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Analyse des Risikos bei "Emerging markets": Investments durch Simulation des Portfolio Management-Prozesses
Poddig, Thorsten; Dichtl, Hubert - In: Datamining und computational finance : Ergebnisse des …, (pp. 171-202). 2000
Persistent link: https://www.econbiz.de/10001484309
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A mathematical analysis of technical analysis
Lorig, Matthew; Zhou, Zhou; Zou, Bin - In: Applied mathematical finance 26 (2019) 1, pp. 38-68
Persistent link: https://www.econbiz.de/10012210259
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Lasso-based simulation for high-dimensional multi-period portfolio optimization
Li, Zhongyu; Tsang, Ka Ho; Wong, Hoi Ying - In: IMA journal of management mathematics 31 (2020) 3, pp. 257-280
Persistent link: https://www.econbiz.de/10012258670
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Application of machine learning in quantitative investment strategies on global stock markets
Grudniewicz, Jan; Ślepaczuk, Robert - 2021
Persistent link: https://www.econbiz.de/10012816704
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Application of machine learning in algorithmic investment strategies on global stock markets
Grudniewicz, Jan; Ślepaczuk, Robert - In: Research in international business and finance 66 (2023), pp. 1-24
Persistent link: https://www.econbiz.de/10014463386
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The value premium and uncertainty : an approach by support vector regression algorithm
Bui Thanh Khoa; Tran Trong Huynh - In: Cogent economics & finance 11 (2023) 1, pp. 1-15
crises. This study aimed to build the uncertainty index and control it in the regression analysis model to solve the …
Persistent link: https://www.econbiz.de/10014500739
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Simulating risk contributions of credit portfolios
Liu, Guangwu - In: Operations research 63 (2015) 1, pp. 104-121
Persistent link: https://www.econbiz.de/10010519509
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Simulating the market coefficient of relative risk aversion
Azar, Samih Antoine; Karaguezian-Haddad, Vera - In: Cogent economics & finance 2 (2014) 1, pp. 1-7
In this paper, expected utility, defined by a Taylor series expansion around expected wealth, is maximized. The coefficient of relative risk aversion (CRRA) that is commensurate with a 100% investment in the risky asset is simulated. The following parameters are varied: the riskless return, the...
Persistent link: https://www.econbiz.de/10010490408
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Combining a matheuristic with simulation for risk management of stochastic assets and liabilities
Bayliss, Christopher; Serra, Marti; Nieto, Armando; … - In: Risks : open access journal 8 (2020) 4/131, pp. 1-14
Specially in the case of scenarios under uncertainty, the efficient management of risk when matching assets and … maximises the overall benefit over a time horizon. To solve this stochastic optimisation problem, a simulation …-Carlo simulation is employed to estimate the risk of failing to pay due liabilities. The simulation results allow us to set a safety …
Persistent link: https://www.econbiz.de/10012391566