Least median of squares estimation by optimization heuristics with an application to the CAPM and a multi-factor model
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DOI: 10.1007/s10287-009-0103-x
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- Peter Winker & Marianna Lyra & Chris Sharpe, 2008. "Least Median of Squares Estimation by Optimization Heuristics with an Application to the CAPM and Multi Factor Models," Working Papers 006, COMISEF.
References listed on IDEAS
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Citations
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- Huang, Xiaolin & Shi, Lei & Pelckmans, Kristiaan & Suykens, Johan A.K., 2014. "Asymmetric ν-tube support vector regression," Computational Statistics & Data Analysis, Elsevier, vol. 77(C), pages 371-382.
- Björn Fastrich & Peter Winker, 2012.
"Robust portfolio optimization with a hybrid heuristic algorithm,"
Computational Management Science, Springer, vol. 9(1), pages 63-88, February.
- Björn Fastrich & Peter Winker, 2010. "Robust Portfolio Optimization with a Hybrid Heuristic Algorithm," Working Papers 041, COMISEF.
- Blueschke, D. & Blueschke-Nikolaeva, V. & Savin, I., 2013.
"New insights into optimal control of nonlinear dynamic econometric models: Application of a heuristic approach,"
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- D. Blueschke & V. Blueschke-Nikolaeva & Ivan Savin, 2012. "New Insights Into Optimal Control of Nonlinear Dynamic Econometric Models: Application of a Heuristic Approach," Jena Economic Research Papers 2012-008, Friedrich-Schiller-University Jena.
- Manfred Gilli & Enrico Schumann, 2009. "Robust regression with optimisation heuristics," Working Papers 011, COMISEF.
- Dmitri Blueschke & Ivan Savin, 2015. "No such thing like perfect hammer: comparing different objective function specifications for optimal control," Jena Economic Research Papers 2015-005, Friedrich-Schiller-University Jena.
- D. Blueschke & I. Savin, 2017. "No such thing as a perfect hammer: comparing different objective function specifications for optimal control," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 25(2), pages 377-392, June.
- Marianna Lyra, 2010. "Heuristic Strategies in Finance – An Overview," Working Papers 045, COMISEF.
- Ivan Savin & Dmitri Blueschke, 2013. "Solving nonlinear stochastic optimal control problems using evolutionary heuristic optimization," Jena Economic Research Papers 2013-051, Friedrich-Schiller-University Jena.
- Ivan Savin & Dmitri Blueschke, 2016. "Lost in Translation: Explicitly Solving Nonlinear Stochastic Optimal Control Problems Using the Median Objective Value," Computational Economics, Springer;Society for Computational Economics, vol. 48(2), pages 317-338, August.
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Keywords
Least median of squares; CAPM; Multi-factor model; Differential evolution; Threshold accepting;All these keywords.
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