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ORBi^lu

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	References of "Schiltz, Jang 50003012" in Showing results 21 to 40 of 150 1 2 3 4 5 6 7 Investment fund performance validation - Vine copulae estimation using a minimum spanning tree Petijean, Simon; Schiltz, Jang Scientific Conference (2019, June 03) Catching the dependencies between financial time series is a complex exer- cise with a lot of challenges, both of theoretical and practical nature. We develop a metho- dology to model portfolio dynamics ... [more ▼] Catching the dependencies between financial time series is a complex exer- cise with a lot of challenges, both of theoretical and practical nature. We develop a metho- dology to model portfolio dynamics using the minimum spanning tree methods combined with econometric models which solves a good part of these challenges. We use a tracking error that is equivalent to the Euclidean distance, to cluster the closest market indices. Financial risk is difficult to manage, because risk is evolving constantly and depends on very different factors like volatility, liquidity, asset class etc. To capture this evolution we develop a recursive portfolio validation method that reveals the true nature of the evolution of the risk structure of financial portfolios. We investigate several portfolio strategies to understand the dynamics behind the holdings. We thus validate the results of our portfolio analysis. We use a vine copula construction, which allows us to separate the marginal estimation from the dependence estimation and calibrate the underlying dynamics very precisely. The minimum spanning tree method helps us to create a robust tree foundation to support the entire vine structure. Starting from a portfolio analysis, we are thus able to validate the portfolio valuation over a specific period of time. [less ▲] Detailed reference viewed: 85 (0 UL) A performance evaluation of weight-constrained conditioned portfolio optimization Schiltz, Jang ; Boissaux, Marc Scientific Conference (2017, May 25) Detailed reference viewed: 81 (0 UL) Portfolio Optimisation with Conditioning Information Schiltz, Jang Scientific Conference (2017, April 04) Detailed reference viewed: 73 (3 UL) CALCURIX: a "tailor-made" RM software Schiltz, Jang ; Fadiga, Isamel Presentation (2017, March 15) Detailed reference viewed: 106 (1 UL) A performance evaluation of weight-constrained conditioned portfolio optimization Schiltz, Jang ; Boissaux, Marc Scientific Conference (2016, December 15) Detailed reference viewed: 79 (0 UL) Stable distributions for alternative UCITS Fadiga, Ismael; Schiltz, Jang Scientific Conference (2016, July 16) Detailed reference viewed: 262 (4 UL) Asset Pricing Models with Underlying Time-varying Lévy Processes Cui, Xuecan ; Schiltz, Jang Scientific Conference (2016, July 15) Detailed reference viewed: 132 (3 UL) Model selection in generalized finite mixture models Schiltz, Jang Scientific Conference (2016, July 11) Detailed reference viewed: 85 (1 UL) On strategically equivalent contests Schiltz, Jang ; Guigou, Jean-Daniel ; Lovat, Bruno Scientific Conference (2016, June 02) Detailed reference viewed: 274 (1 UL) Borderline functioning and life trauma: a structural approach Schiltz, Jang ; Schiltz, Lony in Archives of Psychiatry and Psychotherapy (2016), 2(2016), 12-21 Aim: The general aim of this multiannual research project was the exploration of the links between traumatizing life events and current functioning. Material and methods: The research project was based on ... [more ▼] Aim: The general aim of this multiannual research project was the exploration of the links between traumatizing life events and current functioning. Material and methods: The research project was based on a sequential design. It included an exploratory study with 206 persons experiencing exclusion and marginalization, followed by a confirmatory study with 195 persons. We present the confirmatory study results, as well as a meta-analysis of both studies. Both studies were based on an integrated quantitative and qualitative research methodology, combining a semi-structured biographical interview, psychometric scales (Hospital Anxiety and Depression Scale (HADS), Index of Well- Being) and a projective test (Rotter Incomplete Sentences Blank). We developed original rating scales for the semi-structured interview and the answers to the