164 search results - page 1 / 33 » A Linear Belief Function Approach to Portfolio Evaluation |
UAI
2003
13 years 6 months ago
2003
We show how to use linear belief functions to represent market information and financial knowledge, including complete ignorance, statistical observations, subjective speculations...
WSC
2004
13 years 6 months ago
2004
Credit risk analysis for portfolios containing CDO tranches is a challenging task for risk managers. We propose here a basis function approach for CDO tranche valuation and portfo...
IOR
2011
12 years 11 months ago
2011
We formulate a risk-averse two-stage stochastic linear programming problem in which unresolved uncertainty remains after the second stage. The objective function is formulated as ...
WSC
2007
13 years 7 months ago
2007
Recently developed dual techniques allow us to evaluate a given sub-optimal dynamic portfolio policy by using the policy to construct an upper bound on the optimal value function....
FSKD
2006
Springer
13 years 8 months ago
2006
Springer
Interval number is a kind of special fuzzy number and the interval approach is a good method to deal with some uncertainty. The semi-absolute deviation risk function is extended to...