Pages that link to "Item:Q453304"
From MaRDI portal
The following pages link to Nonparametric tests for pathwise properties of semimartingales (Q453304):
Displaying 50 items.
- Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach (Q322571) (← links)
- Asymptotic lower bounds in estimating jumps (Q395992) (← links)
- The speed of convergence of the threshold estimator of integrated variance (Q544491) (← links)
- How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps? (Q635940) (← links)
- Identifying the successive Blumenthal-Getoor indices of a discretely observed process (Q693731) (← links)
- Optimal dynamic asset allocation for DC plan accumulation/decumulation: ambition-CVaR (Q784441) (← links)
- Time-consistent mean-variance portfolio optimization: a numerical impulse control approach (Q1622505) (← links)
- Recovering Brownian and jump parts from high-frequency observations of a Lévy process (Q1983615) (← links)
- Optimal iterative threshold-kernel estimation of jump diffusion processes (Q2023467) (← links)
- The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors (Q2029065) (← links)
- Bayesian inference on volatility in the presence of infinite jump activity and microstructure noise (Q2219235) (← links)
- A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation (Q2294509) (← links)
- Inference for local distributions at high sampling frequencies: a bootstrap approach (Q2295798) (← links)
- Nonparametric spot volatility from options (Q2299587) (← links)
- Second-order properties of thresholded realized power variations of FJA additive processes (Q2330961) (← links)
- Truncated realized covariance when prices have infinite variation jumps (Q2359710) (← links)
- Testing long memory based on a discretely observed process (Q2362937) (← links)
- A data-driven neural network approach to optimal asset allocation for target based defined contribution pension plans (Q2415977) (← links)
- A test for the rank of the volatility process: the random perturbation approach (Q2438757) (← links)
- Efficient learning via simulation: a marginalized resample-move approach (Q2442455) (← links)
- Optimally thresholded realized power variations for Lévy jump diffusion models (Q2447648) (← links)
- Measuring the relevance of the microstructure noise in financial data (Q2447651) (← links)
- Asymptotically optimal discretization of hedging strategies with jumps (Q2454402) (← links)
- Testing for diffusion in a discretely observed semimartingale (Q2511575) (← links)
- Short term decumulation strategies for underspending retirees (Q2670108) (← links)
- Identifying latent factors based on high-frequency data (Q2688663) (← links)
- The 4% strategy revisited: a pre-commitment mean-variance optimal approach to wealth management (Q4555082) (← links)
- A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES (Q4917298) (← links)
- Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization? (Q4971982) (← links)
- TWO STAGE DECUMULATION STRATEGIES FOR DC PLAN INVESTORS (Q4990921) (← links)
- OPTIMAL CONTROL OF THE DECUMULATION OF A RETIREMENT PORTFOLIO WITH VARIABLE SPENDING AND DYNAMIC ASSET ALLOCATION (Q5019044) (← links)
- Optimal asset allocation for outperforming a stochastic benchmark target (Q5039625) (← links)
- A Stochastic Control Approach to Defined Contribution Plan Decumulation: <i>“The Nastiest, Hardest Problem in Finance”</i> (Q5090568) (← links)
- OPTIMAL ASSET ALLOCATION FOR DC PENSION DECUMULATION WITH A VARIABLE SPENDING RULE (Q5119563) (← links)
- Testing for Jump Spillovers Without Testing for Jumps (Q5120659) (← links)
- Bootstrapping High-Frequency Jump Tests (Q5231507) (← links)
- A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns (Q5235460) (← links)
- Management of Portfolio Depletion Risk through Optimal Life Cycle Asset Allocation (Q5241945) (← links)
- Optimal Asset Allocation for Retirement Saving: Deterministic Vs. Time Consistent Adaptive Strategies (Q5378528) (← links)
- IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS (Q5389952) (← links)
- An estimator for the cumulative co‐volatility of asynchronously observed semimartingales with jumps (Q5418636) (← links)
- On the estimation of integrated volatility in the presence of jumps and microstructure noise (Q5861024) (← links)
- Near-optimal estimation of jump activity in semimartingales (Q5963516) (← links)
- Multi-Period Mean Expected-Shortfall Strategies: ‘Cut Your Losses and Ride Your Gains’ (Q6112770) (← links)
- BEATING A CONSTANT WEIGHT BENCHMARK: EASIER DONE THAN SAID (Q6141906) (← links)
- Optimal Execution with Quadratic Variation Inventories (Q6169622) (← links)
- Optimal performance of a tontine overlay subject to withdrawal constraints (Q6494324) (← links)
- Neural network approach to portfolio optimization with leverage constraints: a case study on high inflation investment (Q6592281) (← links)
- Efficient integrated volatility estimation in the presence of infinite variation jumps via debiased truncated realized variations (Q6615477) (← links)
- Estimating Jump Activity Using Multipower Variation (Q6620838) (← links)
