Least median of squares estimation by optimization heuristics with an application to the CAPM and a multi-factor model.
Peter WinkerMarianna LyraChris SharpePublished in: Comput. Manag. Sci. (2011)
Keyphrases
- optimization problems
- optimization algorithm
- estimation algorithm
- constrained optimization
- optimization process
- search algorithm
- global optimization
- genetic algorithm
- estimation accuracy
- accurate estimation
- heuristic search
- parameter estimation
- feature selection
- real time
- evolutionary algorithm
- optimization methods
- video sequences
- image sequences
- website
- robust estimation
- discrete optimization