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
... mean estimates with a robust covariance matrix estimate and a robust mean vector estimate . To this end , we first briefly review modern high - breakdown point and bias - robust covariance matrix estimates , including the minimum volume ...
... mean estimates with a robust covariance matrix estimate and a robust mean vector estimate . To this end , we first briefly review modern high - breakdown point and bias - robust covariance matrix estimates , including the minimum volume ...
Página 87
... mean is negative . The mean change of catastrophe losses have recently jumped well above the consistent values over the longer periods . This indicates that 1989-1995 appears aberrantly high . Over the course of the modern sample period ...
... mean is negative . The mean change of catastrophe losses have recently jumped well above the consistent values over the longer periods . This indicates that 1989-1995 appears aberrantly high . Over the course of the modern sample period ...
Página 105
... mean , or Q , ( q ) = Q , ( q ; w ) = Q , ( 91 9 ; W1 ,, ) Σωφ ( 6 ) is selected as a synthesizing function . In this formula o is an arbitrary monotonically ... mean ) , or The weighted arithmetical mean is the most popular type of 105.
... mean , or Q , ( q ) = Q , ( q ; w ) = Q , ( 91 9 ; W1 ,, ) Σωφ ( 6 ) is selected as a synthesizing function . In this formula o is an arbitrary monotonically ... mean ) , or The weighted arithmetical mean is the most popular type of 105.
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