34 search results - page 5 / 7 » Extremal financial risk models and portfolio evaluation |
UAI
2003
14 years 11 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...
IAT
2010
IEEE
14 years 7 months ago
2010
IEEE
-- In the area of financial decision making it is more and more acknowledged that psychological states and characteristics play an important role, for example feeling insecure in r...
FPL
2008
Springer
14 years 11 months ago
2008
Springer
In recent years the financial world has seen an increasing demand for faster risk simulations, driven by growth in client portfolios. Traditionally many financial models employ Mo...
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WSC
2000
14 years 11 months ago
2000
The calculation of value-at-risk (VAR) for large portfolios of complex instruments is among the most demanding and widespread computational challenges facing the financial industr...
CDC
2008
IEEE
15 years 4 months ago
2008
IEEE
This paper formulates and studies a general continuous-time behavioral portfolio selection model under Kahneman and Tversky's (cumulative) prospect theory, featuring S-shaped...