2. 您的位置
3. 首页
4. 会议论文
5. Smart indexing under regime switching uncertainty:State-estimate risk optimization

Smart indexing under regime switching uncertainty:State-estimate risk optimization

来源 :上海交通大学 | 被引量 : 0次 | 上传用户：qinpeizhen

【摘 要】

：

Fund management based on index-tracking is well-studied and widely-practiced.Stock index funds represent more than 75% of index mutual funds valued over 1.7 trillion dollars.

【作 者】

：

Chanaka Edirisinghe Yonggan Zhao 

【机 构】

：

Lally School of Management,Rensselaer Polytechnic Institute,Troy,NY,USA

【出 处】

：

上海交通大学

【发表日期】

：

2016年4期

【关键词】

：

Index-tracking smart indexing portfolio risk optimization regime-switching uncer 

下载到本地 , 更方便阅读

下载此文 赞助VIP

声明 : 本文档内容版权归属内容提供方 , 如果您对本文有版权争议 , 可与客服联系进行内容授权或下架

论文部分内容阅读

　　Fund management based on index-tracking is well-studied and widely-practiced.Stock index funds represent more than 75% of index mutual funds valued over 1.7 trillion dollars.

其他文献

A Spline Growth Model for Multivariate Data

A spline growth model and its multivariate version are presented.The talk focuses on estimation and hypothesis testing.The introduced methods are based on penalized log likelihood and on a spline appr

会议

Cubic smoothing splinesPenalized log likelihoodRoughness penaltyEigenvalue de

Data-adaptive estimation of genotype-specific vaccine efficacy in HIV and malaria Phase Ⅲ trials

The genetic diversity of HIV and malaria(P.falciparum)constitutes one of the most formidable barriers to developing highly efficacious vaccines to prevent disease caused by these pathogens.

会议

competing riskstargeted minimum loss-based estimationdependent censoringHIVm

Replacement or Dual Hub Port? A Study on the Port Relationship in the Yangtze River Delta and Pearl

Through quantitative analysis of four ports and their host cities,this study asserts that Shanghai and Ningbo ports in the Yangtze River Delta region,and Shenzhen and Hong Kong ports in the Pearl Rive

会议

port developmentthroughputYangtze River DeltaPearl River Delta

Nonparametric Density Estimation for Symbolic Data

Symbolic data have become increasingly popular in the era of big data.In this paper,we consider density estimation and regression for interval-type data,a special case of symbolic data,common in clima

会议

Symbolic DataAdaptive BandwidthCross-validationGeneralized cross validationK

General Linear Hypothesis Testing for Heteroscedastic One-Way MANOVA with High-Dimensional Data

In recent years,with rapid development of data collecting technologies,high-dimensional data become increasingly prevalent.

会议

High-dimensional dataL2-norm based testx2-type mixturesone-way MANOVAWelch-S

Nature-Inspired Meta-heuristic Algorithms for Generating Optimal Experimental Designs

Nature-inspired meta-heuristic algorithms are increasingly studied and used in computer science and engineering disciplines to solve high-dimensional complex optimization problems in the real world.

会议

approximate designexact designequivalence theoreminformation matrixmultiple-

CAVEATS,CHALLENGES,AND OPPORTUNITIES FOR INDIRECT COMPARISONS USING CLINICAL TRIAL DATA

Atrial fibrillation(AF)is associated with significant morbidity and mortality,and increases the risk of stroke by 5-fold.

会议

indirect comparisonclinical trialsanticoagulants

NONPARAMETRIC MARGINAL ANALYSIS OF RECURRENT EVENTS DATA UNDER COMPETING RISKS

The work is motivated by a medical study on peritonitis in Taiwan,where patients on peritoneal dialysis might experience two types of peritonitis(Gram-positive or non-Gram-positive),each of which coul

会议

competing risksgap timesinduced dependent censoringinverse probability weight

Meta-Analysis of efficacy and safety of the new anticoagulants versus Warfarin in patients with Atri

Objective: To assess the efficacy and safety of the new oral anticoagulants vs.warfarin in patients with atrial fibrillation by the meta-analyses performed for 5 studies ARISTOTLE,ENGAGE AF-TIMI 48,RE

会议

Meta-AnalysisEfficacy and SafetyNew AnticoagulantsWarfarin

MRCT design models and drop-min data analysis

In recent years,developing pharmaceutical products via a multiregional clinical trial(MRCT)has become more popular.

会议

Combined treatment effect