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pro vyhledávání: '"Schmelzer, Thomas"'
We propose a new method for finding statistical arbitrages that can contain more assets than just the traditional pair. We formulate the problem as seeking a portfolio with the highest volatility, subject to its price remaining in a band and a levera
Externí odkaz:
http://arxiv.org/abs/2402.08108
More than seventy years ago Harry Markowitz formulated portfolio construction as an optimization problem that trades off expected return and risk, defined as the standard deviation of the portfolio returns. Since then the method has been extended to
Externí odkaz:
http://arxiv.org/abs/2401.05080
We consider the well-studied problem of predicting the time-varying covariance matrix of a vector of financial returns. Popular methods range from simple predictors like rolling window or exponentially weighted moving average (EWMA) to more sophistic
Externí odkaz:
http://arxiv.org/abs/2305.19484
Autor:
Balcerak, Michal, Schmelzer, Thomas
Rather than directly predicting future prices or returns, we follow a more recent trend in asset management and classify the state of a market based on labels. We use numerous standard labels and even construct our own ones. The labels rely on future
Externí odkaz:
http://arxiv.org/abs/2012.03078
Autor:
Sanderfer, Van Christian, Arnold, Michael R., Mulvaney, Graham G., Wang, Huaping, McLanahan, C. Scott, Wait, Scott D., Van Poppel, Mark D., Cosper, Graham, Schmelzer, Thomas, Schulman, Andrew M., Jernigan, Sarah C., Reinke, Caroline E.
Publikováno v:
In The American Journal of Surgery January 2024 227:123-126
Autor:
Schmelzer, Thomas.
Bochum, Universiẗat, Diss., 2000.
Externí odkaz:
http://www-brs.ub.ruhr-uni-bochum.de/netahtml/HSS/Diss/SchmelzerThomas/diss.pdf
http://deposit.ddb.de/cgi-bin/dokserv?idn=960346945
http://deposit.ddb.de/cgi-bin/dokserv?idn=960346945
Regression is widely used by practioners across many disciplines. We reformulate the underlying optimisation problem as a second-order conic program providing the flexibility often needed in applications. Using examples from portfolio management and
Externí odkaz:
http://arxiv.org/abs/1310.3397
Autor:
Schmelzer, Thomas, Hauser, Raphael
Although modern portfolio theory has been in existence for over 60 years, fund managers often struggle to get its models to produce reliable portfolio allocations without strongly constraining the decision vector by tight bands of strategic allocatio
Externí odkaz:
http://arxiv.org/abs/1310.3396
Akademický článek
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