作者：TURNER, AL; WEIGEL, EJ
摘要：This paper examines the daily return variability of the S&P 500 and the Dow Jones indices over the 1928-1989 period. We use the traditional close-to-close standard deviation of returns, two alternative estimators incorporating the daily high and low of the index, and a robust estimator to measure the volatility of stock index returns. The 1980s were the third most volatile decade behind the 1920s and 30s. To a large extent, this was caused by the anomalous behavior of the fourth quarter of 198...
作者：MULVEY, JM; VLADIMIROU, H
作者单位：International Business Machines (IBM); IBM USA
摘要：Several financial planning problems are posed as dynamic generalized network models with stochastic parameters. Examples include: asset allocation for portfolio selection, international cash management, and programmed-trading arbitrage. Despite the large size of the resulting stochastic programs, the network structure can be exploited within the solution strategy giving rise to efficient implementations. Empirical results are presented indicating the benefits of the stochastic network approach...
