References of "Schiltz, Jang 50003012"
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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 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 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 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 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 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 detailAn Optimal Control Approach to Portfolio Optimisation with Conditioning Information
Boissaux, Marc; Schiltz, Jang UL

E-print/Working paper (2010)

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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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See detailThe impact of ageing population on pay-as-you-go pension systems: The case of Luxembourg
Guigou, Jean-Daniel UL; Lovat, Bruno; Schiltz, Jang UL

in Journal of International Finance and Economics (2010), 1

Financing of the Luxembourg pension system is based on a pay-as-you-go system and hence on an intergenerational contract. As is the case for most other European countries, this system will be exposed to ... [more ▼]

Financing of the Luxembourg pension system is based on a pay-as-you-go system and hence on an intergenerational contract. As is the case for most other European countries, this system will be exposed to the effects of demographic aging over the coming decades. The aim of this paper is to evaluate the impact of this demographic deficit on the long term sustainability of the Luxembourg pension system. We proceed in two steps. In a first step, we highlight the evolution of salaries in Luxembourg. To this end, we use the recent statistical group based trajectory model of D. Nagin (Nagin 2005). We estimate model parameters from a single database, provided by the general social security inspection office (IGSS) and containing annual salaries of all wage earners in the Luxembourg private sector. As a result we divide up the population into nine groups, each with its own mean salary trajectory in time and its relative weight in society. In a second step, we evaluate the pension system by means of a new criterion. This is the sustainability coefficient, which we define as the average amount (in euros) that the labor force has to earn to fund one euro of pension payments, based on current legislation. Our estimations show the high sensitivity of the coefficient to demographic variables and highlight the risks threatening the Luxembourg pay-as-you-go system. To this aim, we develop a theoretical model consistent with our statistical analysis. This model allows for the determination of both the initial level and the evolution of the pensions for each of the groups identified in the first step of our work. Knowing the weight of each of the groups within the Luxembourg population, we are then able to evaluate the sustainability coefficient of the system. This corresponds to comparing the sum of all incomes of the labor force to that of all the pensions paid to pensioners at a given date while taking into account the growth rate of the population in time. Finally, we interpret our results in the light of other sustainability criteria, such as the rate of contributions which ensures long-term stability of the pension level under the current legislation or the pension level that current contributions are able to finance in the long run. [less ▲]

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