Narrow search
Showing 1 - 10 of 4,696
Cover Image
Global portfolio diversification : risk management, market microstructure, and implementation issues
Aggarwal, Raj (contributor) - 1995
Persistent link: https://www.econbiz.de/10004247967
Cover Image
Strategische asset allocation in Lebensversicherungsunternehmen
Stephan, Thomas G. - 1995
Persistent link: https://www.econbiz.de/10004255480
Cover Image
Portefeuilleselektion unter Berücksichtigung des Anlagehorizonts
Lasch, Rainer; Hilbert, Andreas - 1996
Persistent link: https://www.econbiz.de/10004306421
Cover Image
Der Anlageentscheidungsprozess im internationalen Portfolio Management : die Theorie und die Praxis der Schweizer Banken
Lottenbach, Walter - 1995
Persistent link: https://www.econbiz.de/10004571124
Cover Image
t-Copula generation for control variates
Hörmann, Wolfgang; Sak, Halis - In: Mathematics and Computers in Simulation (MATCOM) 81 (2010) 4, pp. 782-790
The standard method for generating multi-t vectors is simple and convenient but it has the disadvantage that the generated multi-normal and multi-t vectors are not similar. For t-copula models this destroys much of the variance reduction when using the result of the multi-normal model as...
Persistent link: https://www.econbiz.de/10011050181
Cover Image
A Mata Geweke–Hajivassiliou–Keane multivariate normal simulator
Gates, Richard - In: Stata Journal 6 (2006) 2, pp. 190-213
An accurate and efficient numerical approximation of the multivariate normal (MVN) distribution function is necessary for obtaining maximum likeli- hood estimates for models involving the MVN distribution. Numerical integration through simulation (Monte Carlo) or number-theoretic (quasi-Monte...
Persistent link: https://www.econbiz.de/10004964303
Cover Image
Variance Reduction Techniques for Estimating Value-at-Risk
Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez - In: Management Science 46 (2000) 10, pp. 1349-1364
to guide the selection of effective variance reduction techniques;specifically importance sampling and stratified … sampling.If the approximation is exact, then the importance sampling is shown to be asymptotically optimal.Numerical results … indicate that an appropriate combination of importance sampling and stratified sampling can result in large variance reductions …
Persistent link: https://www.econbiz.de/10009209365
Cover Image
Path Generation for Quasi-Monte Carlo Simulation of Mortgage-Backed Securities
Åkesson, Fredrik; Lehoczky, John P. - In: Management Science 46 (2000) 9, pp. 1171-1187
Monte Carlo simulation is playing an increasingly important role in the pricing and hedging of complex, path dependent financial instruments. Low discrepancy simulation methods offer the potential to provide faster rates of convergence than those of standard Monte Carlo methods; however, in high...
Persistent link: https://www.econbiz.de/10009197898
Cover Image
Financial risk management : domestic and international dimensions
Jorion, Philippe; Khoury, Sarkis Joseph - 1996
Persistent link: https://www.econbiz.de/10004255259