✦ LIBER ✦

Risk and spectral instability in portfolio analysis

✍ Scribed by Hovav Talpaz; Avraham Harpaz; John B. Penson Jr.

Publisher: Elsevier Science
Year: 1983
Tongue: English
Weight: 651 KB
Volume: 14
Category: Article
ISSN: 0377-2217
DOI: 10.1016/0377-2217(83)90262-x

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Risk and uncertainty in portfolio charac

Risk and uncertainty in portfolio characterisation

✍ J.G. Ross 📂 Article 📅 2004 🏛 Elsevier Science 🌐 English ⚖ 372 KB

Product-portfolio Ordering Analysis with

Product-portfolio Ordering Analysis with Update Information in the Two-echelon: Risk Decision-making Model

✍ Yan-ju ZHOU; Wan-hua QIU; Zong-run WANG 📂 Article 📅 2008 🏛 Elsevier ⚖ 700 KB

This article proposes a two-echelon optimal ordering model for multi-product with Conditional Value-at-Risk (CVaR), which is popularly used in the field of financial engineering. Bayesian forecasting model under Brownian motion is adopted as the method of updating information, because it is more ada

Random matrix theory filters in portfoli

Random matrix theory filters in portfolio optimisation: A stability and risk assessment

✍ J. Daly; M. Crane; H.J. Ruskin 📂 Article 📅 2008 🏛 Elsevier Science 🌐 English ⚖ 620 KB

Random matrix theory (RMT) filters, applied to covariance matrices of financial returns, have recently been shown to offer improvements to the optimisation of stock portfolios. This paper studies the effect of three RMT filters on the realised portfolio risk, and on the stability of the filtered cov

Reducing estimation risk in optimal port

Reducing estimation risk in optimal portfolio selection when short sales are allowed

✍ Gordon J. Alexander; Alexandre M. Baptista; Shu Yan 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 402 KB

## Abstract The issue of estimation risk is of particular interest to the decision‐making processes of portfolio managers who use long–short investment strategies. Accordingly, our paper explores the question of whether a VaR constraint reduces estimation risk when short sales are allowed. We find

Risk determinants, risk analysis, and de

Risk determinants, risk analysis, and decision making in radiotherapy

✍ J.Robert Andrews 📂 Article 📅 1984 🏛 Elsevier Science 🌐 English ⚖ 243 KB

Modeling dependencies between rating cat

Modeling dependencies between rating categories and their effects on prediction in a credit risk portfolio

✍ Claudia Czado; Carolin Pflüger 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 354 KB 👁 1 views

## Abstract The internal‐rating‐based Basel II approach increases the need for the development of more realistic default probability models. In this paper, we follow the approach taken in McNeil A and Wendin J 7 (__J. Empirical Finance__ 2007) by constructing generalized linear mixed models for est