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 25
... problem with this approach is the subjective aspect of the prediction , which makes it difficult to make consistent estimates [ 2 ] . The other problem is that they tend to be reactive rather than predictive . In recent decades , more ...
... problem with this approach is the subjective aspect of the prediction , which makes it difficult to make consistent estimates [ 2 ] . The other problem is that they tend to be reactive rather than predictive . In recent decades , more ...
Página 258
... PROBLEM 2.1 Portfolio optimization with stochastic volatility We will work exclusively in a model in which the risk- free asset B is assumed to have a constant interest rate r : Bt = ert for all t≥ 0. Under the simplest SV model , the ...
... PROBLEM 2.1 Portfolio optimization with stochastic volatility We will work exclusively in a model in which the risk- free asset B is assumed to have a constant interest rate r : Bt = ert for all t≥ 0. Under the simplest SV model , the ...
Página 403
... problem of discovering good investment strate- gies to an optimization problem in combinatorics , which is solved with a genetic algorithm approach . Stock data from NASDAQ , including Microsoft , Intel , Oracle , and Dell are tested ...
... problem of discovering good investment strate- gies to an optimization problem in combinatorics , which is solved with a genetic algorithm approach . Stock data from NASDAQ , including Microsoft , Intel , Oracle , and Dell are tested ...
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