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 268
... strategies computed using the formulations in Tables 2 and 3. There are a number of studies dealing with the VaR strategy ( see [ 2 ] ) , but little is known about the PC strategy as discussed in [ 12 ] . Even in the case of VaR most ...
... strategies computed using the formulations in Tables 2 and 3. There are a number of studies dealing with the VaR strategy ( see [ 2 ] ) , but little is known about the PC strategy as discussed in [ 12 ] . Even in the case of VaR most ...
Página 407
... strategy extraction method us- ing genetic algorithm with several real security data in NAS- DAQ , including Microsoft , Intel , Oracle , Dell , etc. and com- pared this method with the benchmark methods of random walk , buy and hold ...
... strategy extraction method us- ing genetic algorithm with several real security data in NAS- DAQ , including Microsoft , Intel , Oracle , Dell , etc. and com- pared this method with the benchmark methods of random walk , buy and hold ...
Página 416
... Strategy Momentum ( Sector ) -50 5 10 Momentum Strategy 15 20 Standard Deviation ( % ) boom 25 30 Figure 11 : Risk - return properties in two subsamples . Table 4 : Risk - return properties of the mixed strategies com- pared to the ...
... Strategy Momentum ( Sector ) -50 5 10 Momentum Strategy 15 20 Standard Deviation ( % ) boom 25 30 Figure 11 : Risk - return properties in two subsamples . Table 4 : Risk - return properties of the mixed strategies com- pared to the ...
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