Report NEP-CMP-2010-09-03This is the archive for NEP-CMP, a report on new working papers in the area of Computational Economics. Stan Miles issued this report. It is usually issued weekly.
The following items were announced in this report:
- Ivan Savin, 2010. "A comparative study of the Lasso-type and heuristic model selection methods," Working Papers 042, COMISEF.
- Takashi Shinzato & Muneki Yasuda, 2010. "Belief Propagation Algorithm for Portfolio Optimization Problems," Papers 1008.3746, arXiv.org, revised Sep 2010.
- Serguei Maliar & Lilia Maliar & Kenneth L. Judd, 2010. "Solving the Multi-Country Real Business Cycle Model Using Ergodic Set Methods," NBER Working Papers 16304, National Bureau of Economic Research, Inc.
- Mogens Bladt & Michael Sørensen, 2010. "Simple simulation of diffusion bridges with application to likelihood inference for diffusions," CREATES Research Papers 2010-32, Department of Economics and Business Economics, Aarhus University.
- Houben, Henriette & Maiterth, Ralf, 2010. "ErbSiHM 0.1," arqus Discussion Papers in Quantitative Tax Research 102, arqus - Arbeitskreis Quantitative Steuerlehre.
- Antonis Papapantoleon & David Skovmand, 2010. "Picard Approximation of Stochastic Differential Equations and Application to Libor Models," CREATES Research Papers 2010-40, Department of Economics and Business Economics, Aarhus University.
- Eckhard Platen & Renata Rendek, 2010. "Simulation of Diversified Portfolios in a Continuous Financial Market," Research Paper Series 282, Quantitative Finance Research Centre, University of Technology, Sydney.
- William T. Shaw, 2010. "Monte Carlo Portfolio Optimization for General Investor Risk-Return Objectives and Arbitrary Return Distributions: a Solution for Long-only Portfolios," Papers 1008.3718, arXiv.org.