brianmc's library 58 articles Export

	Active portfolio management with benchmarking: Adding a value-at-risk constraint [My Copy] Journal of Economic Dynamics and Control, Vol. 32, No. 3. (March 2008), pp. 779-820. by Gordon J. Alexander, Alexandre M. Baptista posted to no-tag by brianmc on 2008-03-19 13:09:54 as
	Sparse principal component analysis [My Copy] (2004) by H. Zou, T. Hastie, R. Tibshirani posted to no-tag by brianmc on 2008-03-17 20:50:00 as along with 1 person sona
	Index Tracking by Means of Optimized Sampling [My Copy] The Journal of Portfolio Management (2008) by Kvisser van Montfort, L. F. van Draat posted to no-tag by brianmc on 2008-03-17 20:49:19 as
	Optimal portfolio selection and dynamic benchmark tracking [My Copy] European Journal of Operational Research In Financial Modelling and Risk Management, Vol. 163, No. 1. (16 May 2005), pp. 115-131. by Alexei A. Gaivoronski, Sergiy Krylov, Nico van der Wijst posted to no-tag by brianmc on 2008-03-05 17:11:42 as
	Volatility filters for dynamic portfolio optimization [My Copy] Applied Financial Economics Letters, Vol. 1, No. 2. (2005), pp. 111-119. by J. Miao, C. L. Dunis posted to bibtex-import by brianmc on 2008-02-26 17:03:11 as
	A Mean-Variance Analysis of Tracking Error [My Copy] Portfolio Management (1992), pp. 13-22. by R. Roll posted to bibtex-import by brianmc on 2008-02-26 17:01:45 as
	Threshold accepting for index tracking [My Copy] (2001) by M. Gilli, E. Këllezi posted to bibtex-import by brianmc on 2008-02-26 17:01:45 as
	Targeting excess-of-benchmark returns [My Copy] The Journal of Portfolio Management, Vol. 18, No. 4. (1992) by E. C. Franks posted to bibtex-import by brianmc on 2008-02-26 17:01:45 as
	Tracking error and tactical asset allocation [My Copy] Financial Analysts Journal, Vol. 57, No. 2. (2001) by M. Ammann, H. Zimmermann posted to bibtex-import by brianmc on 2008-02-26 17:01:25 as
	Equity index replication with standard and robust regression estimators [My Copy] OR Spektrum, Vol. 22 (2000) by G. Bamberg, N. Wagner posted to bibtex-import by brianmc on 2008-02-26 17:01:24 as
	A linear model for tracking error minimization [My Copy] Journal of Banking \& Finance, Vol. 23 (1999) by M. Rudolf, H. J. Wolter, H. Zimmermann posted to bibtex-import by brianmc on 2008-02-26 17:01:24 as
	Optimal hedging using cointegration [My Copy] Philosophical Transactions of the Royal Society of London Series A Mathematical Physical and Engineering Sciences, Vol. 357 (1999) by C. Alexander posted to bibtex-import by brianmc on 2008-02-26 17:01:10 as
	Multiple-benchmark and multiple-portfolio optimization [My Copy] Financial Analysts Journal, Vol. 55 (1999) by M. Y. Wang posted to bibtex-import by brianmc on 2008-02-26 17:01:10 as
	Bicriteria optimization problem of designing an index fund [My Copy] Journal of the Operational Research Society, Vol. 46 (1995) by Y. Tabata, E. Takeda posted to bibtex-import by brianmc on 2008-02-26 17:01:10 as
	Optimal selection of passive portfolios [My Copy] Financial Management (1980), pp. 57-66. by A. Rudd posted to bibtex-import by brianmc on 2008-02-26 17:00:55 as
	Implementing stock selection ideas: Does tracking error optimization do any good? [My Copy] The Journal of Portfolio Management, Vol. 24 (1998) by H. C. Rohweder posted to bibtex-import by brianmc on 2008-02-26 17:00:55 as
