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Parallel optimization of sparse portfolios with AR-HMMs

Sipos, I. Róbert; Ceffer, Attila; Levendovszky, János - In: Computational economics 49 (2017) 4, pp. 563-578

Persistent link: https://www.econbiz.de/10011762135

Stock market portfolio construction : a four-stage model based on Fractal analysis

Ghosh, Indranil; Chaudhuri, Tamal D. - In: South Asian journal of management : SAJM 25 (2018) 4, pp. 117-149

Persistent link: https://www.econbiz.de/10012011628

Parameter learning and change detection using a particle filter with accelerated adaptation

Gellert, Karol; Schlögl, Erik - In: Risks : open access journal 9 (2021) 12, pp. 1-18

shifts and stochastic volatility. The filter adapts to regime shifts extremely rapidly and delivers a clear heuristic for … distinguishing between regime shifts and stochastic volatility, even though the model dynamics assumed by the filter exhibit neither …

Persistent link: https://www.econbiz.de/10012794245

Risk Budgeting portfolios : existence and computation

Cetingoz, Adil Rengim; Fermanian, Jean-David; Guéant, … - In: Mathematical finance : an international journal of … 34 (2024) 3, pp. 896-924

Persistent link: https://www.econbiz.de/10014565279

Computing Exact Score Vectors for Linear Gaussian State Space Models

Nagakura, Daisuke - 2019

A recursive formula for computing the exact value of score vectors is proposed, which is more desirable than approximate values in some statistical analyses, for a general form of the linear Gaussian state space model. Unlike most extant methods, our formula calculates all components of the...

Persistent link: https://www.econbiz.de/10012906057

Optimal linear combination of Poisson variables for multivariate statistical process control

Epprecht, Eugenio K.; Aparisi, Francisco; … - In: Computers & operations research : and their … 40 (2013) 12, pp. 3021-3032

Persistent link: https://www.econbiz.de/10010210670

Optimal EWMA of linear combination of Poisson variables for multivariate statistical process control

Garcia-Bustos, Sandra; Aparisi, Francisco; Epprecht, … - In: International journal of production research 53 (2015) 14, pp. 4141-4159

Persistent link: https://www.econbiz.de/10011302788

Stochastic inflow modeling for hydropower scheduling problems

Pritchard, Geoffrey - In: European journal of operational research : EJOR 246 (2015) 2, pp. 496-504

Persistent link: https://www.econbiz.de/10011338122

A stochastic program with time series and affine decision rules for the reservoir management problem

Gauvin, Charles; Delage, Erick; Gendreau, Michel - In: European journal of operational research : EJOR 267 (2018) 2, pp. 716-732

Persistent link: https://www.econbiz.de/10011812732

A pontryaghin maximum principle approach for the optimization of dividends/consumption of spectrally negative Markov processes, until a generalized draw-down time

Avram, Florin; Goreac, Dan - In: Scandinavian actuarial journal 2019 (2019) 9, pp. 799-823

Persistent link: https://www.econbiz.de/10012194999