Browsing Produção Intelectual em Bases Externas by Author "Fernandez, Pedro Jesus"

Now showing items 1-2 of 2

    • A new media optimizer based on the mean-variance model 

      Fernandez, Pedro Jesus; Lauretto, Marcelo de Souza; Pereira, Carlos Alberto de Bragança; Stern, Julio Michael
      2007
      In the financial markets, there is a well established portfolio optimization model called generalized mean-variance model (or generalized Markowitz model). This model considers that a typical investor, while expecting ...

    • Perfectly random sampling of truncated multinormal distributions 

      Fernandez, Pedro Jesus; Ferrari, Pablo Augusto; Grynberg, Sebastian P.
      2007-12
      The target measure mu is the distribution of a random vector in a box B, a Cartesian product of bounded intervals. The Gibbs sampler is a Markov chain with invariant measure mu. A 'coupling from the past' construction of ...