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Articles

Calibrating the Nelson-Siegel Model
keywords: differential_evolution fixed_income nelson-siegel nelson-siegel-svensson new r yield_curve_models

Robust International Portfolio Management
keywords: currencies derivatives portfolio_optimisation robust_optimisation

Calibrating Option Pricing Models with Heuristics
keywords: differential_evolution heston_model new particle_swarm stochastic_volatility

An EML Estimator for Multivariate t Copulas
keywords: copulae differential_evolution exact_maximum_likelihood_estimator inference_for_margins new student_t_copula

Index Mutual Fund Replication with Two Rebalance Strategies
keywords: differential_evolution fund_tracking index_tracking multi-period-optimization new passive_portfolio_management

Robust Optimization of a Currency Portfolio
keywords: currencies derivatives foreign_exchange_rates portfolio_optimisation robust_optimisation

Optimised U-Type Designs on Flexible Regions
keywords: discrepancy_measures experimental_design new threshold_accepting

Constructing Long/Short Portfolios with the Omega ratio
keywords: new portfolio_optimisation threshold_accepting

An Empirical Analysis of Alternative Portfolio Selection Criteria
keywords: drawdown new partial_moments performance_measures portfolio_optimisation risk_measures threshold_accepting value_at_risk

Improving Portfolio Performance with Clustering
keywords: clustering differential_evolution portfolio_optimisation

Optimization Heuristics for Determining Internal Rating Grading Scales
keywords: clustering credit_risk differential_evolution threshold_accepting

Portfolio Optimisation in a Distributed Computing Environment
keywords: distributed_computing new portfolio_optimisation threshold_accepting

Least Median of Squares Estimation by Optimization Heuristics with an Application to CAPM
keywords: beta capm differential_evolution lms threshold_accepting

Concepts

Particle Swarm Optimisation
keywords: new particle_swarm population_based_methods

Currency Options
keywords: currencies derivatives foreign_exchange_rates new

Currency Futures
keywords: currencies derivatives foreign_exchange_rates new

Forward Contracts
keywords: currencies derivatives foreign_exchange_rates new

Currency Derivatives
keywords: currencies derivatives foreign_exchange_rates new

Differential Evolution
keywords: differential_evolution population_based_methods

Genetic Algorithms
keywords: genetic_algorithms new

Eigenvalue and Singular Value Inequalities
keywords: eigenvalues matrix_algebra singular_values variance-covariance-matrices

Simulated Annealing
keywords: new simulated_annealing

Tabu search
keywords: new tabu_search

Threshold Accepting
keywords: new threshold_accepting

Tutorials

Minimising Sums of Squared Residuals and Variances of Residuals
keywords: index_tracking new portfolio_optimisation r regression style_analysis variance-covariance-matrices

Robust regression with Particle Swarm Optimisation in R
keywords: lms lts new particle_swarm r robust_regression

How to compute the tangency portfolio
keywords: new portfolio_optimisation r

How to compute the global minimum-variance portfolio
keywords: new portfolio_optimisation r

Computing Drawdown Statistics
keywords: drawdown new performance_measures portfolio_optimisation r risk_measures

Generating Correlated Uniform Variates
keywords: matlab r random_numbers variance-covariance-matrices

Using C/C++ under Matlab (Part 3)
keywords: cpp matlab new

Using C/C++ under Matlab (Part 2)
keywords: cpp matlab new

Using C/C++ under Matlab (Part 1)
keywords: cpp matlab new

'Repairing' an Indefinite Correlation Matrix
keywords: eigenvalues matlab matrix_algebra new r variance-covariance-matrices

Accessing (Open)Tick-by-Tick Data Using Matlab
keywords: matlab opentick tick_data

Online audio-visual tutorials
keywords: new online online_tutorials

Tools for dynamic online collaboration
keywords: collaboration desktop_sharing online voip

Computing Threshold Sequences
keywords: threshold_accepting

Generating correlated normal variates
keywords: matlab new r random_numbers variance-covariance-matrices

Tips

How to pass functions in MATLAB function fminsearch
keywords: anonymous_function fminsearch matlab

Vectorised computation of sums of squares
keywords: matlab new r sum_of_squares vectorisation

Computing partial correlations from a multiple regression
keywords: correlation new partial_correlation r regression

Rendering a 3D Objective Function in Matlab
keywords: matlab new objective_function

Matrix Multiplication with Diagonal Matrices
keywords: matlab matrix_algebra new r

Replacing negative elements of a vector by 0
keywords: matlab new partial_moments

Replacing negative elements of a vector by 0
keywords: new partial_moments r

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