Frahm, Gabriel
Loading...
Status
Active HSU Member
Main affiliation
Job title
Leitung
ORCID
23 results
Now showing 1 - 10 of 23
- PublicationMetadata onlyPMF forecasting for count processes(Springer, 2023-04-04)
;Homburg, Annika; ;Alwan, Layth C.; Göb, Rainer - PublicationMetadata onlyEfficient accounting for estimation uncertainty in coherent forecasting of count processes(Taylor & Francis, 2021-02-15)
; ;Homburg, Annika; ;Alwan, Layth C.Göb, Rainer - PublicationMetadata only
- PublicationMetadata onlyEvaluating Approximate Point Forecasting of Count ProcessesIn forecasting count processes, practitioners often ignore the discreteness of counts and compute forecasts based on Gaussian approximations instead. For both central and non-central point forecasts, and for various types of count processes, the performance of such approximate point forecasts is analyzed. The considered data-generating processes include different autoregressive schemes with varying model orders, count models with overdispersion or zero inflation, counts with a bounded range, and counts exhibiting trend or seasonality. We conclude that Gaussian forecast approximations should be avoided.
- PublicationMetadata only
- PublicationMetadata onlyThe outperformance probability of mutual fundsWe propose the outperformance probability as a new performance measure, which can be used in order to compare a strategy with a specified benchmark, and develop the basic statistical properties of its maximum-likelihood estimator in a Brownian-motion framework. The given results are used to investigate the question of whether mutual funds are able to beat the S&P 500 or the Russell 1000. Most mutual funds that are taken into consideration are, in fact, able to beat the market. We argue that one should refer to differential returns when comparing a strategy with a given benchmark and not compare both the strategy and the benchmark with the money-market account. This explains why mutual funds often appear to underperform the market, but this conclusion is fallacious.
- PublicationMetadata onlyA Solution to Ellsberg's Paradox(Helmut-Schmidt-Universität / Universität der Bundeswehr Hamburg, Chair for Applied Stochastics and Risk Management, 2018)
- PublicationMetadata onlyStatistical Properties of Estimators for the Log-Optimal Portfolio(Helmut-Schmidt-Universität / Universität der Bundeswehr Hamburg, Chair for Applied Stochastics and Risk Management, 2018)
- PublicationMetadata onlyAn Intersection-Union Test for the Sharpe Ratio(Helmut-Schmidt-Universität / Universität der Bundeswehr Hamburg, Chair for Applied Stochastics and Risk Management, 2018)
- PublicationMetadata only
- «
- 1 (current)
- 2
- 3
- »