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Diversification and the Distribution of Portfolio Variance, Part 3 : Polynomial Optimisation for Asset Allocation
Fleming, Brian - 2021
Diversification is a fundamental topic for all investors but there remains little agreement on how to measure it. Often it is defined ambiguously through risk-based portfolio construction techniques. Recently it has been suggested to connect maximising diversification with minimising risk...
Persistent link: https://www.econbiz.de/10013215636
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Recursive Portfolio Selection with Decision Trees
Andriyashin, Anton - 2017
A great proportion of stock dynamics can be explained using publicly available information. The relationship between dynamics and public information may be of nonlinear character. In this paper we offer an approach to stock picking by employing so-called decision trees and applying them to XETRA...
Persistent link: https://www.econbiz.de/10012966264
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Impact of a nuclear phase-out in Germany : results from a simulation model of the European power systems
Hoster, Frank - In: Energy policy 26 (1998) 6, pp. 507-518
Persistent link: https://www.econbiz.de/10001243431
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Lagerstandort-Analyse im Chemikalienbereich für den europäischen Binnenmarkt
Henze, Lars - In: Logistiktiefe in Industrie, Handel und Dienstleistung : …, (pp. 1-9). 1996
Persistent link: https://www.econbiz.de/10001295738
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Optimal industrial classification : [an application to the German industrial classification system]
Chipman, John Somerset; Winker, Peter - 1994
of the problem of choosing an aggregative model optimally for modes of aggregation specified in advance leads to a … formula for the aggregation bias based on the mean-square forecast error. Taking this formula as objective function one would … wish to choose a grouping that minimizes aggregation bias. Unfortunately this results in an optimization problem of a high …
Persistent link: https://www.econbiz.de/10009774715
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Optimal industrial classification
Chipman, John Somerset; Winker, Peter - 1994
Persistent link: https://www.econbiz.de/10013388119
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Metaheuristic Optimization Backgrounds : A Literature Review
Jarraya, Bilel; Bouri, Abdelfettah - 2019
Solving optimization problems becomes a central theme not only on operational research but also on several research areas like robotic, medicine, economic etc. The number of support decision problems that can be formalized as an optimization problem is growing rapidly. This study represents a...
Persistent link: https://www.econbiz.de/10014040437
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A Local Relaxation Method for Cardinality Constrained Portfolio Optimization Problem
Murray, Walter - 2012
The NP-hard nature of cardinality constrained mean-variance portfolio optimization problems has led to a variety of different algorithms with varying degrees of success in reaching optimality given limited computational resources and under the presence of strict time constraints in practice. The...
Persistent link: https://www.econbiz.de/10013115552
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Optimal Depot Locations for Humanitarian Logistics Service Providers Using Robust Optimization
Stienen, Valentijn; Wagenaar, Joris; den Hertog, Dick; … - 2020
When a disaster strikes an area, often international assistance is requested to help responding to and recovering from the disaster. The response is often characterized by the dispatch of relief items to the affected regions via depots from Humanitarian Logistics Service Providers (HLSPs). One...
Persistent link: https://www.econbiz.de/10014092469
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Constraint aggregation in column generation models for resource-constrained covering problems
Porumbel, Daniel; Clautiaux, François - In: INFORMS journal on computing : JOC 29 (2017) 1, pp. 170-184
Persistent link: https://www.econbiz.de/10011648551