整顿 发表于 2025-3-30 08:14:14

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旧式步枪 发表于 2025-3-30 15:41:11

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Myelin 发表于 2025-3-30 16:38:46

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危险 发表于 2025-3-30 21:30:07

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黄油没有 发表于 2025-3-31 04:18:17

Optimal Execution of Time-Constrained Portfolio Transactionsoblem is solved approximately through a succession of quadratic programs. The ensuing strategies are then tested on real data. The model extends a recent one by accounting for liquidity differences between stocks.

针叶 发表于 2025-3-31 06:27:46

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chuckle 发表于 2025-3-31 12:41:41

ow that EE-VaR has fewer violations than historical VaR. Further, there are substantial savings in risk capital with EE-VaR at 99% as compared to historical VaR corrected by a factor of 3 to satisfy the violation bound. The efficiency of EE-VaR arises because an implied VaR estimate responds quickly

委屈 发表于 2025-3-31 16:42:38

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英寸 发表于 2025-3-31 19:07:36

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WAIL 发表于 2025-3-31 23:24:09

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查看完整版本: Titlebook: Computational Methods in Financial Engineering; Essays in Honour of Erricos J. Kontoghiorghes,Berç Rustem,Peter Winker Book 2008 Springer-