34 search results - page 4 / 7 » Extremal financial risk models and portfolio evaluation |
IJAR
2008
14 years 9 months ago
2008
Using Shafer and Vovk's game-theoretic framework for probability, we derive a capital asset pricing model from an efficient market hypothesis, with no assumptions about the b...
HICSS
2007
IEEE
15 years 4 months ago
2007
IEEE
As information systems (IS) and technology solutions become increasingly service-driven, managers are faced with the task of choosing parameters such as service-levels, pricing, a...
ASAP
2007
IEEE
15 years 1 months ago
2007
IEEE
Monte-Carlo simulations are used in many applications, such as option pricing and portfolio evaluation. Due to their high computational load and intrinsic parallelism, they are id...
IOR
2010
14 years 6 months ago
2010
Reliable risk measurement is a key problem for financial institutions and regulatory authorities. The current industry standard Value-at-Risk has several deficiencies. Improved ri...
COR
2008
14 years 9 months ago
2008
We study the viability of different robust optimization approaches to multiperiod portfolio selection. Robust optimization models treat future asset returns as uncertain coefficie...