stochastic portfolio selection model
A two stage stochastic mixed integer program modelling and hybrid solution approach to portfolio selection problems
... The static test results in Fig. 6 present information on the solution quality at certain points of time in the planning horizon. However, in practice, investors seldom make decisions and evaluate the constructed ...
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Stochastic dynamic programming methods for the portfolio selection problem
... folio model of Markowitz increased substantially with the number of assets since constructing large-scale portfolios requires solving large-scale quadratic optimiza- tion problems (due to variance) with dense ...
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Strategic Asset Allocation for Life Insurers with Stochastic Liability
... optimal portfolio selection for insurers with stochastic ...The model considers characteristics of the insurers balance sheet and the de- pendence on control variables w of the wealth ...
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Static Mean-Variance portfolio optimization under general sources of uncertainty
... standard portfolio selection problems, it is assumed that the portfolios are self- financing, ...M-V portfolio selection model with regime-switching and a stochastic cash ...
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Investment Opportunities, Uncertain Implicit Transaction Costs and Maximum Downside Risk in Dynamic Stochastic Financial Optimization
... dynamic stochastic methodology in optimal portfolio selection that maximizes investment opportunities and minimizes maximum downside risk while taking into account implicit transaction costs incurred ...
9
Introducing a Relational Network DEA Model with Stochastic Intermediate measures for Portfolio Optimization
... SR-NDEA model was ...a portfolio selection ...presented model, we assume mean return and total profit as random ...our model. By introducing this model, using the capability the ...
10
Portfolio Investment Model Using Neuro Fuzzy System
... control model that includes ecological and economic uncertainty for managing both types of natural ...international portfolio management using dynamic stochastic programming model to determine ...
5
An Explicit Solution for a Portfolio Selection Problem with Stochastic Volatility
... a model for optimal portfolio se- lection under stochastic ...timal portfolio weights and ...the model due to the market parameters and con- ...the model to draw economic ...
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Stochastic portfolio programming, competitive market equilibria, and market portfolios and risk profiles : a New Zealand capital market analysis : a thesis presented in fulfilment of the requirements for the degree of Doctor of Philosophy in Finance at Massey University
... Mainstream modem portfolio theory has developed around the portfolio selection and asset pricing models of Markowitz' mean-variance criterion, the Capital Asset Pricing Model, Arbitrage [r] ...
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A stochastic model for project selection and scheduling problem
... project portfolio selection under ...a model that includes fuzzy logic in a beam search approach to both select and scheduling R&D ...programming model for the project selection and ...
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Online Full Text
... For stochastic cash inflows, see Maurer et al [21], Battocchio [2], Zhang et al [29], Zhang et al [28], Korn and Kruse ...a stochastic dynamic program- ming approach to model a DC pension fund in a ...
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Bayesian Portfolio Selection in a Markov Switching Gaussian Mixture Model
... The departure from normality can also be seen from the Bayesian residual test. We first fit the MSGM model with one regime and one state, which is effectively a model of multivariate normal returns. We ...
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Pricing Portfolio Credit Derivatives with Stochastic Recovery and Systematic Factor
... a model for pricing portfolio credit derivatives with nested Archimedean copulas, stochastic recov- ery rates, and an exogenous systematic factor is ...The model explains the dependence ...
9
On the Stochastic Dominance of Portfolio Insurance Strategies
... In the present paper, we have compared the CPPI and OBPI strategies, mainly with respect to the third stochas- tic dominance (TSD). We find that the CPPI method third order stochastically dominates the OBPI one for high ...
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Sufficient stochastic maximum principle for the optimal control of semi Markov modulated jump diffusion with application to financial optimization
... of stochastic maximum principle and its application to finance has been credited to Cadenillas and Karatzas ...the stochastic maximum principle for jump-diffusion process and applied it to a quadratic ...
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Optimal Investment Problem with Multiple Risky Assets under the Constant Elasticity of Variance (CEV) Model
... (CEV) model with stochastic volatility is a natural extension of geometric Brownian motion and can explain the empirical bias ex- hibited by the GBM model, such as volatility ...CEV model ...
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A New and Flexible Approach to the Analysis of Paired Comparison Data
... In this paper we propose a new method for analyzing paired comparison data. Our main contribution is to relax the assumption that the comparison function is known in advance. Instead, we assume that the inverse of the ...
29
Adaptive Model Weighting and Transductive Regression for Predicting Best System Combinations
... translation model scores each system obtained for each sentence, we estimate translation model performance by measuring the average BLEU performance of each translation relative to other translations in the ...
6
Optimization of Fuzzy Random Portfolio selection by Implementation of Harmony Search Algorithm
... We apply the harmony search algorithm and possibility- based model based on theorems 1 to obtained optimum solution. We have used 6 harmonics, the harmony accepting rate HMCR=0.9, and the pitch adjusting rate ...
5
Bayesian inference and model selection for partially observed stochastic epidemics
... a model where a common clearance rate is assumed for the common serotypes and a model for which we set δ = ...full model estimates for common serotypes but less associated ...full model, or it ...
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