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  • Search: subject:"statistical risk propensity"
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judgmental estimation 1 out-of-sample 1 portfolio selection 1 statistical risk propensity 1
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Manganelli, Simone 1
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Asset allocation with judgment
Manganelli, Simone - 2016
This paper shows how to incorporate judgment in a decision problem under uncertainty, within a classical framework. The method relies on the specification of a judgmental decision with associated confidence level and application of hypothesis testing. The null hypothesis tests whether marginal...
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