Zobrazeno 1 - 10
of 138
pro vyhledávání: '"JENS PERCH NIELSEN"'
Publikováno v:
Financial Innovation, Vol 10, Iss 1, Pp 1-16 (2024)
Abstract The availability of many variables with predictive power makes their selection in a regression context difficult. This study considers robust and understandable low-dimensional estimators as building blocks to improve overall predictive powe
Externí odkaz:
https://doaj.org/article/958b8a3121934d70b61f5a0fc09e07dc
Publikováno v:
Mathematics, Vol 9, Iss 6, p 620 (2021)
The fundamental interest of investors in econometric modeling for excess stock returns usually focuses either on short- or long-term predictions to individually reduce the investment risk. In this paper, we present a new and simple model that contemp
Externí odkaz:
https://doaj.org/article/aa62f92e78af43cab17a1de59dbd526d
Publikováno v:
Mathematics, Vol 8, Iss 6, p 927 (2020)
Long-term return expectations or predictions play an important role in planning purposes and guidance of long-term investors. Five-year stock returns are less volatile around their geometric mean than returns of higher frequency, such as one-year ret
Externí odkaz:
https://doaj.org/article/b93c80684b644622a0ec18666a02957b
Publikováno v:
Risks, Vol 8, Iss 2, p 54 (2020)
It is our pleasure to prologue the special issue on “Machine Learning in Insurance”, which represents a compilation of ten high-quality articles discussing avant-garde developments or introducing new theoretical or practical advances in this fiel
Externí odkaz:
https://doaj.org/article/31558499c19c44eeae9ed7beeb9fb38c
Publikováno v:
Risks, Vol 7, Iss 4, p 113 (2019)
In this paper, we apply machine learning to forecast the conditional variance of long-term stock returns measured in excess of different benchmarks, considering the short- and long-term interest rate, the earnings-by-price ratio, and the inflation ra
Externí odkaz:
https://doaj.org/article/07a0f5157e934d27bf9ff6d8c5a3ab02
Publikováno v:
Risks, Vol 6, Iss 1, p 9 (2018)
Prospective customers of financial and insurance products can be targeted based on the profit the provider expects to earn from them. We present a model for individual expected profit and two alternatives for calculating optimal personalized prices t
Externí odkaz:
https://doaj.org/article/9dfd3f3bce994fdb97d65be4452d7831
Publikováno v:
The Scientific World Journal, Vol 2014 (2014)
We focus on automatic strategies to optimize life cycle savings and investment. Classical optimal savings theory establishes that, given the level of risk aversion, a saver would keep the same relative amount invested in risky assets at any given tim
Externí odkaz:
https://doaj.org/article/24658b1d7fea424e84635ed9719c87c0
Publikováno v:
The Scientific World Journal, Vol 2014 (2014)
The impact of administrative costs on the distribution of terminal wealth is approximated using a simple formula applicable to many investment situations. We show that the reduction in median returns attributable to administrative fees is usually at
Externí odkaz:
https://doaj.org/article/dfa5c7fe328f4887b5eaeaf81e495997
Autor:
MUNIR HIABU, MARÍA DOLORES MARTÍNEZ-MIRANDA, JENS PERCH NIELSEN, JAAP SPREEUW, CARSTEN TANGGAARD, ANDRÉS M. VILLEGAS
Publikováno v:
Revista Colombiana de Estadística, Vol 38, Iss 2, Pp 399-411
This paper introduces a new bias reducing method for kernel hazard estimation. The method is called global polynomial adjustment (GPA). It is a global correction which is applicable to any kernel hazard estimator. The estimator works well from a theo
Externí odkaz:
https://doaj.org/article/ddb400a6673f41669d3c00a281418630
Publikováno v:
European Journal of Operational Research. 307:948-962
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ec47e9cbaa3203d5aa2f92e0f42f04d8
https://doi.org/10.1016/j.ejor.2022.10.003
https://doi.org/10.1016/j.ejor.2022.10.003