	Index funds––construction and performance measurement [My Copy] Journal of the Operational Research Society, Vol. 40 (1989) by N. Meade, G. R. Salkin posted to bibtex-import by brianmc on 2008-02-26 17:00:55 as
	Algorithms for index tracking [My Copy] IMA Journal of Management Mathematics, Vol. 4 (1992), pp. 279-299. by Kwiatkowski posted to bibtex-import by brianmc on 2008-02-26 17:00:41 as
	Problems in the application of portfolio selection models [My Copy] Omega, Vol. 4 (1976) by S. D. Hodges posted to bibtex-import by brianmc on 2008-02-26 17:00:40 as
	Dedicated stock portfolio [My Copy] Journal of Portfolio Management, Vol. 16, No. 4. (1990) by R. A. Haugen, N. L. Baker posted to bibtex-import by brianmc on 2008-02-26 17:00:24 as
	An evolutionary heuristic for the index tracking problem [My Copy] European Journal of Operational Research, Vol. 148 (2003), pp. 621-643. by J. E. Beasley, N. Meade, T. J. Chang posted to bibtex-import by brianmc on 2008-02-26 17:00:08 as
	Sources of over-performance in equity markets: mean reversion, common trends and herding [My Copy] (2005) by C. Alexander, A. Dimitriu posted to bibtex-import by brianmc on 2008-02-26 16:59:57 as
	Equity indexing: Optimize your passive investments [My Copy] Quantitative Finance, Vol. 4, No. 3. (2008) by C. Alexander, A. Dimitriu posted to bibtex-import by brianmc on 2008-02-26 16:59:44 as
	A simple algorithm to incorporate transaction costs in quadratic optimisation [My Copy] European Journal of Operational Research, Vol. 79 (1994) by C. J. Adcock, N. Meade posted to bibtex-import by brianmc on 2008-02-26 16:59:17 as
	Genetic algorithms applied to feature selection in PLS regression: how and when to use them [My Copy] Chemometrics and Intelligent Laboratory Systems, Vol. 41, No. 2. (27 July 1998), pp. 195-207. by Riccardo Leardi, Amparo L. Gonzalez posted to no-tag by brianmc on 2008-02-05 11:41:15 as
	Selecting both latent and explanatory variables in the PLS1 regression model [My Copy] Chemometrics and Intelligent Laboratory Systems, Vol. 66, No. 2. (28 June 2003), pp. 117-126. by Aziz Lazraq, Robert Cleroux, Jean-Pierre Gauchi posted to no-tag by brianmc on 2008-02-05 11:40:38 as
	Variable and subset selection in PLS regression [My Copy] Chemometrics and Intelligent Laboratory Systems, Vol. 55, No. 1-2. (13 January 2001), pp. 23-38. by Agnar Hoskuldsson posted to no-tag by brianmc on 2008-02-05 11:39:59 as along with 1 person dkuss
	Comparison of different variable selection methods conducted on NIR transmission measurements on intact tablets [My Copy] Chemometrics and Intelligent Laboratory Systems, Vol. 69, No. 1-2. (28 November 2003), pp. 3-12. by Christoffer Abrahamsson, Jonas Johansson, Anders Sparen, Fredrik Lindgren posted to no-tag by brianmc on 2008-02-05 11:39:24 as
	Comparison of selection methods of explanatory variables in PLS regression with application to manufacturing process data [My Copy] Chemometrics and Intelligent Laboratory Systems, Vol. 58, No. 2. (28 October 2001), pp. 171-193. by Jean-Pierre Gauchi, Pierre Chagnon posted to no-tag by brianmc on 2008-02-05 11:38:42 as
	A new approach for the identification of important variables [My Copy] Chemometrics and Intelligent Laboratory Systems, Vol. 80, No. 1. (20 January 2006), pp. 130-135. by Hong L. Zhai, Xing G. Chen, Zhi D. Hu posted to no-tag by brianmc on 2008-02-05 11:37:27 as
