10:00 am
Nathan LASSANCE (UCL- Louvain) “The Distribution of Out-of-Sample Performance of Estimated Portfolios”
Finance-Insurance Time: 10.00 am Date:05th of March 2026 Room 3001 Nathan LASSANCE (UCL- Louvain) "The Distribution of Out-of-Sample Performance of Estimated Portfolios" Abstract : We derive a parsimonious stochastic representation for the joint distribution of the out-of-sample mean and variance of a large class of portfolio rules that combines the sample mean-variance optimal portfolio with […]
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Dario PALUMBO (Université de Venise) “Multivariate Score-Driven Models for Strictly Positive Variables”
Finance-Insurance Time: 11.00 am Date:05th of March 2026 Room 3001 Dario PALUMBO (Université de Venise) "Multivariate Score-Driven Models for Strictly Positive Variables" Abstract :The paper presents a novel approach for the joint modelling of strictly positive time series. A new score-driven specification based on the multivariate GB2 (MGB2) distribution is introduced. The structure of the […]
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