Search Results - (( developing small volatility algorithm ) OR ( java implication based algorithm ))

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    LASSO-type estimations for threshold autoregressive and heteroscedastic time series models. by Muhammad Jaffri Mohd Nasir

    Published 2020
    “…Our simulation studies show that the ensemble wBCD-wBEA algorithm estimates the correct number of thresholds at a high percentage, and the biases in the empirical standard deviations for the estimated thresholds are small.…”
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    UMK Etheses
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    Proximal linearized method for sparse equity portfolio optimization with minimum transaction cost by Sim, Hong Seng, Ling, Wendy Shin Yie, Leong, Wah June, Chen, Chuei Yee

    Published 2023
    “…In this paper, we propose a sparse equity portfolio optimization model that aims at minimizing transaction cost by avoiding small investments while promoting diversification to help mitigate the volatility in the portfolio. …”
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    Article
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