Zobrazeno 1 - 10
of 57
pro vyhledávání: '"Sebastien Lleo"'
Autor:
Sebastien Lleo, William T. Ziemba
Publikováno v:
International Journal of Financial Studies, Vol 3, Iss 3, Pp 351-380 (2015)
Financial disasters to hedge funds, bank trading departments and individual speculative traders and investors seem to always occur because of non-diversification in all possible scenarios, being overbet and being hit by a bad scenario. Black swans ar
Externí odkaz:
https://doaj.org/article/f31dd999aa174d4ebe1528fc1f7e344b
Publikováno v:
SSRN Electronic Journal.
Publikováno v:
SSRN Electronic Journal.
Autor:
Sebastien Lleo, Mark H. A. Davis
Publikováno v:
Mathematical Finance. 31:1162-1189
Publikováno v:
The Journal of Portfolio Management. :jpm.2022.1.429
Publikováno v:
SSRN Electronic Journal.
Stochastic processes is one of the key operations research tools for analysis of complex phenomenon. This paper has a unique application to the study of mean changing models in stock markets. The idea is to enter and exit stock markets like Apple Com
Publikováno v:
SSRN Electronic Journal.
We implement and test four leading families of unsupervised learning changepoint detection models to investigate the incidence, origins, and effects of breaks in the mean and variance of Apple’s stock returns distribution. These models reveal a sus
Publikováno v:
SSRN Electronic Journal.
We propose a continuous-time portfolio selection model that explains the active-passive continuum. Our model illuminates the pivotal role of expert opinions and factors in the asset allocation process. In the model, investors aim to outperform a benc