62 search results - page 10 / 13 » Financial Portfolio Optimisation |
SIAMCO
2000
13 years 7 months ago
2000
In a financial market consisting of a nonrisky asset and a risky one, we study the minimal initial capital needed in order to superreplicate a given contingent claim under a gamma ...
CDC
2008
IEEE
14 years 1 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...
GECCO
2007
Springer
14 years 1 months ago
2007
Springer
Schulenburg [15] first proposed the idea to model different trader types by supplying different input information sets to a group of homogenous LCS agent. Gershoff [12] investigat...
COR
2007
13 years 7 months ago
2007
In this paper we apply a heuristic method based on artificial neural networks (NN) in order to trace out the efficient frontier associated to the portfolio selection problem. We...
ANOR
2006
13 years 7 months ago
2006
To solve a decision problem under uncertainty via stochastic programming means to choose or to build a suitable stochastic programming model taking into account the nature of the r...