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A Mixture of Gaussians Approach to Mathematical Portfolio Oversight : The EF3M Algorithm
Lopez de Prado, Marcos - 2013
An analogue can be made between: (a) the slow pace at which species adapt to an environment, which often results in the emergence of a new distinct species out of a once homogeneous genetic pool, and (b) the slow changes that take place over time within a fund, mutating its investment style. A...
Persistent link: https://www.econbiz.de/10013092381
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A multi-phase algorithm for a joint lot-sizing and pricing problem with stochastic demands
Li, Hongyan; Thorstenson, Anders - In: International journal of production research 52 (2014) 8, pp. 2345-2362
Persistent link: https://www.econbiz.de/10010349363
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A column-generation-based heuristic algorithm for solving operating theater planning problem under stochastic demand and surgey cancellation risk
Wang, Yu; Tang, Jiafu; Fung, Richard Y. K. - In: International journal of production economics 158 (2014), pp. 28-36
Persistent link: https://www.econbiz.de/10010438049
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Joint economic lot sizing problem for three-layer supply chain witch stochastic demand
Abdelsalam, Hisham M.; Elassal, Magy M. - In: International journal of production economics 155 (2014), pp. 272-283
Persistent link: https://www.econbiz.de/10010409800
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Generalized optimization algorithms for complex models
Martinoli, Mario; Seri, Raffaello; Corsi, Fulvio - 2024
nonlinearities and high levels of heterogeneity. The theory is supported by extensive Monte Carlo experiments. …
Persistent link: https://www.econbiz.de/10014634825
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A Stochastic LQR Model for Child Order Placement in Algorithmic Trading
Shen, Jackie - 2020
Modern Algorithmic Trading ("Algo") allows institutional investors and traders to liquidate or establish big security positions in a fully automated or low-touch manner. Most existing academic or industrial Algos focus on how to "slice" a big parent order into smaller child orders over a given...
Persistent link: https://www.econbiz.de/10012837206
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EM Algorithm and Stochastic Control in Economics
Kou, Steven - 2016
Generalising the idea of the classical EM algorithm that is widely used for computing maximum likelihood estimates, we … propose an EM-Control (EM-C) algorithm for solving multi-period finite time horizon stochastic control problems. The new … algorithm sequentially updates the control policies in each time period using Monte Carlo simulation in a forward …
Persistent link: https://www.econbiz.de/10012979815
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Zero-order production planning models with stochastic demand and workload-dependent lead times
Aouam, Tarik; Uzsoy, Reha - In: International journal of production research 53 (2015) 6, pp. 1661-1679
Persistent link: https://www.econbiz.de/10010500772
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Production planning problems with joint service-level guarantee : a computational study
Jiang, Yuchen; Xu, Juan; Shen, Siqian; Shi, Cong - In: International journal of production research 55 (2017) 1/2, pp. 38-58
Persistent link: https://www.econbiz.de/10011588114
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Multistage stochastic optimization for production-inventory planning with intermittent renewable energy
Golari, Mehdi; Fan, Neng; Jin, Tongdan - In: Production and operations management : an international … 26 (2017) 3, pp. 409-425
Persistent link: https://www.econbiz.de/10011673545