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A Maximum Entropy Method for a Robust Portfolio Problem
Entropy, 2014 We propose a continuous maximum entropy method to investigate the robustoptimal portfolio selection problem for the market with transaction costs and dividends.This robust model aims to maximize the worst-case portfolio return in the case that allof ...
Yingying Xu +3 more
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The impact of cryptocurrency on the efficient frontier of emerging markets
Croatian Review of Economic, Business and Social Statistics, 2019 Cryptocurrencies are a sweltering topic in modern times of investment strategies. Since the cryptocurrency market is classified as an emerging market, in this paper a portfolio of emerging markets is compiled from the indices of four European Union (EU ...
Ćosić Karlo, Časni Anita Čeh
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Energies, 2023 Since the future output of wind power generation is uncertain due to weather conditions, there is an increasing need to manage the risks associated with wind power businesses, which have been increasingly implemented in recent years.
Takuji Matsumoto, Yuji Yamada
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A General Framework for Portfolio Theory. Part II: Drawdown Risk Measures
Risks, 2018 The aim of this paper is to provide several examples of convex risk measures necessary for the application of the general framework for portfolio theory of Maier-Paape and Zhu (2018), presented in Part I of this series.
Stanislaus Maier-Paape, Qiji Jim Zhu
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Journal of Civil Engineering and Management, 2014 Seismic resistance and cost effectiveness are often two important building planning objectives for architects. However, these objectives nearly always share a negative correlation with each other, which can cause planning delays and confusion.
Min-Yuan Cheng, Ching-Shan Chen
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Modely analýzy obalu dat s fixním součtem výstupů
Trendy v podnikání, 2022 Traditional data envelopment analysis (DEA) models do not consider any relations with respect to the sum of values of outputs. In many real applications, the sum of outputs is predetermined and cannot be changed.
Josef Jablonský
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Constructing an optimal investment portfolio for the Bank of Lithuania
Ekonomika, 2016 The main goal of this article is to illustrate the strategy, devised to improve the effectiveness of utilizing the financial assets, or in this case, the official international reserves, belonging to the Bank of Lithuania.
Birutė Galinienė +1 more
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Graph Search-Based Exploration Method Using a Frontier-Graph Structure for Mobile Robots
Sensors, 2020 This paper describes a graph search-based exploration method. Segmented frontier nodes and their relative transformations constitute a frontier-graph structure.
Hyejeong Ryu
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A new methodology for deriving the efficient frontier of stocks portfolios: An advanced risk-return model [PDF]
Journal of Artificial Intelligence and Data Mining, 2014 In this paper after a general literature review on the concept of Efficient Frontier (EF), an important inadequacy of the Variance based models for deriving EFs and the high necessity for applying another risk measure is exemplified.
Sh. Mehrjoo, M. Jasemi, A. Mahmoudi
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AggregateTo overcome the intrinsic drawbacks of conventional viologens, such as slow optical response and poor radical stability, we synthesized a series of viologen derivatives (BTV, NTV, and STV) by incorporating thiazolo[5,4‐d]thiazole units into bipyridine ...
Jiayao Sha +8 more
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