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di brianmc library [58 articles]

Articoli aggiunti di recente nella biblioteca di brianmc .
  • Active portfolio management with benchmarking: Adding a value-at-risk constraint
    Journal of Economic Dynamics and Control, Vol. 32, No. 3. (March 2008), pp. 779-820.
    by Gordon J Alexander, Alexandre M Baptista
    posted to no-tag by brianmc on 2008-03-19 13:09:54 as **
  • Sparse principal component analysis
    (2004)
    by H Zou, T Hastie, R Tibshirani
    posted to no-tag by brianmc on 2008-03-17 20:50:00 as **
  • Index Tracking by Means of Optimized Sampling
    The Journal of Portfolio Management (2008)
    by Kvisser van Montfort, LF van Draat
    posted to no-tag by brianmc on 2008-03-17 20:49:19 as **
  • Optimal portfolio selection and dynamic benchmark tracking
    European Journal of Operational Research, Vol. 163, No. 1. (16 May 2005), pp. 115-131.
    by Alexei A Gaivoronski, Sergiy Krylov, Nico van der Wijst
    posted to no-tag by brianmc on 2008-03-05 17:11:42 as **
  • Volatility filters for dynamic portfolio optimization
    Applied Financial Economics Letters, Vol. 1, No. 2. (2005), pp. 111-119.
    by J Miao, CL Dunis
    posted to bibtex-import by brianmc on 2008-02-26 17:03:11 as **
  • A Mean-Variance Analysis of Tracking Error
    Portfolio Management (1992), pp. 13-22.
    by R Roll
    posted to bibtex-import by brianmc on 2008-02-26 17:01:45 as **
  • Threshold accepting for index tracking
    (2001)
    by M Gilli, E Këllezi
    posted to bibtex-import by brianmc on 2008-02-26 17:01:45 as **
  • Targeting excess-of-benchmark returns
    The Journal of Portfolio Management, Vol. 18, No. 4. (1992)
    by EC Franks
    posted to bibtex-import by brianmc on 2008-02-26 17:01:45 as **
  • Tracking error and tactical asset allocation
    Financial Analysts Journal, Vol. 57, No. 2. (2001)
    by M Ammann, H Zimmermann
    posted to bibtex-import by brianmc on 2008-02-26 17:01:25 as **
  • Equity index replication with standard and robust regression estimators
    OR Spektrum, Vol. 22 (2000)
    by G Bamberg, N Wagner
    posted to bibtex-import by brianmc on 2008-02-26 17:01:24 as **
  • A linear model for tracking error minimization
    Journal of Banking \& Finance, Vol. 23 (1999)
    by M Rudolf, HJ Wolter, H Zimmermann
    posted to bibtex-import by brianmc on 2008-02-26 17:01:24 as **
  • Optimal hedging using cointegration
    Philosophical Transactions of the Royal Society of London Series A Mathematical Physical and Engineering Sciences, Vol. 357 (1999)
    by C Alexander
    posted to bibtex-import by brianmc on 2008-02-26 17:01:10 as **
  • Multiple-benchmark and multiple-portfolio optimization
    Financial Analysts Journal, Vol. 55 (1999)
    by MY Wang
    posted to bibtex-import by brianmc on 2008-02-26 17:01:10 as **
  • Bicriteria optimization problem of designing an index fund
    Journal of the Operational Research Society, Vol. 46 (1995)
    by Y Tabata, E Takeda
    posted to bibtex-import by brianmc on 2008-02-26 17:01:10 as **
  • Optimal selection of passive portfolios
    Financial Management (1980), pp. 57-66.
    by A Rudd
    posted to bibtex-import by brianmc on 2008-02-26 17:00:55 as **
  • Implementing stock selection ideas: Does tracking error optimization do any good?
    The Journal of Portfolio Management, Vol. 24 (1998)
    by HC Rohweder
    posted to bibtex-import by brianmc on 2008-02-26 17:00:55 as **
  • Index funds––construction and performance measurement
    Journal of the Operational Research Society, Vol. 40 (1989)
    by N Meade, GR Salkin
    posted to bibtex-import by brianmc on 2008-02-26 17:00:55 as **
  • Algorithms for index tracking
    IMA Journal of Management Mathematics, Vol. 4 (1992), pp. 279-299.
    by Kwiatkowski
    posted to bibtex-import by brianmc on 2008-02-26 17:00:41 as **
  • Problems in the application of portfolio selection models
    Omega, Vol. 4 (1976)
    by SD Hodges
    posted to bibtex-import by brianmc on 2008-02-26 17:00:40 as **
  • Dedicated stock portfolio
    Journal of Portfolio Management, Vol. 16, No. 4. (1990)
    by RA Haugen, NL Baker
    posted to bibtex-import by brianmc on 2008-02-26 17:00:24 as **
  • An evolutionary heuristic for the index tracking problem
    European Journal of Operational Research, Vol. 148 (2003), pp. 621-643.
