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An Optimal Information Gathering Algorithm
Di Caprio, Debora; Santos‐Arteaga, Francisco - 2012
The current paper defines the optimal sequential information gathering structure of a rational utility maximizer … of information from a set of multidimensional goods. We show how this problem, hardly ever considered in the literature …, does not admit a simple or intuitive solution. Indeed, while the standard sequential search and information gathering …
Persistent link: https://www.econbiz.de/10014166100
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When Econs are human
Welch, John R. - In: Journal of economic methodology 27 (2020) 3, pp. 212-225
Persistent link: https://www.econbiz.de/10012264055
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Strengthening Banks' Portfolio Against Asset Shocks : A Genetic Computational Approach
Gurciullo, Stefano - 2013
This thesis investigates models of market risk assessment based on genetic algorithms, with specific reference to asset portfolio choice under volatile market conditions. It does so by developing computational simulations of asset portfolios, which are then subjected to stressful price events. A...
Persistent link: https://www.econbiz.de/10013075302
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A note on universal bilinear portfolios
Garivaltis, Alex - In: International Journal of Financial Studies : open … 9 (2021) 1/11, pp. 1-17
This note provides a neat and enjoyable expansion and application of the magnificent Ordentlich-Cover theory of "universal portfolios". I generalize Cover's benchmark of the best constant-rebalanced portfolio (or 1-linear trading strategy) in hindsight by considering the best bilinear trading...
Persistent link: https://www.econbiz.de/10012483148
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A new application for the goal programming : the target decision rule for uncertain problems
Gaspars-Wieloch, Helena - In: Journal of risk and financial management : JRFM 13 (2020) 11/280, pp. 1-14
The goal programming (GP) is a well-known approach applied to multi-criteria decision making (M-DM). It has been used in many domains and the literature offers diverse extensions of this procedure. On the other hand, so far, some evident analogies between M-DM under certainty and scenario-based...
Persistent link: https://www.econbiz.de/10012388744
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Optimisation of Innovation Approaches Using Dynamic Programming
Waters, James - 2022
This paper introduces a flexible method based on dynamic programming to calculate the quantitative value of any approach to managing the innovation process. The quantification lets managers precisely compare the values of different approaches, and so identify those that are optimised for their...
Persistent link: https://www.econbiz.de/10014030500
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Heuristic portfolio optimization : Bayesian updating with the Johnson family of distributions
Louth, Richard - In: Optimizing optimization : the next generation of …, (pp. 247-281). 2010
Persistent link: https://www.econbiz.de/10003939160
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Continuous multi-task Bayesian optimisation with correlation
Pearce, Michael; Branke, Juergen - In: European journal of operational research : EJOR 270 (2018) 3, pp. 1074-1085
Persistent link: https://www.econbiz.de/10011882698
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A Bayesian approach to excess volatility, short-term underreaction and long-term overreaction during financial crises
Guo, Xu; McAleer, Michael; Wong, Wing Keung; Zhu, Lixing - In: The North American journal of economics and finance : a … 42 (2017), pp. 346-358
Persistent link: https://www.econbiz.de/10011938136
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A hierarchical Markov decision process modeling feeding and marketing decisions of growing pigs
Pourmoayed, Reza; Nielsen, Lars Relund; Kristensen, … - In: European journal of operational research : EJOR 250 (2016) 3, pp. 925-938
Persistent link: https://www.econbiz.de/10011445350