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Volumn 3, Issue 3, 2001, Pages 54-65

Computational challenges in portfolio management

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0035336979     PISSN: 15219615     EISSN: None     Source Type: Journal    
DOI: 10.1109/5992.919267     Document Type: Article
Times cited : (19)

References (18)
  • 1
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    • Calibration and computation of household portfolio models
    • L. Guiso, M. Haliassos, and T. Japelli, eds., MIT Press, Cambridge, Mass.
    • M. Haliassos and A. Michaelides, "Calibration and Computation of Household Portfolio Models," Household Portfolios, L. Guiso, M. Haliassos, and T. Japelli, eds., MIT Press, Cambridge, Mass., 2000.
    • (2000) Household Portfolios
    • Haliassos, M.1    Michaelides, A.2
  • 2
    • 0039973207 scopus 로고    scopus 로고
    • Asset allocation and derivatives
    • Jan.
    • M. Haugh and A. Lo, "Asset Allocation and Derivatives," Quantitative Finance, vol. 1, no. 1, Jan. 2001, pp. 42-75.
    • (2001) Quantitative Finance , vol.1 , Issue.1 , pp. 42-75
    • Haugh, M.1    Lo, A.2
  • 7
    • 0000701590 scopus 로고
    • Capital market equilibrium with personal tax
    • May
    • G.M. Constantinides, "Capital Market Equilibrium with Personal Tax," Econometrica, vol. 51, no. 3, May 1983, pp. 611-636.
    • (1983) Econometrica , vol.51 , Issue.3 , pp. 611-636
    • Constantinides, G.M.1
  • 9
    • 84935322716 scopus 로고
    • Habit formation: A resolution of the equity premium puzzle
    • June
    • G.M. Constantinides, "Habit Formation: A Resolution of the Equity Premium Puzzle," J. Political Economy, vol. 98, no. 3, June 1990, pp. 519-543.
    • (1990) J. Political Economy , vol.98 , Issue.3 , pp. 519-543
    • Constantinides, G.M.1
  • 10
    • 0000900299 scopus 로고
    • An empirical investigation of asset pricing with temporally dependent preference specifications
    • May
    • J. Heaton, "An Empirical Investigation of Asset Pricing with Temporally Dependent Preference Specifications," Econometrica, vol. 63, no. 3, May 1995, pp. 681-717.
    • (1995) Econometrica , vol.63 , Issue.3 , pp. 681-717
    • Heaton, J.1
  • 12
    • 0035578679 scopus 로고    scopus 로고
    • Valuing american options by simulation: A simple least squares approach
    • to be published
    • F. Longstaff and E. Schwartz, "Valuing American Options by Simulation: A Simple Least Squares Approach," to be published in Rev. of Financial Studies.
    • Rev. of Financial Studies
    • Longstaff, F.1    Schwartz, E.2
  • 13
    • 0039973122 scopus 로고    scopus 로고
    • Temporal difference learning and applications in finance
    • Y.S. Abu-Mostafa et al., eds., MIT Press, Cambridge, Mass.
    • B. Van Roy, "Temporal Difference Learning and Applications in Finance," Computational Finance, Y.S. Abu-Mostafa et al., eds., MIT Press, Cambridge, Mass., 1999.
    • (1999) Computational Finance
    • Van Roy, B.1
  • 14
    • 0001164059 scopus 로고    scopus 로고
    • Performance functions and reinforcement learning for trading systems and portfolios
    • J. Moody et al., "Performance Functions and Reinforcement Learning for Trading Systems and Portfolios," J. Forecasting, vol. 17, 1998, pp. 441-470.
    • (1998) J. Forecasting , vol.17 , pp. 441-470
    • Moody, J.1
  • 16
    • 0004371686 scopus 로고    scopus 로고
    • Optimal asset allocation using adaptive dynamic programming
    • D. Touretzky, M. Mozer, and M. Hasselmo, eds., MIT Press, Cambridge, Mass.
    • R. Neuneier, "Optimal Asset Allocation Using Adaptive Dynamic Programming," Advances in Neural Information Processing Systems, D. Touretzky, M. Mozer, and M. Hasselmo, eds., MIT Press, Cambridge, Mass., 1996.
    • (1996) Advances in Neural Information Processing Systems
    • Neuneier, R.1


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