Zobrazeno 1 - 10
of 95
pro vyhledávání: '"Thierry Post"'
Autor:
Stelios Arvanitis, Thierry Post
Publikováno v:
Mathematics, Vol 12, Iss 4, p 608 (2024)
We provide a formal statistical theory of consistent estimation of the set of all arbitrage portfolios that meet the description of being a stochastic arbitrage opportunity. Two empirical likelihood ratio tests are developed: one for the null that a
Externí odkaz:
https://doaj.org/article/27bc458f378b46f1b9742f0fd2da75a9
Autor:
Thierry Post
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::888100d69571fc11f2401a832f8e0d82
https://doi.org/10.2139/ssrn.4404329
https://doi.org/10.2139/ssrn.4404329
Publikováno v:
Management Science. 67:7737-7754
A stochastic bound is a portfolio that stochastically dominates all alternatives in a reference portfolio set instead of a single alternative portfolio. An approximate bound is a portfolio that comes as close as possible to this ideal. To identify an
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e0d5ce4ae11946a6e5d8a832ccf244cf
https://doi.org/10.1287/mnsc.2020.3838
https://doi.org/10.1287/mnsc.2020.3838
Publikováno v:
International Journal of Forecasting. 37:881-898
A nonparametric method for comparing multiple forecast models is developed and implemented. The hypothesis of Optimal Predictive Ability generalizes the Superior Predictive Ability hypothesis from a single given loss function to an entire class of lo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1216af66461ccf8300e2c50873c19b5c
https://doi.org/10.1016/j.ijforecast.2020.10.002
https://doi.org/10.1016/j.ijforecast.2020.10.002
Publikováno v:
Operations Research. 69:100-113
Research about equity index options has shown that option prices systematically violate rational pricing bounds for the risk-averse representative investor. These results raise the question of whether profitable trading possibilities exist in this ma
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c113471895df2d91fc7d458aedd6a24e
https://doi.org/10.1287/opre.2020.2012
https://doi.org/10.1287/opre.2020.2012
Autor:
Stelios Arvanitis, Thierry Post
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1680799d3804d9bb2e528287deada311
https://doi.org/10.2139/ssrn.4268835
https://doi.org/10.2139/ssrn.4268835
Publikováno v:
Journal of Banking & Finance. 106:65-81
We provide theoretical and empirical arguments in favor of a diminishing marginal premium for market risk. In capital market equilibrium with binding portfolio restrictions, investors with different risk aversion levels generally hold different sets
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8e6e94d29371da96cd7c3745be41adde
https://doi.org/10.1016/j.jbankfin.2019.05.010
https://doi.org/10.1016/j.jbankfin.2019.05.010
Publikováno v:
International Journal of Forecasting
In this paper, we introduce RF energy harvesting paradigm into WNCS framework to study the optimal power control, energy harvesting and scheduling problem with the objective of providing maximum level of adaptivity under strict timing and reliability
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d428e3383ebd9a27c67d6fca0c058102
https://doi.org/10.1016/j.ijforecast.2019.01.007
https://doi.org/10.1016/j.ijforecast.2019.01.007
Publikováno v:
Journal of Business & Economic Statistics. 38:502-515
In many fields of decision making, choices have to be made from multiple alternatives, but stochastic dominance rules do not yield a complete ordering due to incomparability of some or all of the p...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0f7c57bef935d0c84860c7368e15cfbf
https://doi.org/10.1080/07350015.2018.1515765
https://doi.org/10.1080/07350015.2018.1515765