Changing risk-return profiles

DOI10.1007/978-3-031-61853-6_15MaRDI QIDQ6945486zbMATH OpenFDO

Authors Richard K. Crump, Miro Everaert, Domenico Giannone, C. Sean Hundtofte

Publication date 8 August 2025

Full work available at URL https://doi.org/10.1007/978-3-031-61853-6_15

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites work

• Alternative tests for correct specification of conditional predictive densities
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• Multivariate quantiles and multiple-output regression quantiles: from \(L_{1}\) optimization to halfspace depth
• Optimal prediction pools
• Predicting the distribution of stock returns: model formulation, statistical evaluation, VaR analysis and economic significance
• Sparse and stable Markowitz portfolios
• The Generalized Dynamic Factor Model
• Volatility forecast comparison using imperfect volatility proxies

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