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 139
... theory , macroeconomic fac- tors , white noise test , temporal factor analysis 1 INTRODUCTION An important milestone of modern financial modelling was laid down by Markowitz's 1952 landmark paper [ 7 ] in modern portfolio theory . In ...
... theory , macroeconomic fac- tors , white noise test , temporal factor analysis 1 INTRODUCTION An important milestone of modern financial modelling was laid down by Markowitz's 1952 landmark paper [ 7 ] in modern portfolio theory . In ...
Página 144
... theory . Journal of Finance , 35 : 1073- 1103 , 1980 . [ 11 ] R. Roll and S. Ross . The arbitrage pricing theory ap- proach to strategic portfolio planning . Financial Ana- lysts Journal , 40 : 14-26 , 1984 . [ 12 ] S. Ross . The ...
... theory . Journal of Finance , 35 : 1073- 1103 , 1980 . [ 11 ] R. Roll and S. Ross . The arbitrage pricing theory ap- proach to strategic portfolio planning . Financial Ana- lysts Journal , 40 : 14-26 , 1984 . [ 12 ] S. Ross . The ...
Página 182
... Theory , Vol I , Chap 8 , 1992a . [ 19 ] Wilson , R. Strategic Models of entry deterrence , Hand- book of Game Theory , Vol I , Chap 10 , 1992b . REFERENCES [ 1 ] Basel Committee Publication No.61 . Core Principles Methodology , October ...
... Theory , Vol I , Chap 8 , 1992a . [ 19 ] Wilson , R. Strategic Models of entry deterrence , Hand- book of Game Theory , Vol I , Chap 10 , 1992b . REFERENCES [ 1 ] Basel Committee Publication No.61 . Core Principles Methodology , October ...
Contenido
BANKRUPTCY PREDICTION WITH LEAST | 1 |
SIMPLE DECISION MAKING CRITERION AS REAL OPTIONS | 17 |
INCLUDING LIFETIME AND OPTIONS IN RESIDUAL INCOME INDICATORS | 31 |
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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
AANN agents American put American put options analysis applied approach approximation arbitrage barrier option Black-Scholes bond calculated call option coefficients computed convertible bond correlation covariance currency data points data set decision defined delta hedge denote derived distribution dynamics Econometrics Economics equation error estimated evaluation exchange rate Figure financial time series forecast formula function fuzzy genetic algorithm given Heston model Hong Kong hypothesis implied volatility indicators input interest rate Journal of Finance kernel kurtosis linear matrix method momentum moving average neural network nonlinear normal normal distribution observations option pricing p-value pair-wise paper parameters performance period portfolio prediction problem Programming put options random ratio regression reset returns risk sample sequences Sharpe Ratio simulation standard deviation statistical stochastic volatility stock price strike price support vector machines SVMs Table tion trading rules training data trend variables variance wavelets