A regression graph which can be employed to enumerate and evaluate all possible subset regression models is introduced. The graph can be seen as a generalization of a previously introduced regression tree. Specifically, the regression tree describes a non-unique shortest path for traversing the...

In practical portfolio choice models risk is often defined as VaR, expected shortfall, maximum loss, Omega function, etc. and is computed from simulated future scenarios of the portfolio value. It is well known that the minimization of these functions can not, in general, be performed with...

The assessment of models of financial market behaviour requires evaluation tools. When complexity hinders a direct estimation approach, e.g., for agent based microsimulation models or multifractal models, simulation based estimators might provide an alternative. In order to apply such...