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UAI
2000
14 years 7 days ago
Compact Securities Markets for Pareto Optimal Reallocation of Risk
The securities market is the fundamental theoretical framework in economics and finance for resource allocation under uncertainty. Securities serve both to reallocate risk and to ...
David M. Pennock, Michael P. Wellman
GECCO
2008
Springer
119views Optimization» more  GECCO 2008»
13 years 12 months ago
GP age-layer and crossover effects in bid-offer spread prediction
The bid-offer spread on equity options is a key source of profits for market makers, and a key cost for those trading in the options. Spreads are influenced by dynamic market f...
Amy Willis, Suneer Patel, Christopher D. Clack
GECCO
2008
Springer
144views Optimization» more  GECCO 2008»
13 years 12 months ago
Multiobjective robustness for portfolio optimization in volatile environments
Multiobjective methods are ideal for evolving a set of portfolio optimisation solutions that span a range from highreturn/high-risk to low-return/low-risk, and an investor can cho...
Ghada Hassan, Christopher D. Clack
GECCO
2008
Springer
192views Optimization» more  GECCO 2008»
13 years 12 months ago
Non-linear factor model for asset selection using multi objective genetic programming
Investors vary with respect to their expected return and aversion to associated risk, and hence also vary in their performance expectations of the stock market portfolios they hol...
Ghada Hassan
CORR
2010
Springer
85views Education» more  CORR 2010»
13 years 11 months ago
The Motif Tracking Algorithm
: The search for patterns or motifs in data represents a problem area of key interest to finance and economic researchers. In this paper we introduce the Motif Tracking Algorithm, ...
William O. Wilson, Phil Birkin, Uwe Aickelin