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Risk measurement with spectral capital allocation
Overbeck, Ludger; Sokolova, Maria - In: Applied quantitative finance, (pp. 139-159). 2009
Persistent link: https://www.econbiz.de/10003746012
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Risk measurement with spectral capital allocation
Overbeck, Ludger; Sokolova, M. - In: Applied quantitative finance, (pp. 93-111). 2017
Persistent link: https://www.econbiz.de/10011794955
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The M5 uncertainty competition : results, findings and conclusions
Makridakis, Spyros G.; Spiliotis, Evangelos; … - In: International journal of forecasting 38 (2022) 4, pp. 1365-1385
Persistent link: https://www.econbiz.de/10014381091
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Profit persistence and stock returns
Gschwandtner, Adelina; Hauser, Michael A. - In: Applied economics 48 (2016) 37/39, pp. 3538-3549
Persistent link: https://www.econbiz.de/10011620804
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Substitution, risk aversion, taste shocks and equity premia
Normandin, Michel (contributor);  … - 1996
Persistent link: https://www.econbiz.de/10000993260
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Improving fractional integration tests with bootstrap distributions
Andersson, Michael K. (contributor);  … - 2000 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001714017
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Analytics for multiperiod risk-averse newsvendor under nonstationary demands
Yu, Yugang; Wang, Ting; Shi, Ye - In: Decision sciences 54 (2023) 5, pp. 554-572
Persistent link: https://www.econbiz.de/10014432015
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Portfolio optimization under ambiguity aversion using deep learning, machine learning, and time series
Eghtesad, Amirali; Mohammadi, Emran - In: The journal of financial data science 6 (2024) 2, pp. 132-147
Persistent link: https://www.econbiz.de/10015195603
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Is the relative risk aversion parameter constant over time? : A multi-country study
Das, Samarjit; Sarkar, Nityananda - In: Empirical economics : a journal of the Institute for … 38 (2010) 3, pp. 605-617
Persistent link: https://www.econbiz.de/10003951628
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Nonparametric estimation of risk-neutral densities
Grith, Maria; Härdle, Wolfgang; Schienle, Melanie - 2010
This chapter deals with nonparametric estimation of the risk neutral density. We present three different approaches … of the risk neutral density. The first estimator is a kernel smoother of the second derivative of call prices, while the … we assume the existence of a stochastic discount factor (pricing kernel) which establishes the risk neutral density …
Persistent link: https://www.econbiz.de/10003953034