Arbeitspapiere - Angewandte Stochastik und Risikomanagement

Esslinger, A. A. (2024): A differentiation lemma for càdlàg and càglàd functions. AP 2024-01.

Frahm, G. (2024): A Test for the Validity of Regression Models. AP 2023-01.

Adämmer, P. und Schüssler, R. (2019): Forecasting the Equity Premium: Mind the News! AP 2019-02.

Frahm, G. und Huber, F. (2019): The Outperformance Probability of Mutual Funds. AP 2019-01.

Frahm, G. (2018): How Often Is the Financial Market Going to Collapse? AP 2018-05.

Frahm, G. (2018): An Intersection-Union Test for the Sharpe Ratio. AP 2018-04.

Frahm, G. (2018): The Likelihood-Ratio Test for V-Hypotheses. AP 2018-03.

Frahm, G. (2018): Statistical Properties of Estimators for the Log-Optimal Portfolio. AP 2018-02.

Frahm, G. (2018): A Solution to Ellsberg’s Paradox. AP 2018-01.

Frahm, G. (2017): Arbitrage Pricing Theory in Ergodic Markets. AP 2017-01.

Frahm, G., Nordhausen, K. und Oja, H. (2017): M-Estimation with Incomplete and Dependent Data. AP 2016-01.

Frahm, G. (2016): Cognizance vs. Ignorance in Aumann’s Model of Strategic Conflict. AP 2015-02.

Frahm, G. und Jaekel, U. (2015): Tyler’s M-Estimator in High-Dimensional Financial-Data Analysis. AP 2015-01.

Beckmann, J. und Schüssler, R. (2014): Forecasting Exchange Rates under Model and Parameter Uncertainty. AP 2014-03.

Frahm, G., Jonen, A. und Schüssler, R. (2014): The Fundamental Theorems of Asset Pricing and the Closed-End Fund Puzzle. AP 2014-02.

Beckmann, J. und Schüssler, R. (2014): Forecasting Equity Premia using Bayesian Dynamic Model Averaging. AP 2014-01.

Frahm, G. (2014): A Theoretical Foundation of Portfolio Resampling. AP 2013-03.

Dobric, J., Frahm G. und Schmid, F. (2014): Dependence of Stock Returns in Bull and Bear Markets. AP 2013-02.

Frahm, G. (2018): Pricing and Valuation under the Real-World Measure (with corrigendum). AP 2013-01.

HSU

Letzte Änderung: 24. September 2024