Hedging parameter risk

Claußen, Arndt; Rösch, Daniel; Schmelzle, Martin

doi:10.1016/j.jbankfin.2019.01.003

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Cited by 5 publications

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“…A heuristic approach has been used by Kawas and Thiele (2017) when dealing with portfolio management estimation risk, and by Platanakis, Sutcliffe, and Urquhart (2018) who show there is no difference in performance between the seven heuristics they examine. The impact of noisy input parameters on the accuracy of estimated portfolio risk, and the hedging of parameter risk have been examined by Loffler (2003) and Clauben, Rosch, and Schmelzle (2019), respectively. We address the estimation risk of the input parameters, which is more intense during periods of great economic uncertainty, such as the Covid-19 global pandemic.…”

Section: Literature Reviewmentioning

confidence: 99%