Proceedings of the IEEE/IAFE/INFORMS 1998 Conference on Computational Intelligence for Financial Engineering (CIFEr): March 29-31, 1998, New York City, Crowne Plaza ManhattanThese proceedings detail computer technology and the contemporary application of advanced mathematical techniques and concepts to financial and investment problems. There is a focus on solving problems caused by the increasing complexity and size of modern financial systems. |
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Clearly the outliers have a major influence on the location of the efficient frontier ! 2. INFLUENCE FUNCTIONS FOR CLASSIC EFFICIENT FRONTIERS This section provides an introduction to the influence function as a tool to measure the ...
Clearly the outliers have a major influence on the location of the efficient frontier ! 2. INFLUENCE FUNCTIONS FOR CLASSIC EFFICIENT FRONTIERS This section provides an introduction to the influence function as a tool to measure the ...
Página 12
Influence function for the variance of the tangency portfolio Influence function for the returns of the tangency portfolio 9 Two instruments with means 0.2 , 0.1 , standard deviations 0.1 , 0.05 and correlation 0.5 .
Influence function for the variance of the tangency portfolio Influence function for the returns of the tangency portfolio 9 Two instruments with means 0.2 , 0.1 , standard deviations 0.1 , 0.05 and correlation 0.5 .
Página 213
Clearly the outliers have a major influence on the location of the efficient frontier ! 2. The Influence Function and Its Application to Classical Efficient Frontiers This section provides an introduction to the influence function as a ...
Clearly the outliers have a major influence on the location of the efficient frontier ! 2. The Influence Function and Its Application to Classical Efficient Frontiers This section provides an introduction to the influence function as a ...
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Contenido
Outliers Influence Functions and Robust Portfolio Optimization | 1 |
A Theory of Price Formation in A Market with Short Sale Prohibition | 15 |
Forecasting Expectations of Insured Depository Default and Catastrophic Losses | 66 |
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Proceedings of the IEEE/IAFE 1995 Computational Intelligence for Financial ... Vista de fragmentos - 1995 |
Términos y frases comunes
actual agents algorithm analysis applied approach asset assumed average banks cash flow catastrophe closings components computational condition considered consistent convergence correlation dependent deposit derivative described determine distribution effect efficient error estimate evaluation event example exchange expected Figure function future fuzzy given growth implied increases independent indicates industry influence informed traders insured interest International Journal learning losses mapping market maker matrix mean measure method neutral objects observed obtained occurs option parameter performance period portfolio positive possible predict present probability problem ratio relation relative respect returns risk rules selection sell short sale shows signal simulation specification standard statistical steps structure Table techniques term trade uninformed University variables variance vector volatility volume weighted
Información bibliográfica
| Título | Proceedings of the IEEE/IAFE/INFORMS 1998 Conference on Computational Intelligence for Financial Engineering (CIFEr): March 29-31, 1998, New York City, Crowne Plaza Manhattan |
| Autor | IEEE Neural Networks Council |
| Colaboradores | Institute of Electrical and Electronics Engineers, International Association of Financial Engineers, Institute for Operations Research and the Management Sciences |
| Editor | IEEE, 1998 |
| Procedencia del original | Universidad de Michigan |
| Digitalizado | 10 Ene. 2008 |
| ISBN | 078034930X, 9780780349308 |
| Largo | 263 páginas |
| Exportar cita | BiBTeX EndNote RefMan |