    by JE Beasley, N Meade, TJ Chang
    posted to bibtex-import by brianmc on 2008-02-26 17:00:08 as **
  • Sources of over-performance in equity markets: mean reversion, common trends and herding
    (2005)
    by C Alexander, A Dimitriu
    posted to bibtex-import by brianmc on 2008-02-26 16:59:57 as **
  • Equity indexing: Optimize your passive investments
    Quantitative Finance, Vol. 4, No. 3. (2008)
    by C Alexander, A Dimitriu
    posted to bibtex-import by brianmc on 2008-02-26 16:59:44 as **
  • A simple algorithm to incorporate transaction costs in quadratic optimisation
    European Journal of Operational Research, Vol. 79 (1994)
    by CJ Adcock, N Meade
    posted to bibtex-import by brianmc on 2008-02-26 16:59:17 as **
  • Genetic algorithms applied to feature selection in PLS regression: how and when to use them
    Chemometrics and Intelligent Laboratory Systems, Vol. 41, No. 2. (27 July 1998), pp. 195-207.
    by Riccardo Leardi, Amparo L Gonzalez
    posted to no-tag by brianmc on 2008-02-05 11:41:15 as **
  • Selecting both latent and explanatory variables in the PLS1 regression model
    Chemometrics and Intelligent Laboratory Systems, Vol. 66, No. 2. (28 June 2003), pp. 117-126.
    by Aziz Lazraq, Robert Cleroux, Jean-Pierre Gauchi
    posted to no-tag by brianmc on 2008-02-05 11:40:38 as **
  • Variable and subset selection in PLS regression
    Chemometrics and Intelligent Laboratory Systems, Vol. 55, No. 1-2. (13 January 2001), pp. 23-38.
    by Agnar Hoskuldsson
    posted to no-tag by brianmc on 2008-02-05 11:39:59 as **
  • Comparison of different variable selection methods conducted on NIR transmission measurements on intact tablets
    Chemometrics and Intelligent Laboratory Systems, Vol. 69, No. 1-2. (28 November 2003), pp. 3-12.
    by Christoffer Abrahamsson, Jonas Johansson, Anders Sparen, Fredrik Lindgren
    posted to no-tag by brianmc on 2008-02-05 11:39:24 as **
  • Comparison of selection methods of explanatory variables in PLS regression with application to manufacturing process data
    Chemometrics and Intelligent Laboratory Systems, Vol. 58, No. 2. (28 October 2001), pp. 171-193.
    by Jean-Pierre Gauchi, Pierre Chagnon
    posted to no-tag by brianmc on 2008-02-05 11:38:42 as **
  • A new approach for the identification of important variables
    Chemometrics and Intelligent Laboratory Systems, Vol. 80, No. 1. (20 January 2006), pp. 130-135.
    by Hong L Zhai, Xing G Chen, Zhi D Hu
    posted to no-tag by brianmc on 2008-02-05 11:37:27 as **
  • Performance of some variable selection methods when multicollinearity is present
    Chemometrics and Intelligent Laboratory Systems, Vol. 78, No. 1-2. (28 July 2005), pp. 103-112.
    by Il-Gyo Chong, Chi-Hyuck Jun
    posted to no-tag by brianmc on 2008-02-05 11:36:18 as **
  • Information-Theoretic Analysis of Serial Dependence and Cointegration
    Studies in Nonlinear Dynamics & Econometrics, Vol. 3, No. 3. (1998)
    by FM Aparicio, A Escribano
    posted to cointegration information_theory by brianmc on 2008-01-18 14:55:24 as **
  • Testing for cointegration using induced-order statistics
    Computational Statistics, Vol. 23, No. 1. (12 January 2008), pp. 131-151.
    by Alvaro Escribano, M Santos, Ana Sipols
    posted to cointegration by brianmc on 2008-01-18 14:50:42 as **
  • Volatility filter for index tracking and longshort market-neutral strategies
    Journal of Asset Management, Vol. 8, No. 2. (July 2007), pp. 101-111.
    by Miao, Jia
    posted to finance by brianmc on 2008-01-18 14:49:33 as **
  • A characterization of long-short trading strategies based on cointegration
    Computational Intelligence for Financial Engineering, 2003. Proceedings. 2003 IEEE International Conference on (2003), pp. 411-416.
    by Y Kawasaki, S Tachiki, H Udaka, T Hirano
    posted to cointegration by brianmc on 2008-01-18 14:48:07 as **
  • Clustering of financial time series with application to index and enhanced index tracking portfolio
    Physica A: Statistical Mechanics and its Applications, Vol. 355, No. 1. (1 September 2005), pp. 145-151.
    by Christian Dose, Silvano Cincotti
    posted to finance by brianmc on 2008-01-18 14:46:52 as **
  • Cointegration portfolios of European equities for index tracking and market neutral strategies
    pp. 33-52.
