Futures price modeling under exchange rate volatility and its multi-period semi-variance portfolio selection
DOI10.1080/00207720902985385zbMath1292.91178OpenAlexW2117759628MaRDI QIDQ5494679
Publication date: 29 July 2014
Published in: International Journal of Systems Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207720902985385
genetic algorithmspartial differential equationsfinancefuturesexchange rateeconomic systemsfour-factor modelhybrid GA with PSOmulti-period semi-variance portfolio
Control/observation systems governed by partial differential equations (93C20) Approximation methods and heuristics in mathematical programming (90C59) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)
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