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Statistics
The Coordinated Max-Median Rule for Portfolio Selection
(m32523)
Author:
Ricardo Affinito
Keywords:
Coordinated-Max-Median-Rule
,
Max-Median
Summary:
A partial summary of the work performed by one Computational Finance PFUG [under Rice University's VIGRE Summer Reserach Program] is provided in this module. VIGRE (Vertically Integrated Grants for Research and Education) is funded by the NSF (National Science Foundation). Empirical Research was geared towards assessing the performance of ... such research.
[Expand Summary]
A partial summary of the work performed by one Computational Finance PFUG [under Rice University's VIGRE Summer Reserach Program] is provided in this module. VIGRE (Vertically Integrated Grants for Research and Education) is funded by the NSF (National Science Foundation). Empirical Research was geared towards assessing the performance of an "improved" n-at-a-time stock selection rule for portfolio construction. The "Coordinated Max-Median" algorithm developed is described in detail along with its computational challenges. Also included are various evaluations performed with real world data (S&P 500 Index). This Connexions Module summarizes the details of such research.
[Collapse Summary]
Subject:
Mathematics and Statistics
Language:
English
Popularity:
52.08%
Revised:
2009-10-19
Revisions:
New
Popularity is measured as percentile rank of page views/day over all time
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