Book(print)#12008
EWMA control charts for monitoring optimal portfolio weights
In: Capital markets and finance in the enlarged Europe 2008,5
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Article(electronic)#2May 31, 2016
Sequential monitoring of portfolio betas
In: Statistical papers, Volume 59, Issue 2, p. 663-684
ISSN: 1613-9798
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Article(electronic)#42020
Modeling and Forecasting Realized Portfolio Weights
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Article(electronic)#5February 2009
Flexible shrinkage in portfolio selection
In: Journal of economic dynamics & control, Volume 33, Issue 2, p. 317-328
ISSN: 0165-1889
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Article(electronic)#62008
General uncertainty in portfolio selection: a case-based decision approach
In: Journal of Economic Behavior & Organization, Volume 67, Issue 3-4, p. 718-734
Often a portfolio investor can hardly imagine all states of nature relevant to his investment problem, causing general uncertainty concerning an asset allocation model. We quantify general uncertainty as the weakness of an investor's belief in a conventional portfolio procedure, then we develop the case-based decision-making approach for determining the optimal belief degree. The economic effect of the proposed case-based methodology is investigated in the empirical study. The empirical results suggest two successful patterns of case-based decisions that could be linked to the issue of market efficiency. Moreover, our case-based modeling reflects some behavioral phenomena observed on financial markets.
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Article(electronic)#7July 2020
Bias corrections for exponentially transformed forecasts: Are they worth the effort?
In: International journal of forecasting, Volume 36, Issue 3, p. 761-780
ISSN: 0169-2070
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Correcting intraday periodicity bias in realized volatility measures
In: Discussion paper Nr. 2020, 21
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