    by Christian L Dunis
    posted to cointegration by brianmc on 2008-01-18 14:45:35 as **
  • The Cointegration Alpha: Enhanced Index Tracking and Long-Short Equity Market Neutral Strategies
    Social Science Research Network Working Paper Series (June 2002)
    by Carol Alexander, ANCA Dimitriu
    posted to cointegration by brianmc on 2008-01-18 14:44:40 as **
  • Cointegration and Asset Allocation: A New Fund Strategy
    (2001)
    by Carol Alexander, Ian Giblin, Wayne Weddington
    posted to alexander-2 by brianmc on 2008-01-18 14:43:56 as **
  • System Identification: Theory for the User (2nd Edition)
    (29 December 1998)
    by Lennart Ljung
    posted to no-tag by brianmc on 2007-12-06 13:56:04 as ** along with 5 people and 1 group mcastillo tingying paulfrogerais jford tdgs Autoregulation
  • Theory and Practice of Recursive Identification (Signal Processing, Optimization, and Control)
    (20 October 1983)
    by Lennart Ljung, Torsten Soderstrom
    posted to no-tag by brianmc on 2007-12-06 13:55:39 as read
  • Recursive PLS algorithms for adaptive data modeling
    Computers & Chemical Engineering, Vol. 22, No. 4-5. (1998), pp. 503-514.
    by Joe S Qin
    posted to pls by brianmc on 2007-11-29 16:30:01 as *****
  • Improved PLS algorithms
    Journal of Chemometrics, Vol. 11, No. 1. (1997), pp. 73-85.
    by Bhupinder S Dayal, John F Macgregor
    posted to pls by brianmc on 2007-11-07 13:17:44 as *****
  • Recursive exponentially weighted PLS and its applications to adaptive control and prediction
    Journal of Process Control, Vol. 7, No. 3. (1997), pp. 169-179.
    by Bhupinder S Dayal, John F Macgregor
    posted to pls by brianmc on 2007-11-07 13:16:22 as *****
  • A probabilistic derivation of the partial least-squares algorithm.
    J Chem Inf Comput Sci, Vol. 41, No. 2. (r 2001), pp. 288-294.
    by MG Gustafsson
    posted to pls by brianmc on 2007-11-01 19:34:10 as ** along with 1 person evaf
  • Partial least-squares regression: a tutorial
    Analytica Chimica Acta, Vol. 185 (1986), pp. 1-17.
    by Paul Geladi, Bruce R Kowalski
    posted to pls by brianmc on 2007-11-01 19:33:57 as ** along with 2 people jitender cdpwebadmin
  • Information Theory, Inference & Learning Algorithms
    (15 June 2002)
    by David JC Mackay
    posted to information_theory machine_learning by brianmc on 2007-11-01 19:29:44 as *** along with 44 people and 5 groups alexzeh thefillm pprett ppeeling A_Olympia ansobol yaroslavvb JoSeK ingo jrw rpadams gyuli dariusb simonjudge leidner bayesian BarrosH wnpx filippone marcosmuller danielaugot zielaj daveh spirit_of_numenor sbarthelme anon_pl dwf petrijooste wowbagger nrubens chrisc rsantana fishtank rwilliamson poluxmoon robertoalamino lop matjes delip quianominorleo markusd ekatsyrk luispedro robotact Philosophy_of_Information Blog_and_Wiki_Research AssistiveTechnology inference-group ComplexAdaptiveSystems
  • Neural Networks for Pattern Recognition
    (01 November 1995)
    by Christopher M Bishop
    posted to machine_learning by brianmc on 2007-11-01 19:29:18 as read along with 13 people and 5 groups yaroslavvb eme leidner jekky buescher76 arielbaz filippone ephel Found poluxmoon aklassen olbudt fredguilloux CMU-HCII Blog_and_Wiki_Research automatic_summarization ASR astro
  • Pattern Recognition and Machine Learning (Information Science and Statistics)
    (28 August 2006)
    by Christopher M Bishop
    posted to machine_learning by brianmc on 2007-11-01 19:28:34 as *** along with 30 people and 5 groups paulclinger thefillm stibor ppeeling yaroslavvb sdvillal nojhan gkvas paulinus ajylha helsley hawkes zeppe poluxmoon librain kohei-h napvasconcelos teesid robotact Hoertnagl matjes eddymier delip markusd filippone singhsh ssomani pprett rwilliamson Dukhat EvolutionaryComputation Metaheuristics Optimization contact-id MuSAMA
  • Gaussian Processes for Machine Learning (Adaptive Computation and Machine Learning)
    (01 December 2005)
    by Carl E Rasmussen, Christopher KI Williams
    posted to machine_learning by brianmc on 2007-11-01 19:27:47 as *** along with 7 people NicolaSegata sbarthelme librain singhsh sfuniak BrianTomasik filippone
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