OR 2002 | Sciweavers

43

OR
2002
Springer

142views Operations Research» more OR 2002»

Copulae as a new tool in financial modelling

13 years 11 months ago

The paper presents an overview of financial applications of copulas. Copulas permit to represent joint distribution functions by splitting the marginal behavior, embedded in the ma...

Elisa Luciano, Marina Marena

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OR
2002
Springer

110views Operations Research» more OR 2002»

Sharpe style analysis in the msci sector portfolios: a monte carlo integration approach

13 years 11 months ago

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We examine a decision-theoretic Bayesian framework for the estimation of Sharpe Style portfolio weights of the MSCI sector returns. Following van Dijk and Kloek (1980) an appropri...

George A. Christodoulakis

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OR
2002
Springer

92views Operations Research» more OR 2002»

Multi-criteria decision making for broker agents in elearning environments

13 years 11 months ago