23 citations · 87 across the 9 of their papers we have counts for
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q-fin.ST2016★ 1 cited
Noise Fit, Estimation Error and a Sharpe Information Criterion
Dirk Paulsen, Jakob Söhl
When the in-sample Sharpe ratio is obtained by optimizing over a k-dimensional parameter space, it is a biased estimator for what can be expected on unseen data (out-of-sample). We…
q-fin.ST2012★ 23 cited
Confidence sets in nonparametric calibration of exponential Lévy models
Jakob Söhl
Confidence intervals and joint confidence sets are constructed for the nonparametric calibration of exponential Lévy models based on prices of European options. To this end, we sho…