William Thornton Shaw

University College London

Chair of Mathematics and Computation of Risk

Departments of Mathematics and Computer Science

Gower Street

London , WC1E 6BT

United Kingdom

  • University College London

SCHOLARLY PAPERS

5

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Top 14,491

in Total Papers Downloads

4,182

SSRN CITATIONS

1

CROSSREF CITATIONS

4

Scholarly Papers (5)

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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

2.

Monte Carlo Portfolio Optimization for General Investor Risk-Return Objectives and Arbitrary Return Distributions: A Solution for Long-Only Portfolios

Number of pages: 23 Posted: 23 Sep 2010
William Thornton Shaw
University College London
Downloads 640 (50,921)
Citation 4

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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

3.

Risk, VaR, CVaR and Their Associated Portfolio Optimizations When Asset Returns Have a Multivariate Student T Distribution

Number of pages: 13 Posted: 02 Mar 2011
William Thornton Shaw
University College London
Downloads 577 (58,134)
Citation 4

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VaR, CVaR, Portfolio Optimization, VaR Optimization, CVaR Optimization, Optimisation, Student

4.

The 2011 Tohoku, Japan Quake and Tsunami: Provisional Financial Impact Assessment

Number of pages: 9 Posted: 30 Mar 2011 Last Revised: 01 Apr 2011
William Thornton Shaw
University College London
Downloads 506 (68,501)
Citation 1

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Japan, quake, earthquake, tsunami, risk, market impact, Sendai, Honshu, Tohoku, Nikkei

5.

Quantile Mechanics II: Changes of Variables in Monte Carlo Methods and GPU-Optimized Normal Quantiles

Number of pages: 31 Posted: 07 Dec 2011
William Thornton Shaw, Thomas Luu and Nick Brickman
University College London, University College London and affiliation not provided to SSRN
Downloads 101 (319,553)
Citation 4

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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