Search Results - subject:"Multivariate normal"

Foster-Hart optimization for currency portfolios

Kurosaki, Tetsuo; Kim, Young Shin - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 23 (2019) 2, pp. 1-15

Persistent link: https://www.econbiz.de/10012054888

On the multidimensional Black-Scholes partial differential equation

Guillaume, Tristan - In: Decision making and risk/return optimization in …, (pp. 229-251). 2019

Persistent link: https://www.econbiz.de/10012134802

Multivariate marked poisson processes and market related multidimensional information flows

Jevtić, Petar; Marena, Marina; Semeraro, Patrizia - In: International journal of theoretical and applied finance 22 (2019) 2, pp. 1-26

Persistent link: https://www.econbiz.de/10012013851

Discrimination and Classification of Poultry Feeds Data

Olosunde A.A.; Soyinka, A.T - In: International Journal of Mathematics Research 2 (2013) 5, pp. 37-44

This study is aimed at employing discriminant analysis method and classification for the purpose of achieving the assessment of a discriminant function through which we can discover the reasons of the actual difference between two groups of eggs of which the chicken were fed with different...

Persistent link: https://www.econbiz.de/10010769151

An efficient adaptive real coded genetic algorithm to solve the portfolio choice problem under cumulative prospect theory

Gong, Chao; Xu, Chunhui; Wang, Ji - In: Computational economics 52 (2018) 1, pp. 227-252

Persistent link: https://www.econbiz.de/10012052931

Pricing multivariate barrier reverse convertibles with factor-based subordinators

Marena, Marina; Romeo, Andrea; Semeraro, Patrizia - In: The journal of computational finance 21 (2017/2018) 5, pp. 97-129

Persistent link: https://www.econbiz.de/10011860940

General sum games with joint chance constraints

Peng, Shen; Vikas Vikram Singh; Lisser, Abdel - In: Operations research letters 46 (2018) 5, pp. 482-486

Persistent link: https://www.econbiz.de/10011936679

Modelling electricity swaps with stochastic forward premium models

Blanco, Iván; Peña Sánchez de Rivera, Juan Ignacio; … - In: The energy journal 39 (2018) 2, pp. 1-33

Persistent link: https://www.econbiz.de/10011825389

Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model

Kim, Young Shin; Giacometti, Rosella; Rachev, Svetlozar T. - 2012

In this paper, we propose a multivariate market model with returns assumed to follow a multivariate normal tempered … stable distribution. This distribution, defined by a mixture of the multivariate normal distribution and the tempered stable …

Persistent link: https://www.econbiz.de/10010310075

Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model

Kim, Young Shin; Giacometti, Rosella; Rachev, Svetlozar T. - Fakultät für Wirtschaftswissenschaften, Karlsruhe … - 2012

Persistent link: https://www.econbiz.de/10010954935