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STOC
2006
ACM
130views Algorithms» more  STOC 2006»
14 years 10 months ago
Online trading algorithms and robust option pricing
In this work we show how to use efficient online trading algorithms to price the current value of financial instruments, such as an option. We derive both upper and lower bounds f...
Peter DeMarzo, Ilan Kremer, Yishay Mansour
ACMICEC
2007
ACM
102views ECommerce» more  ACMICEC 2007»
14 years 1 months ago
Learning to trade with insider information
This paper introduces algorithms for learning how to trade using insider (superior) information in Kyle's model of financial markets. Prior results in finance theory relied o...
Sanmay Das
MP
2006
107views more  MP 2006»
13 years 9 months ago
Optimality conditions in portfolio analysis with general deviation measures
Optimality conditions are derived for problems of minimizing a general measure of deviation of a random variable, with special attention to situations where the random variable cou...
R. Tyrrell Rockafellar, Stan Uryasev, Michael Zaba...
AMC
2005
143views more  AMC 2005»
13 years 9 months ago
Investment with restricted stock and the value of information
In most public companies in China, there are two thirds of shares that cannot be traded freely in the secondary market. These illiquid shares, however, may be allowed to circulate...
Weixing Wu, Yongxiang Wang
KDD
2009
ACM
133views Data Mining» more  KDD 2009»
14 years 10 months ago
On the tradeoff between privacy and utility in data publishing
In data publishing, anonymization techniques such as generalization and bucketization have been designed to provide privacy protection. In the meanwhile, they reduce the utility o...
Tiancheng Li, Ninghui Li