整顿 发表于 2025-3-30 08:14:14
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http://reply.papertrans.cn/24/2328/232767/232767_52.pngMyelin 发表于 2025-3-30 16:38:46
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http://reply.papertrans.cn/24/2328/232767/232767_54.png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
http://reply.papertrans.cn/24/2328/232767/232767_56.pngchuckle 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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http://reply.papertrans.cn/24/2328/232767/232767_59.pngWAIL 发表于 2025-3-31 23:24:09
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