 Ambiguity 1 Confidence 1 Duration models 1 Estimation theory 1 Hidden Markov Models 1 Index 1 Index number 1 Index-tracking 1 Markov chain 1 Markov-Kette 1 Maximin utility 1 Minimax regret 1 Portfolio selection 1 Portfolio-Management 1 Risiko 1 Risk 1 Risk functions 1 Schätztheorie 1 Statistical decisions 1 Statistical distribution 1 Statistische Verteilung 1 Stock index 1 Theorie 1 Theory 1 Vertrauen 1 actively-managed funds 1 portfolio optimization 1 regime-switching uncertainty 1 smart indexing 1
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Online availability
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Free 5 Undetermined 2 CC license 1
Type of publication
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Article 4 Book / Working Paper 3
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2 Article 1
Language
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English 5 Undetermined 2
Author
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Cunen, Céline 2 EHRENMANN, Andreas 2 Hjort, Nils Lid 2 SMEERS, Yves 2 Edirisinghe, Chanaka 1 Ehrenmann, A. 1 Smeers, Y. 1 Stoye, Jörg 1 Zhao, Yonggan 1
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Institution
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Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 2 Faculty of Economics, University of Cambridge 1
Published in...
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CORE Discussion Papers 2 Applied mathematical finance 1 Cambridge Working Papers in Economics 1 Econometrics 1 Econometrics : open access journal 1 Theory and Decision 1
Source
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RePEc 4 ECONIS (ZBW) 2 EconStor 1
Showing 1 - 7 of 7
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Confidence distributions for FIC scores
Cunen, Céline; Hjort, Nils Lid - In: Econometrics 8 (2020) 3, pp. 1-28
When using the Focused Information Criterion (FIC) for assessing and ranking candidate models with respect to how well they do for a given estimation task, it is customary to produce a so-called FIC plot. This plot has the different point estimates along the y-axis and the root-FIC scores on the...
Persistent link: https://www.econbiz.de/10012696290
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Confidence distributions for FIC scores
Cunen, Céline; Hjort, Nils Lid - In: Econometrics : open access journal 8 (2020) 3/27, pp. 1-28
When using the Focused Information Criterion (FIC) for assessing and ranking candidate models with respect to how well they do for a given estimation task, it is customary to produce a so-called FIC plot. This plot has the different point estimates along the y-axis and the root-FIC scores on the...
Persistent link: https://www.econbiz.de/10012265715
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Smart indexing under regime-switching economic states
Edirisinghe, Chanaka; Zhao, Yonggan - In: Applied mathematical finance 27 (2020) 5, pp. 422-456
Persistent link: https://www.econbiz.de/10012501624
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Stochastic equilibrium models for generation capacity expansion
EHRENMANN, Andreas; SMEERS, Yves - Center for Operations Research and Econometrics (CORE), … - 2010
inserting different risk functions (for different agents) in order to account for additional unpriced idiosyncratic risk in …
Persistent link: https://www.econbiz.de/10008642222
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Stochastic Equilibrium Models for Generation Capacity Expansion
Ehrenmann, A.; Smeers, Y. - Faculty of Economics, University of Cambridge - 2010
risk functions (for different agents) in order to account for additional unpriced idiosyncratic risk in investments. These …
Persistent link: https://www.econbiz.de/10008642855
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Energy only, capacity market and security of supply. A stochastic equilibrium analysis
EHRENMANN, Andreas; SMEERS, Yves - Center for Operations Research and Econometrics (CORE), … - 2008
capacity market. Keywords: capacity adequacy, risk functions, stochastic equilibrium odels … relatively recent nancial and mathematical programming developments and model investor’s behavior towards risk by risk functions … equilibrium model constructed with risk functions considerably expands the scope of possible economic descriptions. Speci cally …
Persistent link: https://www.econbiz.de/10005008225
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Statistical decisions under ambiguity
Stoye, Jörg - In: Theory and Decision 70 (2011) 2, pp. 129-148
Persistent link: https://www.econbiz.de/10008776419
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