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 ...
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...
— 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 ...
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 ...
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...