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 43
Página 41
... optimization model is then reevaluated using simulation analysis . From the simulation analysis , new expected parameters for each cash position category are derived , the optimization model re - run and the portfolio revised ...
... optimization model is then reevaluated using simulation analysis . From the simulation analysis , new expected parameters for each cash position category are derived , the optimization model re - run and the portfolio revised ...
Página 302
... Optimization of Portfolios 3.1 Portfolios : Continuous Quantities of Multiple Assets When the risk - free rate of return r is included in single risky - asset trading ... Optimizing Economic Utility The optimization of profit and wealth 302.
... Optimization of Portfolios 3.1 Portfolios : Continuous Quantities of Multiple Assets When the risk - free rate of return r is included in single risky - asset trading ... Optimizing Economic Utility The optimization of profit and wealth 302.
Página 304
... optimization , however , this constant factor can be ignored . 5.3 Differential Sharpe Ratios for On - Line Optimization η While both the running and moving Sharpe ratios can be used to optimize trading systems in batch or off - line ...
... optimization , however , this constant factor can be ignored . 5.3 Differential Sharpe Ratios for On - Line Optimization η While both the running and moving Sharpe ratios can be used to optimize trading systems in batch or off - line ...
Contenido
A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Genetic Regression | 1 |
Review Papers | 4 |
High Performance Algorithms for Latticebased Derivative Pricing Models W Li University | 7 |
Derechos de autor | |
Otras 16 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
A.M. Best abstract payoff analysis approximation autocorrelation average backpropagation barrier option Bermudan call and put coefficients companies components Computer data mining data set database decision delta-hedging denote derivative distribution dynamics equation error estimate evaluate example exchange rate expert filter financial time series forecasting foreign exchange market FOREIGN EXCHANGE OPTION fraudulent function future fuzzy G G G GARCH Gaussian Genetic Algorithms hedging implied volatility input Journal Kelvin transform kurtosis layer linear mathematical models mean measure method neural network nodes nonlinear operator optimization option pricing output parameters performance period polynomial portfolio prediction predictor price change problem profit put options ratio regression returns risk management sample SCINAPSE Sharpe ratio simulation skewness specific statistical stochastic strategy techniques template test set ticks time-scales training set transaction costs transform tree modeling trigonometric polynomial true price underlying validation set variables variance vector volatility wavelet zero