8 citations · 14 across the 2 of their papers we have counts for
3 papers
econ.GN2019
On Capital Allocation under Information Constraints
Christoph J. Börner, Ingo Hoffmann, Fabian Poetter +1
Attempts to allocate capital across a selection of different investments are often hampered by the fact that investors' decisions are made under limited information (no historical…
q-fin.RM2019★ 6 cited
Tail models and the statistical limit of accuracy in risk assessment
Ingo Hoffmann, Christoph J. Börner
In risk management, tail risks are of crucial importance. The assessment of risks should be carried out in accordance with the regulatory authority's requirement at high quantiles.…
stat.ME2018★ 8 cited
The risk function of the goodness-of-fit tests for tail models
Ingo Hoffmann, Christoph J. Börner
This paper contributes to answering a question that is of crucial importance in risk management and extreme value theory: How to select the threshold above which one assumes that t…