Learn More
In this paper, we develop a portfolio selection model with the measures of information entropy-incremental entropy-skewness (EESM) in which the risk of the portfolio is measured by information entropy, and the expected return is expressed by incremental entropy to indicate incremental speed of capital, and the risk of higher moment is measured by skewness.(More)
Term structure of interest rates has played an important role in pricing of fixed-income securities. In this paper, the prices of Chinese Government Bond (CGB) are analyzed firstly based on the famous two-factor affine term structure model, namely Longstaff-Schwartz model. First, by using the Kalman filter method, we estimate the parameters of the model,(More)
Probability theory is used to construct a new type of binomial parameter model, which can avoid negative probability. A detailed proof is given for the generalized binomial model where an extended parameter is added to. The European options and Asian options are priced respectively by numerical examples. The results show that all the binomial models with(More)
s: In this paper, we define the portfolio return as fuzzy average yield and risk as hybrid-entropy and variance to deal with the portfolio selection problem with both random uncertainty and fuzzy uncertainty, and propose a mean-variance hybrid-entropy model (MVHEM). A multi-objective genetic algorithm named Non-dominated Sorting Genetic Algorithm II(More)
In order to improve the smoothness of curve fitted by the interest rate term structure model of polynomial spline functions, the adaptive semi parametric regression with a penalized item is introduced to estimate the unknown parameters. The generalized cross-validation method is discussed to select the smoothing parameter, and genetic algorithm is applied(More)
In this paper, Least Squares Support Vector Regression (LSSVR) method is improved to have a sparse, and enhance the generalization ability of the method. In LSSVR model, an increase of three indexes set down by certain criteria to determine the selection and support vector. Then two models were selected to fit the sample data on the bond spot yield curve.(More)
In this paper, a three-factor affine term structure model which has the square-root diffuse properties is adopted. By using the Kalman filter method, the parameters of the model are estimated, then the prices of coupon bond options are analyzed by Monte Carlo stimulation and the elements which affect the option pricing are also discussed in this paper. The(More)
This paper selects the yield difference between the enterprise bonds and national debts circulated in Shanghai Stock Market as the credit spreads. Multiple regression model and time series model are separately used to analyze the key factors affecting credit spreads of our enterprise bonds both in static and dynamic status by quantitative and qualitative(More)
In this paper, we develop a new term structure model of interest rates with combinatorial optimization method based on four classical models: polynomial spline model, exponential spline model, Nelson-Siegel model and Svensson model. Genetic algorithms are employed to solve the combinatorial optimization model. Then, we make some empirical comparisons of(More)