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 97
... optimization algorithms are gradient based , it is necessary to compute VJ1 and VJ2 . From ( 17 ) , we see that and thus al ' მ - -- and θα др ƏL p อ = - მ it suffices to compute and . These partial derivatives can be computed ...
... optimization algorithms are gradient based , it is necessary to compute VJ1 and VJ2 . From ( 17 ) , we see that and thus al ' მ - -- and θα др ƏL p อ = - მ it suffices to compute and . These partial derivatives can be computed ...
Página 254
... optimization with few constraints are equivalent to a linear combination of pair - wise strategies . The elements of the covariance matrix in the MV optimization are directly linked to the weights of individual pairs . This realization ...
... optimization with few constraints are equivalent to a linear combination of pair - wise strategies . The elements of the covariance matrix in the MV optimization are directly linked to the weights of individual pairs . This realization ...
Página 257
... optimization question . Keywords : Stochastic portfolio optimization , stochastic volatility , particle filtering , Monte - Carlo methods . 1 INTRODUCTION The celebrated Black - Scholes model for stock prices , which was introduced and ...
... optimization question . Keywords : Stochastic portfolio optimization , stochastic volatility , particle filtering , Monte - Carlo methods . 1 INTRODUCTION The celebrated Black - Scholes model for stock prices , which was introduced and ...
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