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672
Optimal robust meanvariance hedging in incomplete financial markets
 Journal of Mathematical Sciences
"... Abstract. Optimal Brobust estimate is constructed for multidimensional parameter in drift coefficient of diffusion type process with small noise. Optimal meanvariance robust (optimal Vrobust) trading strategy is find to hedge in meanvariance sense the contingent claim in incomplete financial mar ..."
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Cited by 3 (1 self)
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Abstract. Optimal Brobust estimate is constructed for multidimensional parameter in drift coefficient of diffusion type process with small noise. Optimal meanvariance robust (optimal Vrobust) trading strategy is find to hedge in meanvariance sense the contingent claim in incomplete financial
Optimal meanvariance robust hedging under asset price model misspecification
 Georgian Math. J
"... Abstract. The problem of constructing robust optimal in the meanvariance sense trading strategies is considered. The approach based on the notion of sensitivity of a risk functional of the problem w.r.t. small perturbation of asset price model parameters is suggested. The optimal meanvariance robu ..."
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Cited by 1 (1 self)
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Abstract. The problem of constructing robust optimal in the meanvariance sense trading strategies is considered. The approach based on the notion of sensitivity of a risk functional of the problem w.r.t. small perturbation of asset price model parameters is suggested. The optimal meanvariance
Maximum Likelihood Linear Transformations for HMMBased Speech Recognition
 COMPUTER SPEECH AND LANGUAGE
, 1998
"... This paper examines the application of linear transformations for speaker and environmental adaptation in an HMMbased speech recognition system. In particular, transformations that are trained in a maximum likelihood sense on adaptation data are investigated. Other than in the form of a simple bias ..."
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Cited by 570 (68 self)
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bias, strict linear featurespace transformations are inappropriate in this case. Hence, only modelbased linear transforms are considered. The paper compares the two possible forms of modelbased transforms: (i) unconstrained, where any combination of mean and variance transform may be used, and (ii
Optimal MeanVariance Portfolio Construction in Cointegrated Vector Autoregressive Systems
"... AbstractWe study the problem of optimal portfolio construction when the logprices follow a discretetime cointegrated vector autoregressive model. We follow the classical Markowitz meanvariance optimization approach, and derive expressions for the optimal portfolio weight vector over a single de ..."
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referred to as the beta portfolio. However, we show here that the optimal action in the meanvariance sense for a finite trading interval is to buy the portfolio with a component both in the beta direction and a component in the direction of expected change. Furthermore, we prove that the beta portfolio
How Useful are MeanVariance Considerations in Stock Trading via Feedback Control?
"... Abstract — In classical finance, when a stochastic investment outcome is characterized in terms of its mean and variance, it is implicitly understood that the underlying probability distribution is not heavily skewed. For example, in the “perfect” case when outcomes are normally distributed, meanva ..."
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lead to efficient (nondominated, Pareto optimal) controllers, in the meanvariance sense, we show that the same does not hold true when we use a returnrisk pair which incorporates more information about the probability distribution for gains and losses. To study the efficiency issue in an application
Common Persistence in Conditional Variances
 ECONOMETRIC REVIEWS
, 1993
"... Since the introduction of the autoregressive conditional heteroskedastic (ARCH) model in Engle (1982), numerous applications of this modeling strategy have already appeared. A common finding in many of these studies with high frequency financial or monetary data concerns the presence of an approxima ..."
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Cited by 347 (20 self)
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to the conditional variance are persistent, in the sense that they remain important for forecasts of all horizons. This idea is readily extended to a multivariate framework. Even though many time series may exhibit persistence in variance, it is likely that several different variables share the same common long
Journal of Real Estate Finance and Economics, 15: 2, 159±180 (1997) # 1997 Kluwer Academic Publishers Consumption and Investment Motives and the Portfolio Choices of Homeowners
"... This article investigates the portfolio choices of homeowners, taking into account the investment constraint introduced by Henderson and Ioannides (1983). This constraint requires housing investment by homeowners to be at least as large as housing consumption. It is shown that when the constraint is ..."
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is binding, the homeowner's optimal portfolio is ineffcient in a meanvariance sense. Thus, portfolio inef®ciency is not an indication that consumers are irrational or careless in their ®nancial decisions. Instead, inef®ciency can be seen as the result of a rational balancing of the consumption bene
London
"... This paper presents a novel multiobjective dynamic optimisation model of the portfolio selection problem, and introduces GENO—a commercial solver that may be used to solve the said model. A numerical example shows that GENO’s singlepoint solution is not only efficient in the meanvariance sense; i ..."
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This paper presents a novel multiobjective dynamic optimisation model of the portfolio selection problem, and introduces GENO—a commercial solver that may be used to solve the said model. A numerical example shows that GENO’s singlepoint solution is not only efficient in the meanvariance sense
Measurement in medicine: the analysis of method comparison studies. Statistician 32:307–317
, 1983
"... Summary: Methods of analysis used in the comparison of two methods of measurement are reviewed. The use of correlation, regression and the difference between means is criticized. A simple parametric approach is proposed based on analysis of variance and simple graphical methods. 1 The problem In med ..."
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Cited by 271 (2 self)
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Summary: Methods of analysis used in the comparison of two methods of measurement are reviewed. The use of correlation, regression and the difference between means is criticized. A simple parametric approach is proposed based on analysis of variance and simple graphical methods. 1 The problem
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"... In this paper we investigate whether specialist producers of Irish cereals were allocating land efficiently in a meanvariance sense during the 19932002 time period. We then expand the model to examine the potential implications on the land allocation decision of the 2002 EU Commission’s proposed m ..."
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In this paper we investigate whether specialist producers of Irish cereals were allocating land efficiently in a meanvariance sense during the 19932002 time period. We then expand the model to examine the potential implications on the land allocation decision of the 2002 EU Commission’s proposed
Results 1  10
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672