Search Results - subject:"Nonlinear Decision Rules"

Recursive portfolio selection with decision trees

Andriyashin, Anton; Härdle, Wolfgang Karl; Timofeev, Roman - 2008

A great proportion of stock dynamics can be explained using publicly available information. The relationship between dynamics and public information may be of nonlinear character. In this paper we offer an approach to stock picking by employing so-called decision trees and applying them to XETRA...

Persistent link: https://www.econbiz.de/10010274142

Recursive Portfolio Selection with Decision Trees

Andriyashin, Anton; Härdle, Wolfgang; Timofeev, Roman - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008

12 Keywords: CART, decision trees in finance, nonlinear decision rules, asset management, portfolio optimisation 2 1 …

Persistent link: https://www.econbiz.de/10005652774

Stochastic Capital Depreciation and the Comovement of Hours and Productivity

Fischer, Andreas; Dueker, Michael J; Dittmar, Robert D - Royal Economic Society - RES - 2003

ensure that variation and not the level of the rate is driving the result. Markov switching implies nonlinear decision rules … nonlinear decision rules in a richer set of models with many more state variables than can be solved with grid …

Persistent link: https://www.econbiz.de/10005232492

Stochastic Capital Depreciation and the Comovement of Hours and Productivity

Dueker, Michael; Fischer, Andreas; Dittmar, Robert D. - 2002

rate is driving the result. Markov switching implies nonlinear decision rules in the dynamic stochastic general equilibrium …) projection method to nonlinear decision rules. This approach allows for nonlinear decision rules in a richer set of models with …

Persistent link: https://www.econbiz.de/10011430038

Stochastic capital depreciation and the comovement of hours and productivity

Dueker, Michael; Fischer, Andreas M.; Dittmar, Robert F. - 2002

Persistent link: https://www.econbiz.de/10011397846