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Portfolio allocation for European markets with predictability and parameter uncertainty

Jondeau, Eric; Rockinger, Michael - 2010

We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model …

Persistent link: https://www.econbiz.de/10008797745

Genetic Algorithm Calibration of Seasonal BVAR Models

Quilis, Enrique M. - 2015

In this paper we explore the use of Genetic Algorithms (GA) to calibrate seasonal BVAR models. In this way, the mechanistic use of seasonal adjustment procedures is avoided, since seasonality becomes a structural, basic and explicit part of the BVAR model. At the same time, the use of GA allows...

Persistent link: https://www.econbiz.de/10014132203

Nonparametric instrumental variable estimators of structural quantile effects

Chernozhukov, Victor; Gagliardini, Patrick; Scaillet, … - 2008

We study the asymptotic distribution of Tikhonov Regularized estimation of quantile structural effects implied by a nonseparable model. The nonparametric instrumental variable estimator is based on a minimum distance principle. We show that the minimum distance problem without regularization is...

Persistent link: https://www.econbiz.de/10003961394

Optional dynamic treatment regimes and partial welfare ordering

Han, Sukjin - 2020 - This Draft: October 9, 2020

Dynamic treatment regimes are treatment allocations tailored to heterogeneous individuals. The optimal dynamic treatment regime is a regime that maximizes counterfactual welfare. We introduce a framework in which we can partially learn the optimal dynamic regime from observational data, relaxing...

Persistent link: https://www.econbiz.de/10012295275

Spanning analysis of stock market anomalies under prospect stochastic dominance

Arvanitis, Stelios; Scaillet, Olivier; Topaloglou, Nikolas - 2020 - This version: April 2020

We develop and implement methods for determining whether introducing new securities or relaxing investment constraints improves the investment opportunity set for prospect investors. We formulate a new testing procedure for prospect spanning for two nested portfolio sets based on subsampling and...

Persistent link: https://www.econbiz.de/10012219063

Global and Asset Class Diversified ETF Portfolio Strategy - A Convex Mean/CVaR Optimization Approach using Dynamic Copulas with Flexible Probabilities

Mantesso F, Flavio; Ahmed, Joe; Flores, Mauro - 2023

One of the most important factors to control for the achievements of investment portfolio returns is risk. If we only … trading robots inputting another layer of risk through their interaction in a much higher speed and volume than the mechanical … to deliver to investors an optimum performance given a minimum ex-ante conditional value-at-risk while investing the full …

Persistent link: https://www.econbiz.de/10014254526

Sample out-of-sample inference based on Wasserstein distance

Blanchet, Jose; Kang, Yang - In: Operations research 69 (2021) 3, pp. 985-1013

Persistent link: https://www.econbiz.de/10012546913

Estimating stochastic production frontiers : a one-stage multivariate semiparametric Bayesian concave regression method

Preciado Arreola, José Luis; Johnson, Andrew L.; Chen, … - In: European journal of operational research : EJOR 287 (2020) 2, pp. 699-711

Persistent link: https://www.econbiz.de/10012293942

How Arbitrage-Free is the Nelson-Siegel Model?

Coroneo, Laura; Nyholm, Ken; Vidova-Koleva, Rositsa - 2021

We test whether the Nelson and Siegel (1987) yield curve model is arbitrage-free in a statistical sense. Theoretically, the Nelson-Siegel model does not ensure the absence of arbitrage opportunities, as shown by Bjork and Christensen (1999). Still, central banks and public wealth managers rely...

Persistent link: https://www.econbiz.de/10013316584

Practical nonparametric sampling strategies for quantile-based ordinal optimization

Shin, Dongwook; Broadie, Mark; Zeevi, Assaf - In: INFORMS journal on computing : JOC ; charting new … 34 (2022) 2, pp. 752-768

Persistent link: https://www.econbiz.de/10013361348