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Wissenschaftliche Literatur Robust Estimation

Eine Auswahl unserer Fachbücher

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Quadratic Variation of Financial Asset Prices (Dissertation)Zum Shop

Quadratic Variation of Financial Asset Prices

Theoretical Approaches and Empirical Evidence on Power Derivatives

Schriftenreihe innovative betriebswirtschaftliche Forschung und Praxis

Financial asset prices differ not only in their level and trajectory, but also in their magnitude and type of variability within trading periods. As financial agents require quantifying the price variability of a financial asset over a certain period of time in many risk- and valuation-related applications, it is crucial to reflect appropriate concepts which…

BetriebswirtschaftslehreEconometricsElectricity Forward ContractEnergy FinanceHigh Frequency DataInfrequent TrackingNord Pool Energy ExchangePrice JumpsRealized VarianceRobust EstimationStatisticsTracking ActivityUrgent Market Message
Optimization and Diversification of Risky Portfolios under Uncertainty (Doktorarbeit)Zum Shop

Optimization and Diversification of Risky Portfolios under Uncertainty


This work presents various extensions in the field of portfolio optimization from the statistical point of view. An investor wants to allocate his wealth among different risky assets and has historic price information about these assets as the only source of information. This historic information is only partially reliable as indicator for the future development…

Asset AllocationBetriebswirtschaftslehreCRSP DatabaseDecision under UncertaintyDiversificationFinanzmangementMarket VariationNaive PortfolioNon-Parametric MethodsPortfolio OptimizationRisk ManagementRobust EstimationStatistical InferenceStatistikUngewissheitUS Stocks