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189,240
Term Premia and Interest Rate Forecasts in Affine Models
, 2001
"... I find that the standard class of a#ne models produces poor forecasts of future changes in Treasury yields. Better forecasts are generated by assuming that yields follow random walks. The failure of these models is driven by one of their key features: The compensation that investors receive for faci ..."
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Cited by 443 (11 self)
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the tractability of the usual models, but allow the compensation for interest rate risk to vary independently of interest rate volatility. This additional flexibility proves useful in forming accurate forecasts of future yields. Address correspondence to the University of California, Haas School of Business, 545
The performance of mutual funds in the period 19451964
 JOURNAL OF FINANCE
, 1968
"... In this paper I derive a riskadjusted measure of portfolio performance (now known as "Jensen's Alpha") that estimates how much a manager's forecasting ability contributes to the fund's returns. The measure is based on the theory of the pricing of capital assets by Sharpe (1 ..."
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Cited by 586 (1 self)
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In this paper I derive a riskadjusted measure of portfolio performance (now known as "Jensen's Alpha") that estimates how much a manager's forecasting ability contributes to the fund's returns. The measure is based on the theory of the pricing of capital assets by Sharpe
Forecast Risk Bias in Optimized Portfolios
, 2009
"... Portfolio managers have long suspected that the risk forecast of an optimized portfolio tends to be optimistic. Many have identified the culprit in this matter as estimation error in the covariance matrix. All covariance matrices contain some estimation error, since they are built using finite histo ..."
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Portfolio managers have long suspected that the risk forecast of an optimized portfolio tends to be optimistic. Many have identified the culprit in this matter as estimation error in the covariance matrix. All covariance matrices contain some estimation error, since they are built using finite
Forecasting risks in Naval manpower planning
, 2005
"... 1 The paper is based on a funded project by H.M. Navy. We acknowledge gratefully the support given by Commander Richard Jenkins, H.M. Royal Navy, throughout the project. The paper also benefited from earlier work of David Snowden carried out in the Navy project. The first results of the empirical wo ..."
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work reported in this paper were presented at the workshop of both Navy personnel and risk and forecasting
Evaluating Interval Forecasts
 International Economic Review
, 1997
"... This paper is intended to address the deficiency by clearly defining what is meant by a "good" interval forecast, and describing how to test if a given interval forecast deserves the label "good". One of the motivations of Engle's (1982) classic paper was to form dynamic int ..."
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Cited by 347 (11 self)
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to the interval forecasts provided by J.P. Morgan (1995). Furthermore, the socalled "ValueatRisk" measures suggested for risk measurement correspond to tail forecasts, i.e., onesided interval forecasts of portfolio returns. Lopez (1996) evaluates these types of forecasts applying the procedures
2002b. “Forecasting Risk Attitudes: An Experimental Study of Actual and Forecast
 Department of Economics, Virginia Tech
"... We develop and evaluate a simple gamblechoice task to measure attitudes toward risk, and apply this measure to examine differences in risk attitudes of male and female university students. In addition, we ask whether a person's sex is read as a signal of risk preference. Subjects choose which ..."
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Cited by 95 (4 self)
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We develop and evaluate a simple gamblechoice task to measure attitudes toward risk, and apply this measure to examine differences in risk attitudes of male and female university students. In addition, we ask whether a person's sex is read as a signal of risk preference. Subjects choose which
Extensional versus intuitive reasoning: The conjunction fallacy in probability judgment
 Psychological Review
, 1983
"... Perhaps the simplest and the most basic qualitative law of probability is the conjunction rule: The probability of a conjunction, P(A&B), cannot exceed the probabilities of its constituents, P(A) and.P(B), because the extension (or the possibility set) of the conjunction is included in the exten ..."
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Cited by 435 (5 self)
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prognosis, decision under risk, suspicion of criminal acts, and political forecasting. Systematic violations of the conjunction rule are observed in judgments of lay people and of experts in both betweensubjects and withinsubjects comparisons. Alternative interpretations of the conjunction fallacy
The forward discount anomaly and the risk premium: A survey of recent evidence
 JOURNAL OF EMPIRICAL FINANCE
, 1996
"... Forward exchange rate unbiasedness is rejected in tests from the current floating exchange rate era. This paper surveys advances in this area since the publication of Hodrick's (1987) survey. It documents that the change in the future exchange rate is generally negatively related to the forward ..."
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Cited by 394 (11 self)
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to the forward discount. Properties of the expected forward forecast error are reviewed. Issues such as the relation of uncovered interest parity to real interest parity, and the implications of uncovered interest parity for cointegration of various quantities are discussed. The modeling and testing for risk
2005500003 FORECASTING RISK ANALYSIS FOR SUPPLY CHAINS WITH INTERMITTENT DEMAND
, 2005
"... Abstract: The paper focuses on the forecasting risk analysis in the supply chains with the intermittent demand, which is typical for the inventory management of the “slow moving items ” such as service parts or highpriced capital goods. The adopted demand model is based on the generalised betabino ..."
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Abstract: The paper focuses on the forecasting risk analysis in the supply chains with the intermittent demand, which is typical for the inventory management of the “slow moving items ” such as service parts or highpriced capital goods. The adopted demand model is based on the generalised beta
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