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  • Search: subject:"stability criteria"
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Subject
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Bayesian estimation 1 Bayesian filters 1 Benders’ decomposition 1 Bilateral contract 1 Brownian motion 1 Calmar ratio 1 ECONOMIC STABILITY CRITERIA 1 ECONOMIC STABILITY OF THE INDUSTRIAL ENTERPRISES 1 FUNCTIONING STRATEGY 1 Gaussian linear distribution 1 Gini coefficient 1 Hirose - Kamada filter 1 Hodrick-Prescott filter 1 Kolmogorov chaos theory 1 Ledenyov investment portfolio theorem 1 Local marginal price (LMP) 1 Lyapunov stability criteria 1 Market-clearing 1 Markov chain 1 Monte-Carlo simulation 1 Security constrained-optimal power flow (SC-OPF) 1 Sharkovsky chaos theory 1 Sharpe ratio 1 Sortino ratio 1 Sterling ratio 1 Stratonovich optimal non-linear filtering theory 1 Stratonovich – Kalman – Bucy filtering algorithm 1 Voltage stability criteria 1 Wiener filtering theory 1 arbitrage pricing theory 1 bifurcation diagram 1 class-dependent service times 1 diffusion approximations 1 diffusion process 1 econometrics 1 econophysics 1 global capital markets 1 global tactical asset allocation investment strategy 1 heavy-traffic limits 1 hedge fund 1
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Online availability
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Free 2 Undetermined 2
Type of publication
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Article 3 Book / Working Paper 1
Language
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Undetermined 4
Author
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Kim, M.K. 1 Ledenyov, Dimitri O. 1 Ledenyov, Viktor O. 1 Nam, Y.W. 1 Park, J.K. 1 Whitt, Ward 1 ВЛАДИМИРОВИЧ, ШМИДТ АНДРЕЙ 1
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Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
Published in...
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Energy 1 MPRA Paper 1 Management Science 1 Вестник Южно-Уральского государственного университета. Серия: Экономика и менеджмент 1
Source
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RePEc 4
Showing 1 - 4 of 4
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On the tracking and replication of hedge fund optimal investment portfolio strategies in global capital markets in presence of nonlinearities, applying Bayesian filters: 1. Stratanovich – Kalman – Bucy filters for Gaussian linear investment returns distribution and 2. Particle filters for non-Gaussian non-linear investment returns distribution
Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2013
The hedge fund represents a unique investment opportunity for the institutional and private investors in the diffusion-type financial systems. The main objective of this condensed article is to research the hedge fund’s optimal investment portfolio strategies selection in the global capital...
Persistent link: https://www.econbiz.de/10011260821
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ПРИМЕНЕНИЕ ЦЕПЕЙ МАРКОВА ПРИ ОПРЕДЕЛЕНИИ СТРАТЕГИИ ФУНКЦИОНИРОВАНИЯ И РАЗВИТИЯ ПРЕДПРИЯТИЯ ПО КРИТЕРИЮ ЭКОНОМИЧЕСКОЙ УСТОЙЧИВОСТИ
ВЛАДИМИРОВИЧ, ШМИДТ АНДРЕЙ - In: Вестник Южно-Уральского … (2011) 3, pp. 145-153
Статья посвящена проблемам исследования и прогнозирования экономической устойчивости промышленных предприятий. Автором рассмотрен вероятностно...
Persistent link: https://www.econbiz.de/10011237595
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Market-clearing for pricing system security based on voltage stability criteria
Kim, M.K.; Park, J.K.; Nam, Y.W. - In: Energy 36 (2011) 2, pp. 1255-1264
stability criteria. Benders’ decomposition is applied for solving the VSC-OPF incorporating post-contingency control actions …
Persistent link: https://www.econbiz.de/10010808759
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Large Fluctuations in a Deterministic Multiclass Network of Queues
Whitt, Ward - In: Management Science 39 (1993) 8, pp. 1020-1028
In this paper we investigate a relatively simple deterministic four-class two-queue multiclass open network of single-server FIFO queues with traffic intensity one at each queue. Our purpose is to better understand the effect of feedback with class-dependent service times at the queues. The...
Persistent link: https://www.econbiz.de/10009214047
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