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Exploiting Fitness Distance Correlation of Set Covering Problems
Finger, Markus; Stutzle, Thomas; Lourenço, Helena - 2002
widely used set of benchmark instances through an analysis of the fitness-distance correlation. This analysis shows that … fitness distance correlation, we propose new ways of generating core problems and analyze the performance of algorithms …
Persistent link: https://www.econbiz.de/10014116698
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Exploiting Partial Correlations in Distributionally Robust Optimization
Padmanabhan, Divya; Natarajan, Karthik; Murthy, Karthyek - 2018
In this paper, we identify partial correlation information structures that allow for simpler reformulations in … programming reformulation which explicitly captures partially known correlation information between uncertain processing times of …
Persistent link: https://www.econbiz.de/10014110557
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The Gerber Statistic : A Robust Co-Movement Measure for Portfolio Optimization
Gerber, Sander; Markowitz, Harry; Ernst, Philip; Miao, … - 2021
The purpose of this paper is to introduce the Gerber statistic, a robust co-movement measure for covariance matrix estimation for the purpose of portfolio construction. The Gerber statistic extends Kendall's Tau by counting the proportion of simultaneous co-movements in series when their...
Persistent link: https://www.econbiz.de/10013219149
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An Extended McKean — Vlasov Dynamic Programming Approach to Robust Equilibrium Controls under Ambiguous Covariance Matrix
Lei, Qian; Pun, Chi Seng - 2020
ambiguity stemming from ambiguous volatilities of multiple assets or ambiguous correlation between two risky assets. The …
Persistent link: https://www.econbiz.de/10014032214
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Optimal Per-Loss Reinsurance and Investment Problem Under Negative Correlation Assumption
Wang, Fudong; Liang, Zhibin - 2023
as the corresponding value functions. Furthermore, we investigate the impacts of the negative correlation on the optimal … level, which means that with the different wealth level, the negative correlation has different influence on the optimal … correlation becomes stronger …
Persistent link: https://www.econbiz.de/10014358785
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Asset Allocation Ansätze zur Bildung von internationaldiversifizierten Portfolios : eine Analyse auf Basis historischer Daten
Eberhard, Jochen - 2012
Persistent link: https://www.econbiz.de/10015207927
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The nearest correlation matrix problem : solution by differential evolution method of global optimization
Mishra, S. K. - In: Journal of quantitative economics : official journal of … 6 (2008) 1/2, pp. 240-262
Persistent link: https://www.econbiz.de/10003906301
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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
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On the structure of multiobjective combinatorial search space : MNK-landscapes with correlated objectives
Verel, Sébastien; Liefooghe, Arnaud; Jourdan, Laetitia; … - In: European journal of operational research : EJOR 227 (2013) 2, pp. 331-342
Persistent link: https://www.econbiz.de/10009725638
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Directed principal component analysis
Kao, Yi-hao; Van Roy, Benjamin - In: Operations research 62 (2014) 4, pp. 957-972
Persistent link: https://www.econbiz.de/10010403095