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Lasso-based simulation for high-dimensional multi-period portfolio optimization

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An effective bias-corrected bagging method for the valuation of large variable annuity portfolios

Gweon, Hyukjun Jay; Li, Shu; Mamon, Rogemar - In: ASTIN bulletin : the journal of the International … 50 (2020) 3, pp. 853-871

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Machine learning with kernels for portfolio valuation and risk management

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Realized quantity extended conditional autoregressive value-at-risk models

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Estimation and inference of a partially linear panel threshold spatial model with individual fixed effects

Zhang, Xishu; Wang, Xuanhui; Ye, Azhong - In: Applied economics letters 31 (2024) 21, pp. 2271-2276

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Broken effects? : how to reduce false positives in panel regressions

Wibbens, Phebo D.; Li, Xina - 2021

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Broken effects? : how to reduce false positives in panel regressions

Wibbens, Phebo D.; Li, Xina - 2020

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Application of duration measure in quantifying the sensitivity of project returns to changes in discount rates

Yousefi, Vahidreza; Yakhchali, Siamak Haji; … - In: Administrative Sciences : open access journal 9 (2019) 1/13, pp. 1-14

In this research, the concept of Duration with a new application in project management has been defined. The Duration of each project provides the project manager with a combined measure containing concepts of return, cost and time of the project. Further in this article, the changes in project...

Persistent link: https://www.econbiz.de/10012126909

Considering the dependence between the credit loss severity and the probability of default in the estimate of portfolio credit risk : an experimental analysis

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