搜索结果: 1-2 共查到“货币银行学 return distributions”相关记录2条 . 查询时间(0.105 秒)
Monte Carlo Portfolio Optimization for General Investor Risk-Return Objectives and Arbitrary Return Distributions: a Solution for Long-only Portfolios
Portfolio Optimization Optimisation Random Portfolio Monte Carlo Simplex
2010/10/21
We develop the idea of using Monte Carlo sampling of random portfolios to solve portfolio investment problems. In this first paper we explore the need for more general optimization tools, and conside...
The tail risks of FX return distributions: a comparison of the returns associated with limit orders and market orders
limit orders market orders tail risks
2011/3/31
This paper measures and compares the tail risks of limit and market orders using Extreme Value Theory. The analysis examines realised tail outcomes using the Dealing 2000-2 electronic broking system b...