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 253
... weights used in the combination for pairs between different risky assets equal the negative of off diagonal elements of the matrix P ; the weights for pairs between risky assets and the risk - free asset equal the sum of respective rows ...
... weights used in the combination for pairs between different risky assets equal the negative of off diagonal elements of the matrix P ; the weights for pairs between risky assets and the risk - free asset equal the sum of respective rows ...
Página 254
... weights against other conventional choices , which include equal pair - wise weights and implied pair - wise weights by historical covariance matrix [ 8 ] . In some cases , the increase in IR is quite impressive . In one case , we also ...
... weights against other conventional choices , which include equal pair - wise weights and implied pair - wise weights by historical covariance matrix [ 8 ] . In some cases , the increase in IR is quite impressive . In one case , we also ...
Página 319
... weights apply to all the training data points , 1 = C - ASVM ESVM and Ec- ( ii ) When a → ∞ , then Lim n 0 i < C1 2. In this = n Ci≥ 2 case , the weights for the first half of the training data points are reduced to zero , and the ...
... weights apply to all the training data points , 1 = C - ASVM ESVM and Ec- ( ii ) When a → ∞ , then Lim n 0 i < C1 2. In this = n Ci≥ 2 case , the weights for the first half of the training data points are reduced to zero , and 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