Results 241 to 250 of about 566,258 (283)

Hidden Markov graphical models with state‐dependent generalized hyperbolic distributions

Canadian Journal of Statistics, EarlyView.
Abstract In this article, we develop a novel hidden Markov graphical model to investigate time‐varying interconnectedness between different financial markets. To identify conditional correlation structures under varying market conditions and accommodate shape features embedded in financial time series, we rely upon the generalized hyperbolic family of ...
Beatrice Foroni, Luca Merlo, Lea Petrella   +2 more
wiley   +1 more source

Construction of intelligent decision support systems through integration of retrieval-augmented generation and knowledge graphs. [PDF]

Sci Rep
Wang S, Yang H, Bai G.
europepmc   +1 more source

A dataset for health insurance analysis: Integrating individual and area-based contextual variables. [PDF]

Sci Data
Lledó J, Espinosa P, Pérez V.
europepmc   +1 more source

A Monte Carlo-Based Framework for Two-Stage Stochastic Programming: Application to Bond Portfolio Optimization. [PDF]

Entropy (Basel)
Albaqami H, Mrad M, Gharbi A, Subasi MM.
europepmc   +1 more source

On the Shortfall of Tail-Based Entropy and Its Application to Capital Allocation. [PDF]

Entropy (Basel)
Li P, Yin C.
europepmc   +1 more source

A multi-objective multi-period mathematical programming model for integrated project portfolio optimization and contractor selection. [PDF]

MethodsX
Zahedirad M, Khalili-Damghani K, Ghezavati V, Komijan AR.   +3 more
europepmc   +1 more source

Assessment criteria and risk mitigation of hydrogeothermal energy portfolios for district heating. [PDF]

Commun Eng
Drews MC, Pfrang D, Schölderle F, Zosseder K.   +3 more
europepmc   +1 more source

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Coherent Portfolio Performance Ratios

SSRN Electronic Journal, 2021
In Quantitative Finance 2016, Chen, Hu and Lin (CHL) claimed the following: ‘ … there is yet no coherent risk measure related to investment performance.’ (p. 682).
Yoram Kroll, Andrea Marchioni, Moshe Ben-Horin   +2 more
openaire   +1 more source

Performance attribution for portfolio constraints

Management Science, 2023
We propose a new performance attribution framework that decomposes a constrained portfolio’s holdings, expected returns, variance, expected utility, and realized returns into components attributable to (1) the unconstrained mean-variance optimal portfolio; (2) individual static constraints; and (3) information, if any, arising from those constraints ...
Andrew W. Lo, Ruixun Zhang
openaire   +1 more source