Results 121 to 130 of about 4,569,395 (350)
Linear statistical inference for global and local minimum variance portfolios [PDF]
Traditional portfolio optimization has been often criticized since it does not account for estimation risk. Theoretical considerations indicate that estimation risk is mainly driven by the parameter uncertainty regarding the expected asset returns rather
Frahm, Gabriel
core
Belief Propagation Algorithm for Portfolio Optimization Problems
, 2010 The typical behavior of optimal solutions to portfolio optimization problems with absolute deviation and expected shortfall models using replica analysis was pioneeringly estimated by S. Ciliberti and M. M\'ezard [Eur. Phys. B.
Shinzato, Takashi, Yasuda, Muneki
core +3 more sources
Advanced Intelligent Discovery, EarlyView.Capacitive, charge‐domain compute‐in‐memory (CIM) stores weights as capacitance,eliminating DC sneak paths and IR‐drop, yielding near‐zero standbypower. In this perspective, we present a device to systems level performance analysis of most promising architectures and predict apathway for upscaling capacitive CIM for sustainable edge computing ...
Kapil Bhardwaj +2 more
wiley +1 more source
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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Portfolio optimization with mixture vector autoregressive models
, 2020 Obtaining reliable estimates of conditional covariance matrices is an important task of heteroskedastic multivariate time series. In portfolio optimization and financial risk management, it is crucial to provide measures of uncertainty and risk as ...
Boshnakov, Georgi N., Ravagli, Davide
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Noisy Covariance Matrices and Portfolio Optimization
, 2001 According to recent findings [1,2], empirical covariance matrices deduced from financial return series contain such a high amount of noise that, apart from a few large eigenvalues and the corresponding eigenvectors, their structure can essentially be ...
Crisanti +8 more
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Animal Models and Experimental Medicine, EarlyView.Current radiation medical countermeasures primarily focus on hematopoietic acute radiation syndrome (H‐ARS) using agents like granulocyte colony‐stimulating factor (G‐CSF), granulocyte‐macrophage colony‐stimulating factor (GM‐CSF), and romiplostim, alongside treatments for internal contamination (Prussian blue, diethylenetriamine pentaacetate [DTPA ...
Wen‐Bing Ma +12 more
wiley +1 more source
A Polynomial Optimization Approach to Constant Rebalanced Portfolio Selection [PDF]
We address the multi-period portfolio optimization problem with the constant rebalancing strategy. This problem is formulated as a polynomial optimization problem (POP) by using a mean-variance criterion.
Sotirov, R., Takano, Y.
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Portfolio optimization using particle swarm optimization method [PDF]
تحقیقات مالی, 2010 The Markowitz’s optimization problem is considered as a standard quadratic programming problem that has exact mathematical solutions. Considering real world limits and conditions, the portfolio optimization problem is a mixed quadratic and integer ...
Reza Raei, Hedayat Alibeiki
doaj
Differential Evolution for Multiobjective Portfolio Optimization [PDF]
Financial portfolio optimization is a challenging problem. First, the problem is multiobjective (i.e.: minimize risk and maximize profit) and the objective functions are often multimodal and non smooth (e.g.: value at risk).
Sandra Paterlini, Thiemo Krink
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