Optimizing Optimization: The Next Generation of Optimization Applications and Theory (Quantitative Finance)

124 Optimizing Optimization in equity returns; (2) the time evolution of factor f j (^) , (^) t and of errors e i (^) , (^) t , ...

Modeling, estimation, and optimization of equity portfolios with heavy-tailed distributions 125 where Fυi is the marginal distri ...

126 Optimizing Optimization 5.3.2 Generation of return scenarios Let us summarize the algorithm we propose to generate return sc ...

Modeling, estimation, and optimization of equity portfolios with heavy-tailed distributions 127 where usSˆ()jTs, 1 () 1  is t ...

128 Optimizing Optimization to estimate the parameters (ˆv,,μσγiiiiˆ ,ˆ) of each component. Then, an estimator of matrix Σ is gi ...

Modeling, estimation, and optimization of equity portfolios with heavy-tailed distributions 129 Table 5.4 Maximum likelihood est ...

130 Optimizing Optimization to generate a distribution with some given marginals and a given dependence structure.^18 Step 3. In ...

Modeling, estimation, and optimization of equity portfolios with heavy-tailed distributions 131 among n assets in the reward – r ...

132 Optimizing Optimization Rachev et al. (2008) and Stoyanov, Rachev, and Fabozzi (2007) have classified the computational comp ...

Modeling, estimation, and optimization of equity portfolios with heavy-tailed distributions 133 where the ETL is the expected ta ...

134 Optimizing Optimization This performance ratio was introduced to approximate the nonlinearity attitude to risk of decision m ...

Modeling, estimation, and optimization of equity portfolios with heavy-tailed distributions 135 given by Equation (5.9) and we c ...

136 Optimizing Optimization Step 3. The optimal portfolio xM()k is the new starting point for the ( k  1)th optimization proble ...

Modeling, estimation, and optimization of equity portfolios with heavy-tailed distributions 137 2000 2200 2400 2600 2800 3000 Re ...

138 Optimizing Optimization 1800 2000 2200 2400 2600 2800 3000 A B Realized wealth Sample paths of wealth Wealth (Optimized port ...

Modeling, estimation, and optimization of equity portfolios with heavy-tailed distributions 139 A 1800 2000 2200 2400 2600 2800 ...

140 Optimizing Optimization References Angelelli , E. , & Ortobelli , S. ( 2009 ). American and European portfolio selection ...

Modeling, estimation, and optimization of equity portfolios with heavy-tailed distributions 141 Rachev , S. T. , Mittnik , S. , ...

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© 2009 Elsevier Limited. All rights reserved. Doi:10.1016/B978-0-12-374952-9.00006-3. 2010 Staying ahead on downside risk Giulia ...