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Identifying Worst Case Scenarios of Security Portfolios with Quasi-Random Search Algorithms
Year Of Publication: 2004
Month Of Publication: July
Pages: 55
Download Count: 388
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Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 5-2-2007
Publisher: Administrator
Summary
We report on the use of quasi-random numbers in searching for worst-case scenarios of security portfolios. A systemactic search for the worst-case scenario above some minimal plausibility requires to find the global minimum of the portfolio-value function within a search domain of all sufficiently plausible scenarios, which usually is an ellipsoid in the high dimensional space of risk factors.
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Breuer, Thomas Sign in to follow this author
Pistovcak, Filip Sign in to follow this author
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