A nonparametric quantity-of-quality approach to assessing financial asset return performance

DOI10.1007/s10436-018-0319-2zbMath1398.62301OpenAlexW2790472295WikidataQ130195480 ScholiaQ130195480MaRDI QIDQ1669870

M. Ryan Haley

Publication date: 4 September 2018

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-018-0319-2

zbMATH Keywords

nonparametric estimationh-indexe-indexmoment-free decision models

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Portfolio theory (91G10) Bibliographic studies (01A90)

Cites Work

• An index to quantify an individual's scientific research output
• Gaussian and logistic adaptations of smoothed safety first
• Portfolio choice with endogenous utility: a large deviations approach.
• \(K\)-fold cross validation performance comparisons of six naive portfolio selection rules: how naive can you be and still have successful out-of-sample portfolio performance?
• Generalized Safety First and a New Twist on Portfolio Performance
• Disparity, Shortfall, and Twice-Endogenous HARA Utility
• The Efficiency Analysis of Choices Involving Risk
• Smoothed safety first and the holding of assets
• Safety First and the Holding of Assets