Results 21 to 30 of about 31,329,977 (262)
The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion [PDF]
European Journal of Operational Research, 2018 We quantify model risk of a financial portfolio whereby a multi-period mean-standard-deviation criterion is used as a selection criterion. In this work, model risk is defined as the loss due to uncertainty of the underlying distribution of the returns of
S. Penev, P. Shevchenko, Wei Wu
semanticscholar +1 more source
Advancing nearshore and onshore tsunami hazard approximation with machine learning surrogates [PDF]
Natural Hazards and Earth System SciencesProbabilistic tsunami hazard assessment and probabilistic tsunami risk assessment (PTHA and PTRA) are vital methodologies for computing tsunami risk and prompt measures to mitigate impacts. However, their application across extensive coastlines, spanning
N. Ragu Ramalingam +4 more
doaj +1 more source
Model Risk Measurement under Wasserstein Distance [PDF]
, 2018 The paper proposes a new approach to model risk measurement based on the Wasserstein distance between two probability measures. It formulates the theoretical motivation resulting from the interpretation of fictitious adversary of robust risk management ...
Yu Feng, Erik Schlogl
semanticscholar +1 more source
Model risk of expected shortfall
Journal of Banking & Finance, 2019 In this paper we study the model risk of Expected Shortfall (ES), extending the results of Boucher et al. (2014) on model risk of Value-at-Risk (VaR). We propose a correction formula for ES based on passing three backtests.
Emese Lazar, Ning Zhang
semanticscholar +1 more source
An Entropic Approach for Pair Trading
Entropy, 2017 In this paper, we derive the optimal boundary for pair trading. This boundary defines the points of entry into or exit from the market for a given stock pair.
Daisuke Yoshikawa
doaj +1 more source
Local Linear Approximation Algorithm for Neural Network
Mathematics, 2022 This paper aims to develop a new training strategy to improve efficiency in estimation of weights and biases in a feedforward neural network (FNN). We propose a local linear approximation (LLA) algorithm, which approximates ReLU with a linear function at
Mudong Zeng +3 more
doaj +1 more source
Nephrology Dialysis Transplantation, 2013 Prognostic research focuses on the prediction of the future course of a given disease in probability terms. Prognostication is performed by clinical decision makers by using risk prediction models that allow us to estimate the probability that a specific event occurs in a given patient over a predefined time period conditional on prognostic factors ...
Tripepi G +5 more
openaire +4 more sources
One Year On from the New IRRBB / CSRBB Regulatory Framework: Evidence, Implementation Challenges and Open Issues from Italian Banks [PDF]
Risk Management MagazineThis paper provides an empirical assessment of the implementation of the new IRRBB and CSRBB regulatory framework approximately one years after its introduction, based on evidence from an AIFIRM survey on 25 Italian banks.
Igor Gianfrancesco +3 more
doaj +1 more source
Integrating Blue Energy in Maritime Spatial Planning of Mediterranean Regions
Frontiers in Energy Research, 2022 Blue Energy (BE) is expected to play a strategic role in the energy transition of Europe, particularly toward the 2050 horizon. It refers to a set of Marine Energy Sources (MES), including offshore wind, waves, tides, marine currents, sea thermal energy,
Riccardo Maria Pulselli +22 more
doaj +1 more source
SSRN Electronic Journal, 2016 44 pages; a trivial typo corrected, references updated; to appear in The Journal of Investment Strategies.
Kakushadze, Zura, Yu, Willie
openaire +2 more sources