This study analyses, from an investor's perspective, the performance of several risk forecasting models in obtaining optimal portfolios. The plausibility of the homoscedastic hypothesis implied in the classical Markowitz model is dicussed and more general models which take into account assymetry...

Some researchers and many practitioners have move from the classic mean-variance (Markowitz, 1959) portfolio theory to a new portfolio optimization framework based on downside-risk measures that are more appropriate to the investor’s preferences. Moreover, several studies (Friedman and...

This paper compares the accuracy of parametric and nonparametric classifiers on the problem of predicting Bankruptcy. Among the single classifiers an artificial neural network is found to provide the best results. Two ways of combining classifiers are considered and an additive aggregation...

One of most promising applications of wavelets is in the field of nonparametric statistical estimation, in which one wants to estimate an unknown signal from some noisy data. Donoho and Johnstone (1994) have developed a simple and yet powerful methodology for nonparametric regression and...