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A note on optimal estimation from a risk-management perspective under possibly misspecified tail behavior

Lucas, André - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 1, pp. 31-39

Persistent link: https://www.econbiz.de/10001441592

Analytic decision rules for financial stochastic programs

Siegmann, Adriaan Hendrik; Lucas, André - 2000

Persistent link: https://www.econbiz.de/10001477415

Outperforming the market using biliniarities in fundamentals and macroeconomic variables

Kloek, Teunis; Lucas, André; Dijk, Ronald van - 1995

Persistent link: https://www.econbiz.de/10000922344

Stock selection, style rotation, and risk

Lucas, André; Dijk, Ronald van; Kloek, Teunis - 2001

Persistent link: https://www.econbiz.de/10001554542

An analytic approach to credit risk of large corporate bond and loan portfolios

Lucas, André (contributor) - In: Journal of banking & finance 25 (2001) 9, pp. 1635-1664

Persistent link: https://www.econbiz.de/10001603572

Fat tails and the effect on optimal asset allocations

Lucas, André; Klaassen, Pieter - In: Bank strategies and challenges in the new Europe, (pp. 272-288). 2001

Persistent link: https://www.econbiz.de/10001630871

Stock selection, style rotation, and risk

Lucas, André; Dijk, Ronald van; Kloek, Teunis - In: Journal of empirical finance 9 (2002) 1, pp. 1-34

Persistent link: https://www.econbiz.de/10001655776

Black scholes for portfolios of options in discrete time : the price is right, the hedge is wrong

Peeters, Bas; Dert, Cees; Lucas, André - 2003

Persistent link: https://www.econbiz.de/10001884326

Tail behaviour of credit loss distributions for general latent factor models

Lucas, André; Klaassen, Pieter; Spreij, Peter; … - In: Applied mathematical finance 10 (2003) 4, pp. 337-357

Persistent link: https://www.econbiz.de/10001864390

Risk Aversion Under Preference Uncertainty

Kräussl, Roman - 2012

We show that if an agent is uncertain about the precise form of his utility function, his actual relative risk aversion may depend on wealth even if he knows his utility function lies in the class of constant relative risk aversion (CRRA) utility functions. We illustrate the consequences of this...

Persistent link: https://www.econbiz.de/10013115460