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pro vyhledávání: '"Maggi, Mario Alessandro"'
Publikováno v:
statistical Modelling ,2010, 10, 379--390
We propose a novel Bayesian optimisation procedure for outlier detection in the Capital Asset Pricing Model. We use a parametric product partition model to robustly estimate the systematic risk of an asset. We assume that the returns follow independe
Externí odkaz:
http://arxiv.org/abs/0806.1631
Publikováno v:
In Journal of Banking and Finance 2009 33(6):1058-1068
Publikováno v:
Statistical Modelling: An International Journal. 12/01/2010, Vol. 10 Issue 4, p375-390. 16p. 3 Charts, 2 Graphs.
Autor:
Maggi, Mario Alessandro
This paper deals with utility (or value) function for reference dependent models. A new characterization of S-shaped utility functions displaying loss aversion is put forward. Then it is used to analyze some standard forms commonly used in the litera
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1687::860a37cfc1f190806b3fd87356c133c9
https://hdl.handle.net/10419/87132
https://hdl.handle.net/10419/87132
Autor:
Maggi, Mario Alessandro
This paper analyzes, for S-shaped value functions, the relations between loss aversion and perceptional risk aversion (i.e. computed with the perceived probability weights) in Cumulative Prospect Theory. We show that perceptional risk aversion for mi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1687::8beeb24fea8d1d9d4ce60b5e6d11119b
https://hdl.handle.net/10419/87107
https://hdl.handle.net/10419/87107
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