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 38
Página 251
... matrix is divided into four blocks , each of which is a NN matrix : Σ ,, is the covariance matrix of the actual returns ; E is the covariance matrix of the forecasts ; and Σ1 = ' fr are covariance matrices between the actual returns and ...
... matrix is divided into four blocks , each of which is a NN matrix : Σ ,, is the covariance matrix of the actual returns ; E is the covariance matrix of the forecasts ; and Σ1 = ' fr are covariance matrices between the actual returns and ...
Página 253
... matrix P ; the weights for pairs between risky assets and the risk - free asset equal the sum of respective rows in P. Since matrix P is derived from the covariance matrix S , it is possible to calculate the implied pair - wise weights ...
... matrix P ; the weights for pairs between risky assets and the risk - free asset equal the sum of respective rows in P. Since matrix P is derived from the covariance matrix S , it is possible to calculate the implied pair - wise weights ...
Página 254
... matrix [ 8 ] . In some cases , the increase in IR is quite impressive . In one case , we also show that a full covariance matrix leads to a negative weight for the best pair - wise strategy available and an inferior IR . This exposes ...
... matrix [ 8 ] . In some cases , the increase in IR is quite impressive . In one case , we also show that a full covariance matrix leads to a negative weight for the best pair - wise strategy available and an inferior IR . This exposes ...
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 | |
Otras 6 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
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