On Portfolio's Default-Risk-Adjusted Duration and Value: Model and Algorithm Based on Copulas.
Ping LiHou-Sheng ChenGuangdong HuangXiao-Jun ShiPublished in: WINE (2006)
Keyphrases
- algorithm employs
- theoretical analysis
- cost function
- recognition algorithm
- probabilistic model
- objective function
- mathematical model
- optimization model
- estimation algorithm
- input data
- closed form
- classification algorithm
- computational cost
- em algorithm
- final result
- learning algorithm
- computational complexity
- optimization algorithm
- segmentation algorithm
- expectation maximization
- selection algorithm
- risk assessment
- similarity measure
- preprocessing
- optimal solution
- dynamic programming
- np hard
- detection algorithm
- decision making
- monte carlo simulation
- portfolio optimization
- filtering algorithm
- bayesian framework
- optimization method
- maximum likelihood
- simulated annealing
- worst case
- least squares
- k means
- evolutionary algorithm
- search space
- artificial neural networks
- image segmentation