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This paper proposes validation using simulation based indirect estimation. It uses typical characteristic moments of … financial market data to assess the similarity of simulation outcomes. …
Persistent link: https://www.econbiz.de/10009138391
estimation approach, e.g., for agent based microsimulation models or complex multifractal models, simulation based estimators …
Persistent link: https://www.econbiz.de/10003548061
This paper proposes validation using simulation based indirect estimation. It uses typical characteristic moments of … financial market data to assess the similarity of simulation outcomes. …
Persistent link: https://www.econbiz.de/10005844975
estimation approach, e.g., for agent basedmicrosimulationmodels or complex multifractal models, simulation based estimators might …
Persistent link: https://www.econbiz.de/10005816511
estimation approach, e.g., for agent based microsimulation models or multifractal models, simulation based estimators might …
Persistent link: https://www.econbiz.de/10005132583
Persistent link: https://www.econbiz.de/10005345482
simulation of this behaviour and the resulting interaction of individuals provide a description of aggregate financial market …, methods for explicit validation are required. This paper proposes validation using simulation based indirect estimation. It … uses typical characteristic moments of financial market data to assess the similarity of simulation outcomes. Furthermore …
Persistent link: https://www.econbiz.de/10012741535
The paper shows how a particular optimization heuristic, called threshold accepting, can be successfully used to solve complex portfolio choice problems.
Persistent link: https://www.econbiz.de/10005843226
Constraints on downside risk, measured by shortfall probability, expected shortfall, semi-variance etc., lead to optimal asset allocations which differ from the meanvariance optimum. The resulting optimization problem can become quite complex as it exhibits multiple local extrema and...
Persistent link: https://www.econbiz.de/10005612058
In this paper we investigate the performance of the threshold accepting heuristic for the index tracking problem. The index tracking problem consists in minimizing the tracking error between a portfolio and a benchmark. The objective is to replicate the performance of a given index upon the...
Persistent link: https://www.econbiz.de/10005706724