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 250
... asset . The alpha for time period t is given by between two foreign currencies , and active equity and fixed - income strategies between two sectors . The conventional time series approach is to construct models for individual risky assets ...
... asset . The alpha for time period t is given by between two foreign currencies , and active equity and fixed - income strategies between two sectors . The conventional time series approach is to construct models for individual risky assets ...
Página 251
... asset participates in the investment strategy and consequently the investment process allows net long or net short exposures . In the second case ( Case B ) , the risk - free asset is not part of the process and the active portfolio is ...
... asset participates in the investment strategy and consequently the investment process allows net long or net short exposures . In the second case ( Case B ) , the risk - free asset is not part of the process and the active portfolio is ...
Página 253
... asset as asset 0 , with foo = 0. Then ( 22 ) can be succinctly rewritten as N 저울 이 α , = λ - 1 Σ P1 ( fi − ƒj 》 r ; − r ; ) . i , j = 0 i < j Pij ( 23 ) Since we have N + 1 assets ( N risky and one risk - free ) , the sum thus has ...
... asset as asset 0 , with foo = 0. Then ( 22 ) can be succinctly rewritten as N 저울 이 α , = λ - 1 Σ P1 ( fi − ƒj 》 r ; − r ; ) . i , j = 0 i < j Pij ( 23 ) Since we have N + 1 assets ( N risky and one risk - free ) , the sum thus has ...
Contenido
BANKRUPTCY PREDICTION WITH LEAST | 1 |
SIMPLE DECISION MAKING CRITERION AS REAL OPTIONS | 17 |
INCLUDING LIFETIME AND OPTIONS IN RESIDUAL INCOME INDICATORS | 31 |
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
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