Pricing tranched credit products with generalized multifactor models... We assume two driving factors (business cycle and industry) with independent tStudent distributions, respectively, and we allow the model to distinguish among portfolio assets classes....
Portfolio substitution and the revenue cost of the federal income tax exemption for state and local government bonds...$8.2 billion if they distributed their tax-exempt bond holdings across their other portfolio assets in proportion to their current portfolio shares
Optimal weighting of assets using a multi-objective evolutionary algorithm... In this paper we consider a multi-objective portfolio assets selection problem where the total profit of is maximized while total risk to be minimized simultaneously....
An evolutionary weight encoding scheme and crossover methodology in portfolio assets allocationMost of GA-based portfolio assets allocation uses normalization method to allocate investment asset’s weight....
