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The Cornish–Fisher expansion in the context of Delta–Gamma-normal approximations
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The Cornish–Fisher expansion in the context of Delta–Gamma-normal approximations (2002)The Cornish–Fisher expansion in the conte…RiskMetrics Technical Document (2015)RiskMetrics Technical DocumentEstimating a Route Travel Time Distribution Function With Segment Correlations Using Segment-Level Travel Time Data Only: A Moment-Based Method (2024)Estimating a Route Travel Tim…Mind the tail, or risk to fail (2019)Mind the tail, or risk to failMeasuring travel time reliability and risk: A nonparametric approach (2019)Measuring travel time reliabi…Stability in mutual fund performance rankings: A new proposal (2018)Stability in mutual fund perf…A distribution-fitting-free approach to calculating travel time reliability ratio (2018)A distribution-fitting-free a…A closed-form estimation of the travel time percentile function for characterizing travel time reliability (2018)A closed-form estimation of t…Testing equality of modified Sharpe ratios (2015)Testing equality of modified …Nonlinear portfolio selection using approximate parametric Value-at-Risk (2013)Nonlinear portfolio selection…Forecasting VaR using analytic higher moments for GARCH processes (2013)Forecasting VaR using analyti…Worst-Case Value at Risk of Nonlinear Portfolios (2012)Worst-Case Value at Risk of N…Indirect cycle time quantile estimation using the Cornish–Fisher expansion (2009)Indirect cycle time quantile …Financial Risk Management with Bayesian Estimation of GARCH Models: Theory and Applications (2008)Financial Risk Management wit…Extending Black-Litterman Analysis Beyond the Mean-Variance Framework (2007)Extending Black-Litterman Ana…The practice of Delta–Gamma VaR: Implementing the quadratic portfolio model (2003)The practice of Delta–Gamma V…Asymptotic behavior of tails and quantiles of quadratic forms of Gaussian vectors (2003)Asymptotic behavior of tails …Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Testing for a Unit Root in Time Series Regression (1988)On the volatility of cryptocurrencies (2022)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. 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  • 2015RiskMetrics Technical Document661 cited

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  • 2019Measuring travel time reliability and risk: A nonparametric approach19 cited
  • 2018A distribution-fitting-free approach to calculating travel time reliability ratio

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18 cited
  • 2024Estimating a Route Travel Time Distribution Function With Segment Correlations Using Segment-Level Travel Time Data Only: A Moment-Based Method4 cited