References of "Schiltz, Jang 50003012"
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See detailPractical Weight-Constrained Conditioned Portfolio Optimisation Using Risk Aversion Indicator Signals
Boissaux, Marc; Schiltz, Jang UL

Scientific Conference (2011, May 25)

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See detailPractical weight-constrained condiitoned portfolio optimisation using risk aversion indicator signals
Boissaux, Marc; Schiltz, Jang UL

Scientific Conference (2011, March 18)

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See detailOn the efficiency of Risk measures for Funds of Hedge Funds
Laube, Falk UL; Schiltz, Jang UL; Terraza, Virginie UL

in Journal of Derivatives and Hedge Funds (2011), 17(1), 63-84

The hedge fund industry has experienced some very troublesome periods in the recent past. In this study, we test the efficiency of simple and advanced risk measures during these difficult market periods ... [more ▼]

The hedge fund industry has experienced some very troublesome periods in the recent past. In this study, we test the efficiency of simple and advanced risk measures during these difficult market periods according to the Basel II requirements. We concentrate on Fund of Hedge Fund (FoHF) data, as some studies propose that they suffer least from database and measurement biases, and are therefore likely to yield the most representative results compared to other alternative investment data. We examine model stability and risk measure efficiency using unconditional and conditional GMMbased and likelihood ratio tests, as well as independence tests.We find that model stability is very dependent on the successful specification of autoregressive and volatility models. In addition, custom quantile estimation is less susceptible to misspecification than volatility models. Further, we assess the hypothesis of market efficiency for the special case of FoHF. Finally, we find evidence of different level of managerial skill in terms of asset choice, allocation and market timing. [less ▲]

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See detailOn the use of Neural Networks in Statistical Shape Analysis
Giebel, Stefan; Schenk, Jens-Peter; Schiltz, Jang UL

in Proceedings of the 1st International Conference on Stochastic Modeling Techniques and Data Analysis (2011)

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See detailFunctional PLS regression with functional response: the basis expansion approach
Preda, Christian; Schiltz, Jang UL

in Proceedings of the 14th Applied Stochastic Models and Data Analysis Conference (2011)

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See detailAnalysis of the salary trajectories in Luxembourg : a finite mixture model approach
Guigou, Jean-Daniel UL; Lovat, Bruno; Schiltz, Jang UL

in Proceedings of the 1st International Conference on Stochastic Modeling Techniques and Data Analysis (2011)

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See detailPractical weight-constrained conditioned portfolio optimisation using risk aversion indicator signals
Boissaux, Marc; Schiltz, Jang UL

E-print/Working paper (2011)

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See detailWie nachhaltig ist das Luxemburger Rentensystem?
Guigou, Jean-Daniel UL; Schiltz, Jang UL

Article for general public (2010)

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See detailApplication of statistal shape analysis to the classification of renal tumours appearing in early childhood: the two and three-dimensional cases
Giebel, Stefan Markus; Schenk, Jens-Peter; Schiltz, Jang UL

Scientific Conference (2010, September 26)

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See detail3D-Formanalyse von retroperitonealen Tumoren im Kindesalter: entwicklung einer statistischen 2D/3D-Methodik und Anwendung dieser mit MRT-Datensätzen
Giebel, Stefan Markus; Nourkami, N.; Leuschner, I. et al

Scientific Conference (2010, September 18)

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See detailApplication of Shape Analysis on renal tumors
Giebel, Stefan Markus; Schenk, Jens-Peter; Schiltz, Jang UL

Scientific Conference (2010, August 04)

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See detailDifferentiation Tests for Three Dimensional Shape Analysis
Giebel, Stefan; Schiltz, Jang UL; Schenk, Jens-Peter

Scientific Conference (2010, June 11)

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See detailAnalysis of the salary trajectories in Luxembourg: a finite mixture model approach
Guigou, Jean-Daniel UL; Lovat, Bruno; Schiltz, Jang UL

Scientific Conference (2010, June 09)

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See detailAn Optimal Control Solution to the Constrained Weight Portfolio Optimisation Problem with Conditioning Information
Boissaux, Marc; Schiltz, Jang UL

Scientific Conference (2010, June 04)

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See detailOptimal Mix of Funded and Unfunded Pension Systems: the Case of Luxembourg
Guigou, Jean-Daniel UL; Lovat, Bruno; Schiltz, Jang UL

Scientific Conference (2010, May 20)

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See detailAn Optimal Control Approach to Portfolio Optimisation with Conditioning Information
Boissaux, Marc; Schiltz, Jang UL

Scientific Conference (2010, May 04)

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See detailAnalysis of the salary trajectories in Luxembourg: a finite mixture approach
Schiltz, Jang UL

Presentation (2010, January 19)

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See detailApplication of shape analysis on renal tumors in 3D
Giebel, Stefan; Schenk, Jens-Peter; Schiltz, Jang UL

in Proceedings of the 5th International Symposium on Health Informatics and Bioinformatics (2010)

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