RSS
- You are here:
- Research Repository UCD
- >
- Institutes and Centres
- >
- Financial Mathematics Computation Cluster
- >
- Browsing Financial Mathematics Computation Cluster by Title
JavaScript is disabled for your browser. Some features of this site may not work without it.
Browsing Financial Mathematics Computation Cluster by Title
Now showing items 27-33 of 33
-
(IEEE Press, 2010-07)Asset allocation is critical for the portfolio management process. In this paper, we solve a dynamic asset allocation problem through a multiperiod stochastic programming model. The objective is to maximise the expected ...
-
(IEEE Press, 2010-07)A significant problem in the area of stock selection is that of identifying the factors that affect a security’s return. While modern portfolio theory suggests a linear multi-factor model in the form of Arbitrage Pricing ...
-
(Springer, 2011)This chapter explores the issue of overfitting in grammar-based Genetic Programming. Tools such as Genetic Programming are well suited to problems in finance where we seek to learn or induce a model from data. Models that ...
-
(2009)Risk aversion is a key element of utility maximizing hedge strategies; however, it has typically been assigned an arbitrary value in the literature. This paper instead applies a GARCH-in-Mean (GARCH-M) model to estimate a ...
-
(Cambridge Journals, 2010-06)This paper proposes the use of wavelet methods to estimate U.S. core inflation. It explains wavelet methods and suggests they are ideally suited to this task. Comparisons are made with traditional CPI-based and regression-based ...
-
(University College Dublin. School of Business. Centre for Financial Markets, 2006-09-10)This paper proposes the use of wavelet methods to estimate U.S. core inflation. It explains wavelet methods and suggests they are ideally suited to this task. Comparisons are made with traditional CPI-based and regression-based ...
-
(Elsevier, 2011-07-27)A key issue in the estimation of energy hedges is the hedgers’ attitude towards risk which is encapsulated in the form of the hedgers’ utility function. However, the literature typically uses only one form of utility ...
Now showing items 27-33 of 33