30 search results - page 5 / 6 » Robust estimation in Capital Asset Pricing Model |
SMA
2010
ACM
13 years 15 days ago
2010
ACM
Abstract Nonparametric correlation estimators as the Kendall and Spearman correlation are widely used in the applied sciences. They are often said to be robust, in the sense of bei...
EVOW
2008
Springer
13 years 7 months ago
2008
Springer
The Bacterial Foraging Optimization (BFO) algorithm is a biologically inspired computation technique which is based on mimicking the foraging behavior of E.coli bacteria. This pape...
ANOR
2007
13 years 5 months ago
2007
The quality of multi-stage stochastic optimization models as they appear in asset liability management, energy planning, transportation, supply chain management, and other applicat...
IOR
2006
13 years 5 months ago
2006
The stochastic differential equations for affine jump diffusion models do not yield exact solutions that can be directly simulated. Discretization methods can be used for simulati...
IOR
2006
13 years 5 months ago
2006
The paper considers robust optimization to cope with uncertainty about the stock return process in one period option hedging problems. The robust approach relates portfolio choice ...