Results 61 to 70 of about 279,857 (193)
Portfolio Decisions with Higher Order Moments [PDF]
In this paper, we address the global optimization of two interesting nonconvex problems in finance. We relax the normality assumption underlying the classical Markowitz mean-variance portfolio optimization model and consider the incorporation of skewness
Berc Rustem, P. M. Kleniati
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, 2010 We consider a class of single-particle one-dimensional stochastic equations which include external field, additive and multiplicative noises. We use a parameter $\theta \in [0,1]$ which enables the unification of the traditional It\^o and Stratonovich ...
B. Coutinho dos Santos +9 more
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Entropy, 2020 Continuous drive friction welding is a solid-state welding process that has been experimentally proven to be a fast and reliable method. This is a complex process; deformations in the viscosity of a material alter the friction between the surfaces of the
Daniel Soares de Alcantara +3 more
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Temporal Aggregation of the Returns of a Stock Index Series [PDF]
The effects of temporal aggregation on asymmetry properties and the kurtosis of returns based on the NYSE composite index are studied. There is less asymmetry in responses to shocks for weekly and monthly frequencies than for the daily frequency ...
Brännäs, Kurt
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The Generalized Spectral Kurtosis Estimator
, 2010 Due to its conceptual simplicity and its proven effectiveness in real-time detection and removal of radio frequency interference (RFI) from radio astronomy data, the Spectral Kurtosis (SK) estimator is likely to become a standard tool of a new generation
D. E. Gary +8 more
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A UAV Detection Algorithm Based on an Artificial Neural Network
IEEE Access, 2018 This work was supported in part by the National Natural Science Foundation of China under Grant 61701462 and Grant 41527901, in part by the Qingdao National Laboratory for Marine Science and Technology under Grant 2017ASKJ01, in part by the Qingdao ...
Hao Zhang +3 more
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Autorregresive conditional volatility, skewness and kurtosis [PDF]
This paper proposes a GARCH-type model allowing for time-varying volatility, skewness and kurtosis. The model is estimated assuming a Gram-Charlier series expansion of the normal density function for the error term, which is easier to estimate than the ...
León, Angel +2 more
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Electronic Journal of Plant BreedingYield components related to grain yield were severely affected by salinity. For the agronomically important traits, precise phenotyping of crop plants is essential under stress where soil heterogeneity is aggravated for genetic analysis and developing ...
C. Yoglakshmi, Rajan Isha Pearl, V. Vengadessan, J. Karthick and S. Thirumeni*
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Entropy, 2017 The paper devises a family of leptokurtic bell-shaped distributions which is based on the hyperbolic secant raised to a positive power, and bridges the Laplace and Gaussian laws on asymptotic arguments.
Mario Faliva, Maria Grazia Zoia
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Simulating the market coefficient of relative risk aversion
Cogent Economics & Finance, 2014 In this paper, expected utility, defined by a Taylor series expansion around expected wealth, is maximized. The coefficient of relative risk aversion (CRRA) that is commensurate with a 100% investment in the risky asset is simulated.
Samih Antoine Azar +1 more
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