62 search results - page 6 / 13 » Financial Portfolio Optimisation |
HICSS
2003
IEEE
14 years 22 days ago
2003
IEEE
As financial markets are volatile and rapidly changing, preciseness and agility in price evaluation and risk assessment in the portfolios are more important and decision support s...
ICML
2010
IEEE
13 years 8 months ago
2010
IEEE
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...
COR
2008
13 years 7 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...
EOR
2010
13 years 7 months ago
2010
We consider the problem of accurately measuring the credit risk of a portfolio consisting of loans, bonds and other financial assets. One particular performance measure of interes...
ICML
2006
IEEE
14 years 8 months ago
2006
IEEE
We experimentally study on-line investment algorithms first proposed by Agarwal and Hazan and extended by Hazan et al. which achieve almost the same wealth as the best constant-re...