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 13
... Estimation and Robust 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 ...
... Estimation and Robust 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 ...
Página 215
... Estimation and Robust 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 ...
... Estimation and Robust 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 ...
Página 235
... estimated directly from the option prices . In order to calculate the risk premium parameter A. one additional ... estimate the long - run variance 0. Suppose that the option market is efficient and that option traders incorporate ...
... estimated directly from the option prices . In order to calculate the risk premium parameter A. one additional ... estimate the long - run variance 0. Suppose that the option market is efficient and that option traders incorporate ...
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