標(biāo)題: Titlebook: Computational Methods in Decision-Making, Economics and Finance; Erricos John Kontoghiorghes,Berc Rustem,Stavros Si Book 2002 Springer Sci [打印本頁] 作者: Ensign 時(shí)間: 2025-3-21 16:21
書目名稱Computational Methods in Decision-Making, Economics and Finance影響因子(影響力)
書目名稱Computational Methods in Decision-Making, Economics and Finance影響因子(影響力)學(xué)科排名
書目名稱Computational Methods in Decision-Making, Economics and Finance網(wǎng)絡(luò)公開度
書目名稱Computational Methods in Decision-Making, Economics and Finance網(wǎng)絡(luò)公開度學(xué)科排名
書目名稱Computational Methods in Decision-Making, Economics and Finance被引頻次
書目名稱Computational Methods in Decision-Making, Economics and Finance被引頻次學(xué)科排名
書目名稱Computational Methods in Decision-Making, Economics and Finance年度引用
書目名稱Computational Methods in Decision-Making, Economics and Finance年度引用學(xué)科排名
書目名稱Computational Methods in Decision-Making, Economics and Finance讀者反饋
書目名稱Computational Methods in Decision-Making, Economics and Finance讀者反饋學(xué)科排名
作者: Banister 時(shí)間: 2025-3-22 00:12
Substrate Noise Coupling in RFICsing Procedure, which has been developed as a heuristic for fixed-charge network flow problems. The performance of the heuristic is tested by comparing to the optimal solution to the scenario-problem, as well as to a lowerbound on the true optimal costs.作者: MILK 時(shí)間: 2025-3-22 01:50
Substrate Noise Coupling in RFICs only allowed to change his portfolio one period . in advance. An expansion in powers of . is developed for the delay effect, and this is confirmed by numerical calculations: the asymptotics derived prove to be very good.作者: Atrium 時(shí)間: 2025-3-22 07:01
Basic Proof Systems for Substructural Logicsscalar-valued functions with either divided differences or symbolic differentiation grows linearly with the number of variables, whereas the so-called reverse mode of AD can compute such gradients at constant cost.作者: FRONT 時(shí)間: 2025-3-22 12:36 作者: 猛擊 時(shí)間: 2025-3-22 13:44 作者: 猛擊 時(shí)間: 2025-3-22 19:39 作者: Accolade 時(shí)間: 2025-3-23 00:56 作者: 有罪 時(shí)間: 2025-3-23 02:47
Impact of Substracte on Performance,e portfolio must be re-revised in the face of transaction and market impact costs. The re-balancing problem is posed as a generalized network with side conditions. We develop a specialized algorithm for solving the resulting problem. A real-world pension example illustrates the concepts.作者: remission 時(shí)間: 2025-3-23 08:38
https://doi.org/10.1007/b100751ization scheme for multistage optimization problems. The model was tested against constant-mix strategies and against some widely-used heuristics with historical data from 1989–1999. The results show that stochastic optimization models are both profitable and generally applicable in short-term financial decision problems of a firm.作者: 挑剔小責(zé) 時(shí)間: 2025-3-23 10:37 作者: Accessible 時(shí)間: 2025-3-23 17:36
https://doi.org/10.1007/b100751 in the portfolio are introduced. In such situations classical optimization methods fail to work efficiently and heuristic optimization techniques can be the only way out. This contribution shows how a particular optimization heuristic, called threshold accepting, can be successfully used to solve complex portfolio choice problems.作者: Compass 時(shí)間: 2025-3-23 19:24 作者: 撫育 時(shí)間: 2025-3-24 01:45 作者: 蛙鳴聲 時(shí)間: 2025-3-24 05:54 作者: Entreaty 時(shí)間: 2025-3-24 08:12 作者: Glucose 時(shí)間: 2025-3-24 14:13 作者: fluffy 時(shí)間: 2025-3-24 18:41 作者: 門窗的側(cè)柱 時(shí)間: 2025-3-24 19:18
https://doi.org/10.1007/b100751els of a preference for robustness. For these cases, recent results by Trojani and Vanini can be used to obtain a perturbative solution to the Bellman equation of the relevant benchmark model and to give some formal conditions under which the perturbative solution converges to the correct one.作者: indigenous 時(shí)間: 2025-3-25 00:22 作者: 領(lǐng)導(dǎo)權(quán) 時(shí)間: 2025-3-25 06:57 作者: Ringworm 時(shí)間: 2025-3-25 07:30
Basic Proof Systems for Substructural Logicse. In this paper we use Monte Carlo procedure to value barrier options based on the Chan, Karolyi, Longstaff and Sanders interest rate process. By performing simulations with and without including the recently suggested Sharp Large Deviations, we show that standard Monte Carlo procedure substantially misprices barrier options.作者: BALK 時(shí)間: 2025-3-25 15:13
Multistage Stochastic Programming in Computational Finance quadratic stochastic program, respectively; solution of many almost identical quadratic stochastic programs yields points describing the Markowitz efficient frontier. Computational results and backtesting are presented on a number of models, simulated and real.作者: ANA 時(shí)間: 2025-3-25 16:55
Interest Rate Barrier Optionse. In this paper we use Monte Carlo procedure to value barrier options based on the Chan, Karolyi, Longstaff and Sanders interest rate process. By performing simulations with and without including the recently suggested Sharp Large Deviations, we show that standard Monte Carlo procedure substantially misprices barrier options.作者: 剝皮 時(shí)間: 2025-3-25 22:49 作者: 滋養(yǎng) 時(shí)間: 2025-3-26 01:56 作者: 顯赫的人 時(shí)間: 2025-3-26 05:32
Simulations for Hedging Financial Contracts with Optimal Decisionse hedging of these contracts. In particular, we present results for the heuristic use of the reset feature; for example, locking in whenever the underlying asset value has risen by 15% as recently suggested by a Canadian Institute of Actuaries task force on segregated funds.作者: Morphine 時(shí)間: 2025-3-26 12:30 作者: wall-stress 時(shí)間: 2025-3-26 12:59 作者: expire 時(shí)間: 2025-3-26 17:27 作者: 我沒有命令 時(shí)間: 2025-3-26 22:37 作者: 槍支 時(shí)間: 2025-3-27 01:36
