34 search results - page 3 / 7 » Extremal financial risk models and portfolio evaluation |
FSS
2002
13 years 5 months ago
2002
The mean-variance methodology for the portfolio selection problem, originally proposed by Markowitz, has been one of the most important research fields in modern finance. In this ...
Lecture Notes
These notes cover several topics such as Mean-Variance Frontier, Index Models, Risk Measures, CAPM, Utility-Based Portfolio Choice, CAPM Extensions
Investment for the Long Run, Te...
CEC
2007
IEEE
14 years 4 days ago
2007
IEEE
— Hornby’s Age-Layered Population Structure claims to reduce premature convergence in Evolutionary Algorithms. We provide the first evaluation of ALPS on a realworld problem ...
EUSFLAT
2007
13 years 7 months ago
2007
The theory of copulas provides a useful tool for modeling dependence in risk management. In insurance and finance, as well as in other applications, dependence of extreme events ...
ICML
2010
IEEE
13 years 6 months ago
2010
IEEE
Predicting the "Value at Risk" of a portfolio of stocks is of great significance in quantitative finance. We introduce a new class models, "dynamical products of ex...