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Two instruments with means 0.2 , 0.1 , standard deviations 0.05 , 0.1 and correlation 0.9 A risk free rate of 0.04 is assumed ... covariance and mean estimates with a robust covariance matrix estimate and a robust mean vector estimate .
Two instruments with means 0.2 , 0.1 , standard deviations 0.05 , 0.1 and correlation 0.9 A risk free rate of 0.04 is assumed ... covariance and mean estimates with a robust covariance matrix estimate and a robust mean vector estimate .
Página 87
standard normal Box - Muller sequences do not post values above one when mean is negative . The mean change of catastrophe losses have recently jumped well above the consistent values over the longer periods .
standard normal Box - Muller sequences do not post values above one when mean is negative . The mean change of catastrophe losses have recently jumped well above the consistent values over the longer periods .
Página 105
Normally , a modification of the generalized weighted 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 increasing continuous ...
Normally , a modification of the generalized weighted 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 increasing continuous ...
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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
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 h₁ implied increases independent indicates industry Influence function 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 structure Table techniques term trade uninformed University V₁ variables variance vector volatility volume weighted
Información bibliográfica
| Título | Proceedings of the IEEE/IAFE 1995 Computational Intelligence for Financial Engineering (CIFEr): April 9-11, 1995, New York City, Crowne Plaza Manhattan |
| Colaboradores | IEEE Computer Society, IEEE Neural Networks Council, International Association of Financial Engineers |
| Editor | IEEE Service Center, 1995 |
| Procedencia del original | Universidad de Michigan |
| Digitalizado | 10 Ene. 2008 |
| ISBN | 0780321464, 9780780321465 |
| Largo | 192 páginas |
| Exportar cita | BiBTeX EndNote RefMan |