https://doi.org/10.1007/978-94-017-3179-9e hedging of these contracts. In particular, we present results for the heuristic use of the reset feature; for example, locking in whenever the underlying asset value has risen by 15% as recently suggested by a Canadian Institute of Actuaries task force on segregated funds.作者: 尊嚴(yán) 時(shí)間: 2025-3-27 07:54 作者: Malleable 時(shí)間: 2025-3-27 12:30
Multistage Stochastic Programming in Computational Financeario tree. The mean or variance of total wealth at the end of the planning horizon can be optimised by solving either a linear stochastic program or a quadratic stochastic program, respectively; solution of many almost identical quadratic stochastic programs yields points describing the Markowitz ef作者: CT-angiography 時(shí)間: 2025-3-27 17:21 作者: 逗留 時(shí)間: 2025-3-27 20:42
Scenario Specification for Robust Portfolio Analysislysis, or min-max. Robustness is ensured by considering the the optimal strategy in view of multiple scenarios generated and evaluating the portfolio corresponding to the best performance, simultaneously with the worst-case scenario. The robust property follows from the fact that the resulting strat作者: Vasodilation 時(shí)間: 2025-3-28 00:09 作者: uveitis 時(shí)間: 2025-3-28 03:07 作者: Parallel 時(shí)間: 2025-3-28 08:27
Maxmin Portfolios in Models Where Immunization is Not Feasibleunization by analyzing and computing maxmin portfolios in models where complete immunization is not feasible. These models are important because they permit many different shifts on interest rates and do not lead to the existence of arbitrage. Maxmin portfolios are characterized by saddle point cond作者: SUGAR 時(shí)間: 2025-3-28 12:32 作者: preservative 時(shí)間: 2025-3-28 17:38 作者: Immunotherapy 時(shí)間: 2025-3-28 22:44 作者: 埋伏 時(shí)間: 2025-3-29 00:36 作者: 咆哮 時(shí)間: 2025-3-29 04:37 作者: Flagging 時(shí)間: 2025-3-29 09:44
Simulations for Hedging Financial Contracts with Optimal Decisionsor financial contracts with embedded optimization features. As a case study, we provide simulations of mutual fund guarantees offering a reset provision. In Canada, these types of contracts are known as segregated funds. The optimization component of these contracts allows the holder to lock in mark作者: CLOT 時(shí)間: 2025-3-29 12:13
Automatic Differentiation for Computational Finance. The basic principles of AD and some available tools implementing this technology are reviewed. AD is superior to divided differences because AD-generated derivative values are free of approximation errors, and superior to symbolic differentiation because code of very high complexity can be handled作者: Camouflage 時(shí)間: 2025-3-29 18:46
Interest Rate Barrier Optionsegies. Thus far valuation approaches have largely focused on equity barrier options, where in certain instances analytical expressions may be available. In this paper we use Monte Carlo procedure to value barrier options based on the Chan, Karolyi, Longstaff and Sanders interest rate process. By per作者: Nebulous 時(shí)間: 2025-3-29 22:04
Pricing American Put Options by Fast Solutions of the Linear Complementarity Problemr, the state of the art methods that solve LCP converge slowly. Recently, Dempster, Hutton & Richards have proposed a Linear Program (LP) formulation of the American put and a special simplex algorithm that exploits the option structure. They give numerical examples with run times which grow almost 作者: neoplasm 時(shí)間: 2025-3-30 00:57 作者: 旅行路線 時(shí)間: 2025-3-30 07:24 作者: figment 時(shí)間: 2025-3-30 11:33 作者: HARP 時(shí)間: 2025-3-30 12:41
https://doi.org/10.1007/978-1-4757-3613-7Monte Carlo Simulation; Simulation; Stochastic Optimization; Stochastic Programming; algorithms; calculus作者: Acclaim 時(shí)間: 2025-3-30 17:28 作者: Working-Memory 時(shí)間: 2025-3-30 20:57 作者: Vldl379 時(shí)間: 2025-3-31 03:58
Impact of Substracte on Performance,ario tree. The mean or variance of total wealth at the end of the planning horizon can be optimised by solving either a linear stochastic program or a quadratic stochastic program, respectively; solution of many almost identical quadratic stochastic programs yields points describing the Markowitz ef作者: 違法事實(shí) 時(shí)間: 2025-3-31 08:09
https://doi.org/10.1007/b100751 at some discrete points of time. The uncertain evolution of future cashflows and of the capital markets is modeled with stochastic processes which have to be discretized in order to formulate a deterministic equivalent. We use the barycentric approximation which has proved to be a promising discret作者: Innovative 時(shí)間: 2025-3-31 12:11
Impact of Substracte on Performance,lysis, or min-max. Robustness is ensured by considering the the optimal strategy in view of multiple scenarios generated and evaluating the portfolio corresponding to the best performance, simultaneously with the worst-case scenario. The robust property follows from the fact that the resulting strat作者: 木質(zhì) 時(shí)間: 2025-3-31 15:19
Impact of Substracte on Performance,timization problem. We consider different forms of calculating the mean and semivariance of the tracking error. It is desired to minimize an objective function defined as a convex combination of the risk function minus the expected return of the tracking error.作者: 全國性 時(shí)間: 2025-3-31 19:42
