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Futures price modeling under exchange rate volatility and its multi-period semi-variance portfolio selection 期刊论文
INTERNATIONAL JOURNAL OF SYSTEMS SCIENCE, 2009, 卷号: 40, 期号: 11, 页码: 1139-1148
Authors:  Yan, Wei;  Li, Shurong
Favorite  |  View/Download:114/0  |  Submit date:2018/07/30
four-factor model  multi-period semi-variance portfolio  exchange rate  futures  hybrid GA with PSO  economic systems  finance  partial differential equations  genetic algorithms  
A class of portfolio selection with a four-factor futures price model 期刊论文
ANNALS OF OPERATIONS RESEARCH, 2008, 卷号: 164, 期号: 1, 页码: 139-165
Authors:  Yan, Wei;  Li, Shurong
Favorite  |  View/Download:94/0  |  Submit date:2018/07/30
Four-factor model  Multi-period semi-variance portfolio  Exchange rate  Futures  Numerical algorithm