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EMLyon Business School (Paris Campus)
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CPPI, Portfolio Insurance, VaR, CAViaR, Quantile Regression, Dynamic Quantile Model, Expected Shortfall, Extreme Value
Option Pricing Models, Stochastic Volatility, Skewness, Kurtosis
Kohonen maps, Classfication, Multidimensional Data Analysis, General Non-linear Models, Hedge Funds, Fund-Picking, Performance Measurements
Financial crises, Volatility, Risk Measurement, Heterogeneity of Economic Agents
Financial Crisis, Realized Volatility, Range-based Volatility, Extreme Value Distributions, Tail Index, L-moments, High Frequency Data
Financial Crisis, Realized Volatility, Range-based Volatility, Extreme Value Distributions, Tail-index, L-moments, High Frequency Data
Efficient Frontier, Portfolio Selection, Robust Higher L-moments, Shortage Function, Goal Attainment Application
Outliers, ANN-GARCH, Higher-order Moment, Asset Allocation
Value-at-Risk, Backtesting, Model Risk, Bias Correction
Financial Ratios, Return Predictability, Cycles, Wavelets
Performance Measure, Omega, Return Distribution, Risk, Stochastic Dominance
Realized Betas, CAPM, Multifactor Pricing Models, High Frequency Data, Robust Estimation
forecasting, persistence, wavelet, expected returns
Financial Crisis, Volatility Estimators Distributions, Range-based Volatility, Extreme Value, High Frequency Data
Realized Volatility, Volatility Forecasting, Asymmetry
Utility Function, Performance Measures, Agents’ Preferences, Portfolio Ranking
Option Pricing Models, Martingale Restriction, Padé Approximants.
Option Pricing Models, Martingale Restriction, Padé Approximants
forecasting, persistent regressors, detrending, expected returns
CPPI, Expectile, Quantile Regression, Dynamic Quantile Model, Expected Shortfall
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Fund selection, Performance measures, Ranking, Return Distribution, Risk
File name: roie12049.pdf Size: 617K
Performance Measurement, Asset Pricing Models, Efficiency.
Shortage Function, Efficient Frontier, Skewness, Kurtosis
