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Shaw, William Thornton's
Scholarly Papers
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1,747 |
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1.
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Shaw, William Thornton
University College London
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449
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Portfolio, Optimization, Optimisation, Random Portfolio, Monte Carlo, Simplex, VaR, CVaR, QP, Mean-Variance, Non-Gaussian, Utility, Variability Ratio, Omega, Sortino ratio, Sharpe ratio
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2.
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Shaw, William Thornton
University College London
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426
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portfolio, optimization, optimisation, random portfolio, Monte Carlo, simplex, VaR, CVaR, QP, mean-variance, non-gaussian, utility, expected utility, variability ratio, omega, sortino ratio, sharpe ratio, matching covariance, quasi-random, Sobol, Niederreiter
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3.
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Shaw, William Thornton
University College London
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| Posted: |
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30 Mar 11
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Last Revised:
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01 Apr 11
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405
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Japan, quake, earthquake, tsunami, risk, market impact, Sendai, Honshu, Tohoku, Nikkei
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4.
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Shaw, William Thornton
University College London
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403
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VaR, CVaR, Portfolio Optimization, VaR Optimization, CVaR Optimization, Optimisation, Student
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5.
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Shaw, William Thornton
University College London Luu, Thomas
University College London Brickman, Nick
affiliation not provided to SSRN
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64
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CUDA, Monte Carlo, student, hyperbolic, variance gamma, computational finance, quantile mechanics, normal quantile, Gaussian quantile, GPU, Acklam, AS241, inverse error function, erfinv, inverse CDF, probit
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