LARGE PORTFOLIO CREDIT RISK MODELING A model for large portfolio credit risk is developed by using results on the asymptotic behavior of stochastic networks. An efficient pricing technique is ... MHA Davis,JC Esparragoza-Rodriguez - 《International Journal of Theoretical & Applied Finance》 被引量:...
The Black-Litterman model aims to enhance asset allocation decisions by overcoming the problems of mean-variance portfolio optimization. We propose a sampl... W Bessler,H Opfer,D Wolff - Routledge 被引量: 0发表: 2017年 Multi-Asset Portfolio Optimization and Out-of-Sample Performance: An Evaluat...
The author states that economic downturn may be a hard period but model portfolios have worked well. The Extreme Indexing portfolio aims to provide investors their fair share of stock and bond markets' return. The zero tax tolerance performs just like the all-index fund portfolio.Culloton...
We provide a model for understanding the impact of sample-size neglect for cases where an investor uses the sample estimator of the covariance matrix in order to obtain a tangency portfolio. By assuming an erroneous hypothesis, we look for a family of covariance matrices such that their deviation...
Multifiles Using a model with multiple files. Python and LP PastaProduction Production OPL PortfolioAllocation Selection & Allocation Modeling Assistant PythonEngineSettings Geometrical puzzle with customized engine settings Python ShiftAssignment Resource Assignment with custom decisions and a custom ...
Single-cell analysis across multiple samples and conditions requires quantitative modeling of the interplay between the continuum of cell states and the technical and biological sources of sample-to-sample variability. We introduce GEDI, a generative model that identifies latent space variations in multi...
We compare the performance of the long-run risk models with three alternative models. The first is the market portfolio based CAPM of Sharpe (1964). The second is a simple consumption-beta model following Rubinstein (1976) and Breeden, Gibbons, and Litzenberger (1989). The third model is ...
We study whether investors can exploit stock return serial dependence to improve out-of- sample portfolio performance. To do this, we first show that a vector-autoregressive (VAR) model estimated with ridge regression captures daily stock return serial dependence in a stable manner. Second, we cha...
Relationship Between a Plant-Based Dietary Portfolio and Risk of Cardiovascular Disease: Findings from the Women’s Health Initiative Prospective Cohort Study. J. Am. Heart Assoc. 2021, 10, e021515. [Google Scholar] [CrossRef] [PubMed] Clarys, P.; Deliens, T.; Huybrechts, I.; Derie...
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