Rotter test, allowing a step from qualitative analysis to inferential and multidimensional statistics. Results: With the help of appropriate multidimensional statistical procedures applied to the semi-structured interview (linear principal components analysis) and the Rotter test (multiple correspondence analysis), we were able to draw out differential types of personality functioning based on the prevalent defense mechanisms and coping strategies, linked either to a succession of traumatic events, such as neglect, maltreatment and multiple losses occurring since childhood, or to recent catastrophes. The comparative study of the answers to the Rotter test in the first and third person pointed to differences in the expression of conscious and unconscious needs. Configural frequency analysis applied to HADS identified specific types that could correspond to variants of borderline functioning. The meta-analysis of the exploratory and confirmatory findings showed convergent results at several fundamental dimensions. Our results supported the traumatogenic hypothesis of borderline functioning and pointed towards a partial overlapping of the concepts of splitting and dissociation. Conclusions: More long-term evaluation studies of appropriate psychotherapeutic measures are needed. From the methodological point of view, the most appropriate strategy might be a mixed-methods design combining data from different sources (semi-structured interviews, psychometric scales, projective tests, etc.) and respecting the person-centered approach. This approach combines objectivity with subjectivity in an optimal manner. [less ▲] Detailed reference viewed: 330 (2 UL) A generalization of Nagin's finite mixture model Schiltz, Jang in Stemmler, Mark; von Eye, Alex; Wiedermann, Wolfgang (Eds.) Dependent data in social sciences research: Forms, issues, and methods of analysis (2015) We present a generalization of Daniel Nagin’s finite mixture model that allows non parallel trajectories for different values of covariates. We investigate some mathematical properties of this model and ... [more ▼] We present a generalization of Daniel Nagin’s finite mixture model that allows non parallel trajectories for different values of covariates. We investigate some mathematical properties of this model and illustrate its use by giving typical salary curves for the employees in the private sector in Luxembourg between 1981 and 2006, as a function of their gender, as well as of Luxembourg’s gross domestic product (GDP). [less ▲] Detailed reference viewed: 288 (4 UL) A generalized finite mixture model Schiltz, Jang in Proceedings of the 60th ISI World conference (2015, July 28) Detailed reference viewed: 224 (2 UL) A performance evaluation of weight-constrained conditioned portfolio optimization Schiltz, Jang ; Boissaux, Marc Scientific Conference (2015, July 22) Detailed reference viewed: 82 (1 UL) Asset Pricing Models with Underlying Time-varying Lévy Processes Cui, Xuecan ; Schiltz, Jang Scientific Conference (2015, July 09) Detailed reference viewed: 94 (5 UL) On some issues in trajectory modeling with finite mixture models Schiltz, Jang ; Guigou, Jean-Daniel ; Lovat, Bruno in Skiadas, Christos; Manca, Raimondo; McClean, Sally (Eds.) et al 16th ASMDA 2015 Conference and Demographics 2015 Proceedings (2015, June 30) Detailed reference viewed: 189 (2 UL) The Phenomenology of Stock Market Volatility in Times of Crisis. The Case of Emerging Europe Diaconasu, Delia; Schiltz, Jang Scientific Conference (2015, June 16) Detailed reference viewed: 115 (5 UL) A Numerical Scheme for Multisignal Weight Constrained Conditioned Portfolio Optimisation Problems Schiltz, Jang ; Boissaux, Marc Scientific Conference (2014, December 17) Detailed reference viewed: 77 (5 UL) Optimal mix of funded and unfunded pension systems: The case of Luxembourg Schiltz, Jang ; Guigou, Jean-Daniel ; Lovat, Bruno Scientific Conference (2014, June 20) Detailed reference viewed: 163 (0 UL) A Finite Mixture Model with Trajectories Depending on Covariates Schiltz, Jang Scientific Conference (2014, June 11) Detailed reference viewed: 47 (0 UL) A performance evaluation of weight-constrained conditioned portfolio optimisation using a new numerical scheme for multisignal problems Boissaux, Marc; Schiltz, Jang Scientific Conference (2014, June 03) Detailed reference viewed: 69 (0 UL) 1 2 3 4 5 6 7

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