Statistical methods
- Benchmarking the Performance of Private Equity Portfolios of the World’s Largest Institutional Investors: A View from CEM BenchmarkingAlexander Beath and Christopher FlynnThe Journal of Investing November 2020, 30 (1) 67-87; DOI: https://doi.org/10.3905/joi.2020.1.155
- An Inconvenient Fact: Private Equity Returns and the Billionaire FactoryLudovic PhalippouThe Journal of Investing November 2020, 30 (1) 11-39; DOI: https://doi.org/10.3905/joi.2020.1.153
- The Impact of Smoothness on Private Equity Expected ReturnsAntti IlmanenThe Journal of Investing November 2020, 30 (1) 63-66; DOI: https://doi.org/10.3905/joi.2020.1.151
- The Free Boundary for the American Put OptionThomas LittleThe Journal of Derivatives November 2020, 28 (2) 9-21; DOI: https://doi.org/10.3905/jod.2020.1.114
- An Arbitrage-Free Interpolation of Class C2 for Option PricesFabien Le Floc’hThe Journal of Derivatives November 2020, jod.2020.1.119; DOI: https://doi.org/10.3905/jod.2020.1.119
- Selecting Computational Models for Asset Management: Financial Econometrics versus Machine Learning—Is There a Conflict?Joseph A. Cerniglia and Frank J. FabozziThe Journal of Portfolio Management October 2020, 47 (1) 107-118; DOI: https://doi.org/10.3905/jpm.2020.1.184
- Volatility Prediction and Risk Management: An SVR-GARCH ApproachAbdullah Karasan and Esma GaygisizThe Journal of Financial Data Science October 2020, 2 (4) 85-104; DOI: https://doi.org/10.3905/jfds.2020.1.046
- Forecast Optimization via Parameter Tuning: Performance Gain and OverfitIlya SoloveychikThe Journal of Financial Data Science October 2020, 2 (4) 71-84; DOI: https://doi.org/10.3905/jfds.2020.1.044
- European Floating Strike Lookback Options: Alpha Prediction and Generation Using Unsupervised LearningTristan Lim, Chin Sin Ong and Aldy GunawanThe Journal of Financial Data Science October 2020, 2 (4) 59-70; DOI: https://doi.org/10.3905/jfds.2020.1.043
- Neural Embeddings of Financial Time-Series DataAlik Sokolov, Jonathan Mostovoy, Brydon Parker and Luis SecoThe Journal of Financial Data Science October 2020, 2 (4) 33-43; DOI: https://doi.org/10.3905/jfds.2020.1.041
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