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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... efficient frontier based on all of the data , and the solid line is the classical efficient frontier after deleting the four outliers in the lower left hand portion of the scatter plot . Clearly the outliers have a major influence on ...
... efficient frontier based on all of the data , and the solid line is the classical efficient frontier after deleting the four outliers in the lower left hand portion of the scatter plot . Clearly the outliers have a major influence on ...
Página 13
... Efficient Frontiers One way to obtain an efficient frontier estimate and associated portfolio weights is to replace the classical covariance and mean estimates with a robust covariance matrix estimate and a robust mean vector estimate ...
... Efficient Frontiers One way to obtain an efficient frontier estimate and associated portfolio weights is to replace the classical covariance and mean estimates with a robust covariance matrix estimate and a robust mean vector estimate ...
Página 213
... efficient frontier based on all of the data , and the solid line is the classical efficient frontier after deleting the four outliers in the lower left hand portion of the scatter plot . Clearly the outliers have a major influence on ...
... efficient frontier based on all of the data , and the solid line is the classical efficient frontier after deleting the four outliers in the lower left hand portion of the scatter plot . Clearly the outliers have a major influence on ...
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