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 2
... lower left portion of the plot . The dashed line in the right hand plot is the classical 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 ...
... lower left portion of the plot . The dashed line in the right hand plot is the classical 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 ...
Página 33
... lower than that in the high signal case . The intuition is that the short sale prohibition does not affect the trading behavior of any informed trader when the signal is high , but does prevent some informed traders ' selling activities ...
... lower than that in the high signal case . The intuition is that the short sale prohibition does not affect the trading behavior of any informed trader when the signal is high , but does prevent some informed traders ' selling activities ...
Página 254
... lower it by increasing Hi , subject to μi ( t ) = [ 1,0 ] ; Vt . A ZIP seller raises its profit margin whenever Q was accepted and pi ( t ) ≤ q ( t ) . It lowers its margin only if it is still active and Q was an offer with p ; ( t ) ...
... lower it by increasing Hi , subject to μi ( t ) = [ 1,0 ] ; Vt . A ZIP seller raises its profit margin whenever Q was accepted and pi ( t ) ≤ q ( t ) . It lowers its margin only if it is still active and Q was an offer with p ; ( t ) ...
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 |
Derechos de autor | |
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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