Listagem por autor "Chagas, Guido Marcelo Borma"

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Long-term asset allocation based on stochastic multistage multi-objective portfolio optimization

Chagas, Guido Marcelo Borma
2016-08-19

Multi-Period Stochastic Programming (MSP) offers an appealing approach to identity optimal portfolios, particularly over longer investment horizons, because it is inherently suited to handle uncertainty. Moreover, it ...
Precificação de opções de dólar no mercado brasileiro utilizando redes neurais e algoritmos genéticos

Chagas, Guido Marcelo Borma
2007-02-07

This work compared, under usual macroeconomic conditions, the effectiveness of the Neural Networks (NN) model enhanced by Genetic Algorithms (GA) in Dollar options’ valuation with the following conventional valuation models: ...