Search Results - subject:"ROM simulation"

Targeting Kollo skewness with random orthogonal matrix simulation

Alexander, Carol; Meng, Xiaochun; Wei, Wei - In: European journal of operational research : EJOR 299 (2022) 1, pp. 362-376

Persistent link: https://www.econbiz.de/10013206991

Random orthogonal matrix simulation with exact means, covariances, and multivariate skewness

Hanke, Michael; Penev, Spiridon; Schief, Wolfgang; … - In: European journal of operational research : EJOR 263 (2017) 2, pp. 510-523

Persistent link: https://www.econbiz.de/10011793970

No-Arbitrage ROM simulation

Geyer, Alois; Hanke, Michael; Weissensteiner, Alex - In: Journal of Economic Dynamics and Control 45 (2014) C, pp. 66-79

Ledermann et al. (2011) propose random orthogonal matrix (ROM) simulation for generating multivariate samples matching … expected excess returns to be used in the context of ROM simulation, and we establish the theoretical relation between the …-Arbitrage ROM simulation algorithm, which generates arbitrage-free random samples by purposefully rotating a simplex. Hence, the …

Persistent link: https://www.econbiz.de/10011051879

No-Arbitrage ROM simulation

Geyer, Alois; Hanke, Michael; Weissensteiner, Alex - In: Journal of economic dynamics & control 45 (2014), pp. 66-79

Persistent link: https://www.econbiz.de/10010474462