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 |
Dentro del libro
Resultados 1-3 de 11
Página 1
... optimal portfolio weights and the efficient frontier can be greatly influenced by a small fraction of outliers in the returns . This fact appears to have been largely overlooked in the finance literature on portfolio optimization . The ...
... optimal portfolio weights and the efficient frontier can be greatly influenced by a small fraction of outliers in the returns . This fact appears to have been largely overlooked in the finance literature on portfolio optimization . The ...
Página 138
... methods , in this example , used uniform grids . Furthermore because of the nature of the problem class ( i.e. , vanilla options in a Black & Scholes model ) all the variants of the multinomial class used optimal memory ( linear in 138.
... methods , in this example , used uniform grids . Furthermore because of the nature of the problem class ( i.e. , vanilla options in a Black & Scholes model ) all the variants of the multinomial class used optimal memory ( linear in 138.
Página 218
... optimal values for the parameter σ is not a matter of " experience " or hindsight , but can be done on the basis of topography measures which were developed for the SOM . In the present case , one measure ( the topographic product P [ 7 ] ...
... optimal values for the parameter σ is not a matter of " experience " or hindsight , but can be done on the basis of topography measures which were developed for the SOM . In the present case , one measure ( the topographic product P [ 7 ] ...
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 | |
Otras 9 secciones no mostradas
Otras ediciones - Ver todas
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