	Performance of some variable selection methods when multicollinearity is present [My Copy] Chemometrics and Intelligent Laboratory Systems, Vol. 78, No. 1-2. (28 July 2005), pp. 103-112. by Il-Gyo Chong, Chi-Hyuck Jun posted to no-tag by brianmc on 2008-02-05 11:36:18 as
	Information-Theoretic Analysis of Serial Dependence and Cointegration [My Copy] Studies in Nonlinear Dynamics & Econometrics, Vol. 3, No. 3. (1998) by F. M. Aparicio, A. Escribano posted to cointegration information_theory by brianmc on 2008-01-18 14:55:24 as
	Testing for cointegration using induced-order statistics [My Copy] Computational Statistics, Vol. 23, No. 1. (12 January 2008), pp. 131-151. by Alvaro Escribano, M. Santos, Ana Sipols posted to cointegration by brianmc on 2008-01-18 14:50:42 as
	Volatility filter for index tracking and longshort market-neutral strategies [My Copy] Journal of Asset Management, Vol. 8, No. 2. (July 2007), pp. 101-111. by Miao, Jia posted to finance by brianmc on 2008-01-18 14:49:33 as
	A characterization of long-short trading strategies based on cointegration [My Copy] Computational Intelligence for Financial Engineering, 2003. Proceedings. 2003 IEEE International Conference on In Computational Intelligence for Financial Engineering, 2003. Proceedings. 2003 IEEE International Conference on (2003), pp. 411-416. by Y. Kawasaki, S. Tachiki, H. Udaka, T. Hirano posted to cointegration by brianmc on 2008-01-18 14:48:07 as
	Clustering of financial time series with application to index and enhanced index tracking portfolio [My Copy] Physica A: Statistical Mechanics and its Applications In Market Dynamics and Quantitative Economics - Selection of papers presented at the First Bonzenfreies Colloquiumon Market Dynamics and Quantitative Economics, First Bonzenfreies Colloquium on Market Dynamics and Quantitative Economics, Vol. 355, No. 1. (1 September 2005), pp. 145-151. by Christian Dose, Silvano Cincotti posted to finance by brianmc on 2008-01-18 14:46:52 as
	Cointegration portfolios of European equities for index tracking and market neutral strategies [My Copy] pp. 33-52. by Christian L. Dunis posted to cointegration by brianmc on 2008-01-18 14:45:35 as
	The Cointegration Alpha: Enhanced Index Tracking and Long-Short Equity Market Neutral Strategies [My Copy] Social Science Research Network Working Paper Series (June 2002) by Carol Alexander, A. N. C. A. Dimitriu posted to cointegration by brianmc on 2008-01-18 14:44:40 as
	Cointegration and Asset Allocation: A New Fund Strategy [My Copy] (2001) by Carol Alexander, Ian Giblin, Wayne Weddington posted to alexander-2 by brianmc on 2008-01-18 14:43:56 as
	System Identification: Theory for the User (2nd Edition) [My Copy] (29 December 1998) by Lennart Ljung posted to no-tag by brianmc on 2007-12-06 13:56:04 as along with 6 people and 1 group hkortier mcastillo tingying paulfrogerais jford tdgs Autoregulation
	Theory and Practice of Recursive Identification (Signal Processing, Optimization, and Control) [My Copy] (20 October 1983) by Lennart Ljung, Torsten Soderstrom posted to no-tag by brianmc on 2007-12-06 13:55:39 as
	Recursive PLS algorithms for adaptive data modeling [My Copy] Computers & Chemical Engineering, Vol. 22, No. 4-5. (1998), pp. 503-514. by Joe S. Qin posted to pls by brianmc on 2007-11-29 16:30:01 as
