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Development of an efficient cluster-based portfolio optimization model under realistic market conditions

Massahi, Mahdi; Mahootchi, Masoud; Khamseh, Alireza Arshadi - In: Empirical economics : a journal of the Institute for … 59 (2020) 5, pp. 2423-2442

Persistent link: https://www.econbiz.de/10012315071

An augmented Lagrangian filter method

Leyffer, Sven; Vanaret, Charlie - In: Mathematical methods of operations research : ZOR 92 (2020) 2, pp. 343-376

Persistent link: https://www.econbiz.de/10012395579

A solution method for nonlinear monotone equations via hybrid spectral conjugate gradient and signal recovery problems

Yusuf, Aliyu; Manjak, Nibron Haggai; Mohammad, Hassan; … - In: Operations research forum 5 (2024) 2, pp. 1-16

Persistent link: https://www.econbiz.de/10015179806

Nonlinear forecasting of the Gold Miner Spread : an application of correlations filters

Dunis, Christian; Laws, Jason; Middleton, Peter W.; … - In: Intelligent systems in accounting finance and … 20 (2013) 4, pp. 207-231

Persistent link: https://www.econbiz.de/10010233196

Co-Occurrence : A New Perspective on Portfolio Diversification

Kinlaw, William B.; Kritzman, Mark; Turkington, David - 2023

’s other assets, but correlation is useful only if it provides a good estimate of how an asset’s returns co-occur cumulatively … with the other asset returns over the investor’s prospective horizon. And because correlation is an average of sub …

Persistent link: https://www.econbiz.de/10014343662

Synchronization of Markov chains in multivariate regime-switching models

Vial, Raphael - 2015

Persistent link: https://www.econbiz.de/10010511447

A variational approach to local asymptotic and exponential stabilization of nonlinear systems

Christopherson, Bryce A.; Jafari, Farhad; Morduchovič, … - In: Operations research forum 1 (2020) 1, pp. 1-27

Persistent link: https://www.econbiz.de/10012237544

A fast temporal decomposition procedure for long-horizon nonlinear dynamic programming

Na, Sen; Anitescu, Mihai; Kolar, Mladen - In: Mathematics of operations research 49 (2024) 2, pp. 1012-1044

Persistent link: https://www.econbiz.de/10014564928

Computation of autocorrelations of interdeparture times by numerical transform inversion

Blanc, J. P. (contributor) - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001617292

Evolutionary Computational Approach in TAR Model Estimation

Parpinel, Francesca - 2012

The well-known SETAR model introduced by Tong belongs to the wide class of TAR models that may be specified in several different ways. Here we propose to consider the delay parameter as endogenous, that is we make it to depend on both the past value and the specific past regime of the series. In...

Persistent link: https://www.econbiz.de/10013111893