Proceedings of the IEEE/IAFE 1995 Computational Intelligence for Financial Engineering (CIFEr): April 9-11, 1995, New York City, Crowne Plaza ManhattanIEEE Service Center, 1995 - 192 páginas |
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Página 10
... correlation 0.5 . Influence function for the returns of the minimum variance portfolio Two instruments with means 0.2 , 0.1 , standard deviations 0.05 , 0.1 and correlation 0.5 . Influence Function СООГО СОСТО 0.100 0.180 4.120 ...
... correlation 0.5 . Influence function for the returns of the minimum variance portfolio Two instruments with means 0.2 , 0.1 , standard deviations 0.05 , 0.1 and correlation 0.5 . Influence Function СООГО СОСТО 0.100 0.180 4.120 ...
Página 163
... correlation is not as strong , although both correlations are significant ( p < 0.005 ) . Similar results were obtained for membership in set Small , except that the correlation was negative ( stocks with high membership values had low ...
... correlation is not as strong , although both correlations are significant ( p < 0.005 ) . Similar results were obtained for membership in set Small , except that the correlation was negative ( stocks with high membership values had low ...
Página 164
... correlation between uncertainty and current yield . This correlation showed that high yield stocks had lower values of uncertainty than moderate yield stocks . The same pattern was observed for uncertainty and future yield , but it was ...
... correlation between uncertainty and current yield . This correlation showed that high yield stocks had lower values of uncertainty than moderate yield stocks . The same pattern was observed for uncertainty and future yield , but it was ...
Contenido
Outliers Influence Functions and Robust Portfolio Optimization | 1 |
tacting BlackScholes to a NonBlackSchcies Environment 137 | 4 |
A Theory of Price Formation in A Market with Short Sale Prohibition | 15 |
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Proceedings of the IEEE/IAFE 1995 Computational Intelligence for Financial ... Vista de fragmentos - 1995 |
Proceedings of the IEEE/IAFE 1995 Computational Intelligence for Financial ... Vista de fragmentos - 1995 |
Proceedings of the IEEE/IAFE 1995 Computational Intelligence for Financial ... Vista de fragmentos - 1995 |
Términos y frases comunes
agents analysis ASPID Banco Bank of Tokyo-Mitsubishi behavior Black-Scholes cash flow mapping catastrophe losses CatLoss cointegration computational correlation covariance matrix data mining data set database deposit closings derivative distribution dynamics Easley and O'Hara efficient frontier error estimate evaluation expected FDIC Figure financial ratios FINANZIA fuzzy set Genetic genetic algorithm given growth rates h₁ implied variance independent component analysis Influence function informed traders instruments with means insured deposit Journal learning linear market maker Markov models method minimum variance portfolio multinomial Neural Networks neutral mapping option pricing overall parameter predict pricing algorithms probability problem rate of convergence ratio reinsurance risk neutral risk-neutral rules selection sell short sale short sale prohibition simulation specification standard deviations statistical stochastic stock price stock returns t₁ tangency portfolio techniques theta trading volume uncertainty underwriting uninformed V₁ V₂ variables vector volatility weighted