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内部出版物
Wiley电子期刊(1)
SpringerLink电子期刊(16)
Elsevier电子期刊(35)
在“
Elsevier电子期刊
”中,
命中:
35
条,耗时:小于0.01 秒
在所有数据库中总计命中:
52
条
1.
Trade the tweet: Social media text mining and sparse matrix factorization for stock market prediction
作者:
Andrew Sun
a
;
a
j
sun12@gmail.com
;
Michael Lachanski
b
;
msl@g.ecc.u-tokyo.ac.
j
p
;
Frank
J
.
Fabozzi
c
;
fabozzi
321@aol.com
关键词:
Tweets
;
Social media text mining
;
Sparse matrix factorization
;
Stock market prediction
刊名:International Review of Financial Analysis
出版年:2016
2.
Hedge fund allocation: Evaluating parametric and nonparametric forecasts using alternative portfolio construction techniques
作者:
Mohan Subbiah
a
;
mohansubbiah888@gmail.com" class="auth_mail" title="E-mail the corresponding author
;
Frank
J
.
Fabozzi
a
;
b
;
fabozzi
321@aol.com" class="auth_mail" title="E-mail the corresponding author
关键词:
Hedge fund allocation
;
Hedge funds
;
Funds of hedge funds
刊名:International Review of Financial Analysis
出版年:2016
3.
A new approach to statistical arbitrage: Strategies based on dynamic factor models of prices and their performance
作者:
Sergio M. Focardi
a
;
b
;
Frank
J
.
Fabozzi
c
;
fabozzi
321@aol.com" class="auth_mail" title="E-mail the corresponding author
;
Ivan K. Mitov
d
关键词:
G11
;
G12
;
G17
刊名:
J
ournal of Banking & Finance
出版年:2016
4.
An improved method for pricing and hedging long dated American options
作者:
Frank
J
.
Fabozzi
;
a
;
frank
.
fabozzi
@edhec.edu" class="auth_mail" title="E-mail the corresponding author
;
fabozzi
321@aol.com" class="auth_mail" title="E-mail the corresponding author
;
Tommaso Paletta
b
;
Silvia Stanescu
b
;
Radu Tunaru
b
关键词:
American options
;
Optimal exercise price
;
Quasi-analytic method
;
Delta-hedging
;
LEAPS
刊名:European
J
ournal of Operational Research
出版年:2016
5.
Option pricing under stochastic volatility and tempered stable L茅vy
j
umps
作者:
Tsvetelin S. Zaevski
;
Young Shin Kim
;
Frank
J
.
Fabozzi
关键词:
C13
;
G12
;
G13
刊名:International Review of Financial Analysis
出版年:
J
anuary, 2014
6.
60 Years of portfolio optimization: Practical challenges and current trends
作者:
Petter N. Kolm
;
Reha T眉t眉nc眉
;
Frank
J
.
Fabozzi
关键词:
Black&ndash
;
Litterman
;
Estimation errors
;
Mean&ndash
;
variance optimization
;
Multi-period optimization
;
Portfolio constraints
;
Portfolio optimization
刊名:European
J
ournal of Operational Research
出版年:16 April, 2014
7.
Robust portfolios that do not tilt factor exposure
作者:
Woo Chang Kim
;
Min
J
eong Kim
;
J
ang Ho Kim
;
Frank
J
.
Fabozzi
关键词:
Investment analysis
;
Robust portfolio model
;
Robustness analysis
;
Fundamental factors
刊名:European
J
ournal of Operational Research
出版年:16 April, 2014
8.
Controlling portfolio skewness and kurtosis without directly optimizing third and fourth moments
作者:
Woo Chang Kim
;
Frank
J
.
Fabozzi
;
Patrick Cheridito
;
Charles Fox
关键词:
G11
;
C61
;
C63
;
C65
刊名:Economics Letters
出版年:February, 2014
9.
Extracting market information from equity options with exponential L茅vy processes
作者:
Frank
J
.
Fabozzi
;
Arturo Leccadito
;
Radu S. Tunaru
关键词:
C15
;
C52
;
C54
;
G15
刊名:
J
ournal of Economic Dynamics and Control
出版年:
J
anuary, 2014
10.
Preface to the Special Issue: 60 years following Harry Markowitz鈥檚 contributions in portfolio theory and operations research
作者:
Constantin Zopounidis
;
Michael Doumpos
;
Frank
J
.
Fabozzi
刊名:European
J
ournal of Operational Research
出版年:16 April, 2014
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