	Improved PLS algorithms [My Copy] Journal of Chemometrics, Vol. 11, No. 1. (1997), pp. 73-85. by Bhupinder S. Dayal, John F. Macgregor posted to pls by brianmc on 2007-11-07 13:17:44 as
	Recursive exponentially weighted PLS and its applications to adaptive control and prediction [My Copy] Journal of Process Control, Vol. 7, No. 3. (1997), pp. 169-179. by Bhupinder S. Dayal, John F. Macgregor posted to pls by brianmc on 2007-11-07 13:16:22 as
	A probabilistic derivation of the partial least-squares algorithm. [My Copy] J Chem Inf Comput Sci, Vol. 41, No. 2. (r 2001), pp. 288-294. by M. G. Gustafsson posted to pls by brianmc on 2007-11-01 19:34:10 as along with 1 person evaf
	Partial least-squares regression: a tutorial [My Copy] Analytica Chimica Acta, Vol. 185, No. 1. (1986), pp. 1-17. by Paul Geladi, Bruce R. Kowalski posted to pls by brianmc on 2007-11-01 19:33:57 as along with 3 people arne jitender cdpwebadmin
	Information Theory, Inference & Learning Algorithms [My Copy] (15 June 2002) by David J. C. Mackay posted to information_theory machine_learning by brianmc on 2007-11-01 19:29:44 as along with 62 people and 5 groups derek_farn fjanoos flips Sergey_gerbek vgauthier foekenev gkatsi pjmaybank serebryakov mdengler jorgeac Fantozzi ARobson betting awarlau Adso dullhunk brian Maderlock alexzeh thefillm pprett ppeeling A_Olympia ansobol yaroslavvb JoSeK ingo jrw rpadams gyuli dariusb simonjudge leidner bayesian BarrosH wnpx filippone marcosmuller danielaugot zielaj daveh spirit_of_numenor sbarthelme anon_pl dwf petrijooste wowbagger nrubens chrisc rsantana fishtank rwilliamson poluxmoon robertoalamino lop matjes delip markusd ekatsyrk luispedro robotact Philosophy_of_Information Blog_and_Wiki_Research AssistiveTechnology inference-group ComplexAdaptiveSystems
	Neural Networks for Pattern Recognition [My Copy] (18 January 1996) by Christopher M. Bishop posted to machine_learning by brianmc on 2007-11-01 19:29:18 as along with 19 people and 5 groups ekatsyrk comqrnd tvdbulck meozbek pjcite napvasconcelos yaroslavvb eme leidner jekky buescher76 arielbaz filippone ephel Found poluxmoon aklassen olbudt fredguilloux CMU-HCII Blog_and_Wiki_Research automatic_summarization ASR astro
	Pattern Recognition and Machine Learning (Information Science and Statistics) [My Copy] (01 August 2007) by Christopher M. Bishop posted to machine_learning by brianmc on 2007-11-01 19:28:34 as along with 54 people and 6 groups fjanoos pjmaybank emailhy pingmei bklynbam gavin1332 ecome psychorav mircea longtop resilla bertelsen ocs sugarexpletive bgibson tkf mthomure emre haiyeong h-chi brian sbarthelme bayes mboehmer paulclinger thefillm stibor ppeeling yaroslavvb sdvillal nojhan gkvas paulinus ajylha helsley hawkes zeppe poluxmoon librain kohei-h napvasconcelos teesid robotact Hoertnagl matjes eddymier delip markusd filippone singhsh ssomani pprett rwilliamson Dukhat Tracking Methods EvolutionaryComputation Metaheuristics Optimization contact-id MuSAMA
	Gaussian Processes for Machine Learning (Adaptive Computation and Machine Learning) [My Copy] (01 December 2005) by Carl E. Rasmussen, Christopher K. I. Williams posted to machine_learning by brianmc on 2007-11-01 19:27:47 as along with 13 people fjanoos renreff bayes ekatsyrk ddahlem lvcargnini vlachmore sbarthelme librain singhsh sfuniak BrianTomasik filippone