A VaR Algorithm for Warrants Portfolio.
Jun DaiLiyun NiXiangrong WangWeizhong ChenPublished in: AAIM (2010)
Keyphrases
- preprocessing
- k means
- learning algorithm
- improved algorithm
- tree structure
- dynamic programming
- optimization algorithm
- search space
- computational complexity
- optimal solution
- significant improvement
- cost function
- experimental evaluation
- computational cost
- convergence rate
- high accuracy
- computationally efficient
- times faster
- single pass
- memory requirements
- monte carlo
- probabilistic model
- decision making
- feature selection