Kriging Scenario For Capital Markets
نویسنده
چکیده
An introduction to numerical statistics.
منابع مشابه
Kriging Scenario for Capital Markets
Following the Gauss-Markov theorem the generalized lest-squares estimator is the best linear unbiased estimator but following the kriging theory its use is limited. This paper shows the kriging constraint on the classic generalized least-squares estimator.
متن کاملApplicability of Capital Assets Pricing Model (CAPM) on Pakistan Stock Markets
Capital Assets Pricing Model is used as a tool for the estimation of Investments in Capital Markets with the relation of Expected return and Risk on Securities. This study examines the applicability of CAPM on Pakistan Stock Markets and Karachi Stock Exchange being the main capital market of Pakistan is taken for the study. The analysis is done by taking a sample of 10 performing companies of 1...
متن کاملDual Kriging: an Exploratory Use in Economic Metamodeling
Sensitivity analysis of capital investments can be effectively carried out by employing a metamodel approach and experimental designs. Although polynomial regression metamodels are popular and straightforward, they do not consider spatial relationships among the data. Dual kriging is an estimation technique that allows the incorporation of spatial correlation into the interpolation or estimatio...
متن کاملComputerized Linking of Capital Markets - A Viable Approach
Interlinking capital markets has always been an interesting issue since it not only provides more investment opportunities but also results in reduction of the risk of market volatility due to increase in the size of market. However, global and local barriers like different currencies, legal issues, settlement risks and costs prevent such interlink age to take place efficiently. In this paper, ...
متن کاملStochastic Kriging for Efficient Nested Simulation of Expected Shortfall
We use stochastic kriging, a metamodeling technique, to speed up nested simulation of expected shortfall, a portfolio risk measure. Evaluating a risk measure of a portfolio that includes derivative securities may require nested Monte Carlo simulation. The outer level simulates financial scenarios and the inner level of simulation estimates the portfolio value given a scenario. Spatial metamodel...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید
ثبت ناماگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید
ورودعنوان ژورنال:
- CoRR
دوره abs/cs/0509012 شماره
صفحات -
تاریخ انتشار 2005