Statistical aspects of stock picking and risk-averse behaviour:
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| Main Author: | |
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| Format: | Thesis Book |
| Language: | English |
| Published: |
2010
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | VII, 106 S. Ill., graph. Darst. |
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Record in the Search Index
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| adam_text | Titel: Statistical aspects of stock picking and risk-averse behaviour
Autor: Timofeev, Roman
Jahr: 2010
Contents
PART II Monotonicity of Pricing Kernels and Risk Averse Be-
havior 1
1 Monotonicity of Pricing Kernels 10
1.1 Introduction............................ 10
1.2 Problem Setup .......................... 12
1.3 Estimation of Risk Neutral Density............... 14
1.4 The Spacing Method....................... 16
1.5 Nonparametric Estimation via Isotonic Regression....... 17
1.5.1 ML test for given I,J .................. 17
1.5.2 Multiple-testing...................... 20
1.5.3 Multiple testing on blocks................ 22
1.5.4 Implementation and simulations............. 24
1.5.5 Empirical results..................... 29
1.6 Parametric Estimation Using Inverse Linear Approximation . 35
1.6.1 Local test for given I,J ................. 35
1.6.2 Global test ........................ 41
1.6.3 Empirical results..................... 52
1.7 Conclusion............................. 53
PART I Stock Picking Using Decision Trees Approach 55
2 Stock Picking
Using Decision Trees Approach 57
2.1 Introduction............................ 58
2.2 CART - Classification and Regression Trees.......... 59
2.2.1 Construction of the Maximum Tree........... 63
2.2.2 TreePruning....................... 67
2.3 Advantages and Disadvantages of CART............ 71
2.3.1 CART as a top Classification method.......... 72
2.3.2 Disadvantages of CART................. 76
2.4 Best Node Strategy - Way to Financial Success ........ 79
2.5 Development and Implementation................ 82
2.5.1 C++ CDynMultiArray.................. 82
2.5.2 Construction Algorithm and QuickSort......... 85
2.5.3 Tree Object BestSplitsMatrix.............. 87
2.5.4 Tree Output and MßX PSTricks library........ 88
2.5.5 Computational Performance............... 90
2.6 Available Data and Calibration ................. 90
2.7 Performance and Empirical Results............... 93
2.8 Concluding Remarks....................... 100
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| any_adam_object | 1 |
| author | Timofeev, Roman 1980- |
| author_GND | (DE-588)143199331 |
| author_facet | Timofeev, Roman 1980- |
| author_role | aut |
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| bvnumber | BV036805699 |
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| dewey-full | 332.6 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.6 |
| dewey-search | 332.6 |
| dewey-sort | 3332.6 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Thesis Book |
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| spelling | Timofeev, Roman 1980- Verfasser (DE-588)143199331 aut Statistical aspects of stock picking and risk-averse behaviour eingereicht von Roman Timofeev 2010 VII, 106 S. Ill., graph. Darst. txt rdacontent n rdamedia nc rdacarrier Berlin, Humboldt-Univ., Diss., 2010 Risikoverhalten (DE-588)4050133-4 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Risikoverhalten (DE-588)4050133-4 s b DE-188 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020721787&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
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| title | Statistical aspects of stock picking and risk-averse behaviour |
| title_auth | Statistical aspects of stock picking and risk-averse behaviour |
| title_exact_search | Statistical aspects of stock picking and risk-averse behaviour |
| title_full | Statistical aspects of stock picking and risk-averse behaviour eingereicht von Roman Timofeev |
| title_fullStr | Statistical aspects of stock picking and risk-averse behaviour eingereicht von Roman Timofeev |
| title_full_unstemmed | Statistical aspects of stock picking and risk-averse behaviour eingereicht von Roman Timofeev |
| title_short | Statistical aspects of stock picking and risk-averse behaviour |
| title_sort | statistical aspects of stock picking and risk averse behaviour |
| topic | Risikoverhalten (DE-588)4050133-4 gnd |
| topic_facet | Risikoverhalten Hochschulschrift |
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