This paper proposes a unified approach to creating investment strategies with various desirable properties for investors.Particularly, we provide a new interpretation and the resulting formulations for state space models to attain our investment objectives, which are possibly specified as...

This paper proposes a novel scheme for achieving high investment performances with Mean-Variance (MV) portfolios. As is well-known, MV portfolio performances largely depend on the quality of estimates of parameters, namely expected returns and covariance matrices. Particularly, easily...

Russian Abstract: Записано выражение для энтропии технологического процесса. Показан механизм необратимости технологических явлений производственно- технических...

The mathematical model of economical-manufacturing systems with mass production output was constructed. The state of any production system at any time moment is usually given as a point in two-dimensional phase space. The distribution function for the base product is input, and the equation,...

Factor screening searches for the really important inputs (factors) among the many inputs that are changed in a realistic simulation experiment. Sequential bifurcation (SB) is a sequential method that changes groups of inputs simultaneously. SB is the most efficient and effective method if the...

We present a fully nonparametric method to estimate the value function, via simulation, in the context of expected infinite-horizon discounted rewards for Markov chains. Estimating such value functions plays an important role in approximate dynamic programming. We incorporate “soft...

Russian Abstract: Рассмотрены особенности распространения динамических напряжений в конвейерной ленте, свойства материала которой соответствуют модели Maxwell element....

We investigate whether alternative asset classes should be included in optimal portfolios of the most prominent investor personae in the Behavioral Finance literature, namely, the Cumulative Prospect Theory, the Markowitz and the Loss Averse types of investors. We develop a stochastic spanning...

Russian Abstract: Построение моделей производственно-технических систем связано с теоретическим и экспериментальным изучением организации и технологии производства....

In this paper we investigate global optimization for black-box simulations using metamodels to guide this optimization. As a novel metamodel we introduce intrinsic Kriging, for either deterministic or random simulation. For deterministic simulation we study the famous 'e fficient global...