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pdlug finance [25 articles]

Recent papers added to pdlug library classified by the tag finance. You can also see everyone's finance.
  • Asset Allocation: Management Style and Performance Measurement
    Journal of Portfolio Management, (1992), pp. 7-19.
    by William F Sharpe
    posted to portfolio optimization finance asset by pdlug on 2008-04-25 05:08:42 as **
  • Portfolio Optimization with Linear and Fixed Transaction Costs
    Annals of Operations Research, Vol. 152, No. 1. (July 2007), pp. 376-394.
    by M Lobo, M Fazel, S Boyd
    posted to portfolio optimization finance by pdlug on 2008-04-25 05:06:24 as **
  • Optimal Execution of Portfolio Transactions
    (2001)
    by R Almgren, N Chriss
  • The Interval of Observation
    Social Science Research Network Working Paper Series (November 2007)
    by BEN Jacobsen, Ben R Marshall, Nuttawat Visaltanachoti
    posted to data economics finance market observation returns sampling time by pdlug on 2008-03-20 20:15:24 as **
  • Why We Have Never Used the Black-Scholes-Merton Option Pricing Formula (fourth version)
    Social Science Research Network Working Paper Series (January 2008)
    by Espen G Haug, Nassim N Taleb
  • Analysis of Kelly-optimal portfolios
    (17 Dec 2007)
    by Paolo Laureti, Matus Medo, Yi-Cheng Zhang
  • Robust Portfolio Management
  • Robust portfolio selection problems
  • Volatility: A hidden Markov process in financial time series
    Physical Review E (Statistical, Nonlinear, and Soft Matter Physics), Vol. 76, No. 5. (2007)
    by Zoltán Eisler, Josep Perelló, Jaume Masoliver
  • Quantum field theory of treasury bonds
    Physical Review E, Vol. 64, No. 1. (22 June 2001), 016121.
    by Belal E Baaquie
    posted to derivatives economics finance integral interest path by pdlug on 2007-07-31 03:19:22 as **
  • Quantum Mechanics, Path Integrals and Option Pricing: Reducing the Complexity of Finance
    (11 Aug 2002)
    by Belal E Baaquie, Claudio Coriano, Marakani Srikant
  • Using path integrals to price interest rate derivatives
    (14 Jun 1999)
    by Matthias Otto
    posted to derivatives economics finance integral interest path by pdlug on 2007-07-31 03:18:13 as **
  • Path Dependent Option Pricing: The Path Integral Partial Averaging Method
    Social Science Research Network Working Paper Series (November 1999)
    by Andrew Matacz, Afa
    posted to finance integral option options path by pdlug on 2007-07-31 03:15:49 as **
  • Market Efficiency, Long-Term Returns, and Behavioral Finance
    (February 1997)
    by Eugene F Fama
    posted to economics finance by pdlug on 2007-06-23 18:19:11 as ** along with 1 person hugoduncan
  • Multifractality in stock indexes: Fact or fiction?
    (14 Jun 2007)
    by Zhi-Qiang Jiang, Wei-Xing Zhou
    posted to economics finance fractal markets stock by pdlug on 2007-06-15 15:56:50 as **
  • Reaching Goals by a Deadline: Digital Options and Continuous-Time Active Portfolio Management
    (February 1996)
    by Sid Browne
    posted to finance management optimal options portfolio utility by pdlug on 2007-05-29 17:05:03 as **
  • notes Portfolio Selection
    The Journal of Finance, Vol. 7, No. 1. (1952), pp. 77-91.
    by Harry Markowitz
  • Portfolios from Sorts
    (27 April 2005)
    by Neil A Chriss, Robert Almgren
    posted to economics finance optimization portfolio by pdlug on 2007-03-19 21:40:04 as **
  • Optimal Portfolios from Ordering Information
    Journal of Risk (December 2004)
    by Robert Almgren, Neil A Chriss
    posted to economics finance optimization portfolio by pdlug on 2007-03-19 21:37:38 as **
  • Physics of Econophysics
    (4 Jan 2004)
    by Yougui Wang, Jinshan Wu, Zengru Di
  • Mathematics for Economists
    (08 June 1994)
    by Carl P Simon, Lawrence Blume
  • Competitive solutions for online financial problems
    ACM Comput. Surv., Vol. 30, No. 1. (March 1998), pp. 28-69.
    by Ran El-Yaniv
  • Composing contracts: an adventure in financial engineering (functional pearl)
    SIGPLAN Not., Vol. 35, No. 9. (September 2000), pp. 280-292.
    by Simon P Jones, Jean-Marc Eber, Julian Seward
    posted to compsci cs economics finance functional language languages programming by pdlug on 2006-07-12 20:04:49 as **
  • Ownership Structure, Deregulation, and Bank Risk Taking
    The Journal of Finance, Vol. 45, No. 2. (1990), pp. 643-654.
    by Anthony Saunders, Elizabeth Strock, Nickolaos G Travlos
    posted to banking banks economics finance risk by pdlug on 2006-06-09 17:08:30 as **
  • A Theory of Bank Capital
    The Journal of Finance, Vol. 55, No. 6. (2000), pp. 2431-2465.
    by Douglas W Diamond, Raghuram G Rajan
    posted to banking economics finance by pdlug on 2006-06-09 16:36:27 as **
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