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Co-Occurrence : A New Perspective on Portfolio Diversification
Kinlaw, William B.; Kritzman, Mark; Turkington, David - 2023
Investors typically measure an asset’s potential to diversify a portfolio by its correlations with the portfolio’s other assets, but correlation is useful only if it provides a good estimate of how an asset’s returns co-occur cumulatively with the other asset returns over the investor’s...
Persistent link: https://www.econbiz.de/10014343662
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Statistics, data analysis, and decision modeling
Evans, James R.; Olson, David L. - 2003 - 2. ed
Persistent link: https://www.econbiz.de/10001665256
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Statistics, data analysis, and decision modeling
Evans, James R.; Basu, Ayanendranath - 2013 - 5th ed., internat. ed.
Persistent link: https://www.econbiz.de/10009525190
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Statistics, data analysis, and decision modeling
Evans, James R. - 2010 - 4. ed., internat. ed.
Persistent link: https://www.econbiz.de/10003857594
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Statistics, data analysis, and decision modeling
Evans, James R. - 2007 - 3. edition
Persistent link: https://www.econbiz.de/10003201028
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Sampling of Probability Measures in the Convex Order and Approximation of Martingale Optimal Transport Problems
Alfonsi, Aurélien - 2017
In this paper, motivated by the approximation of Martingale Optimal Transport problems, we are interested in sampling … numerical experiments the resulting sampling methods that preserve the convex order and their application to approximate …
Persistent link: https://www.econbiz.de/10012943371
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A Mathematical Proof to the HKLam Theory by Linear/Tensor Algebra and Analysis
Lam, Kai Shun - 2022
In the previous papers, I have mentioned several times of HKLam Theory and their everyday usage but without the … abstract mathematical proof. In order to remediate the flaws, I am now trying to proof the theory through both Tensor Algebra … based on the order two tensor but the HKLam theory may be extended up to nth order tensor but NOT applicable to the topic of …
Persistent link: https://www.econbiz.de/10014244467
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Managing longevity risk
Li, Hong - 2015
Persistent link: https://www.econbiz.de/10011373370
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A Mixture of Gaussians Approach to Mathematical Portfolio Oversight : The EF3M Algorithm
Lopez de Prado, Marcos - 2013
An analogue can be made between: (a) the slow pace at which species adapt to an environment, which often results in the emergence of a new distinct species out of a once homogeneous genetic pool, and (b) the slow changes that take place over time within a fund, mutating its investment style. A...
Persistent link: https://www.econbiz.de/10013092381
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A Survey of Some Recent Applications of Optimal Transport Methods to Econometrics
Galichon, Alfred - 2016
This paper surveys recent applications of methods from the theory of optimal transport to econometric problems …
Persistent link: https://www.econbiz.de/10012977009