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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
confidence intervals for the structural parameters. Our theory provides a finite-sample bound on the difference between the true …
Persistent link: https://www.econbiz.de/10012295262
covariance matrix. Estimation of sampling errors for small eigen values is quite important for fund managers who construct their … portfolios from estimated covariance matrixes. If they can calculate the sampling errors, they can construct robust portfolios …. In this study, we propose the method of estimation of sampling error for eigen values from error of each element of …
Persistent link: https://www.econbiz.de/10013079251
Persistent link: https://www.econbiz.de/10010462130
Persistent link: https://www.econbiz.de/10014520886
Bernardo and Ledoit (2000) develop a very appealing framework to compute pricing bounds based on the so-called gain-loss ratio. Their method has many advantages and very interesting properties and so far one important drawback: the complexity of the numerical computation of the pricing bounds....
Persistent link: https://www.econbiz.de/10001600011
In this paper we propose a quasi-shrinkage approach for minimum-variance portfolios which does not use a quadratic loss function to derive the optimal shrinkage intensity. We develop two alternative objective functions for linear shrinkage. The first targets the reduction of portfolio variance....
Persistent link: https://www.econbiz.de/10014196794
We define a regularized variant of the Dual Dynamic Programming algorithm called REDDP (REgularized Dual Dynamic Programming) to solve nonlinear dynamic programming equations. We extend the algorithm to solve nonlinear stochastic dynamic programming equations. The corresponding algorithm, called...
Persistent link: https://www.econbiz.de/10012965491
Allocation between factor portfolios can bring significant advantages over traditional portfolio optimization performed among individual assets or asset classes. One such advantage is a substantial dimension reduction when one's attention turns from many assets to few factors. This, however,...
Persistent link: https://www.econbiz.de/10012973146
We propose a simple risk-adjusted linear approximation to solve a large class of dynamic models with time-varying and non-Gaussian risk. Our approach generalizes lognormal affine approximations commonly used in the macro-finance literature and can be seen as a first-order perturbation around the...
Persistent link: https://www.econbiz.de/10012906892