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An evolutionary algorithm for the estimation of threshold Vector error correction models
Shagi, Makram el- - 2010
We develop an evolutionary algorithm to estimate Threshold Vector Error Correction models (TVECM) with more than two … cointegration vectors inefficient, TVECM necessitate a simultaneous estimation of the cointegration vector(s) and the threshold. As … present paper for this purpose saves 90 to 99 per cent of the computation time of a grid search. -- Strategy ; Genetic …
Persistent link: https://www.econbiz.de/10003943453
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Genetic Algorithm Calibration of Seasonal BVAR Models
Quilis, Enrique M. - 2015
In this paper we explore the use of Genetic Algorithms (GA) to calibrate seasonal BVAR models. In this way, the mechanistic use of seasonal adjustment procedures is avoided, since seasonality becomes a structural, basic and explicit part of the BVAR model. At the same time, the use of GA allows...
Persistent link: https://www.econbiz.de/10014132203
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Heuristic model selection for leading indicators in Russia and Germany
Savin, Ivan; Winker, Peter - 2011
Business tendency survey indicators are widely recognized as a key instrument for business cycle forecasting. Their leading indicator property is assessed with regard to forecasting industrial production in Russia and Germany. For this purpose, vector autoregressive (VAR) models are specified...
Persistent link: https://www.econbiz.de/10008807367
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An Evolutionary Algorithm for the Estimation of Threshold Vector Error Correction Models
El-Shagi, Makram - Institut für Wirtschaftsforschung Halle (IWH) - 2010
We develop an evolutionary algorithm to estimate Threshold Vector Error Correction models (TVECM) with more than two … cointegration vectors inefficient, TVECM necessitate a simultaneous estimation of the cointegration vector(s) and the threshold. As …
Persistent link: https://www.econbiz.de/10008489637
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Profit-oriented scheduling of resource-constrained projects with flexible capacity constraints
Schnabel, André; Kellenbrink, Carolin; Helber, Stefan - 2017
We consider a novel generalization of the resource-constrained project scheduling problem (RCPSP). Unlike many established approaches for the RCPSP that aim to minimize the makespan of the project for given static capacity constraints, we consider the important real-life aspect that capacity...
Persistent link: https://www.econbiz.de/10011655297
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Solving the bi-level problem of a closed optimization of electricity price zone configurations using a genetic algorithm
Felling, Tim - 2019
The topic of alternative price zone configurations is frequently discussed in Central Western Europe where - so far - national borders coincide with borders of price zones. Reconfiguring these price zones is one option in order to improve congestion management, foster trading across borders of...
Persistent link: https://www.econbiz.de/10012038968
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Application of Genetic Algorithms to Quantitative Asset Allocation Models
Phillip, Andrew - 2013
This paper discusses the role that Genetic Algorithms (GA) can have in determining asset allocation for multi sector funds. We present an asset allocation model where the investors' utility function departs from the quadratic utility function assumed by the standard Mean-Variance optimisation....
Persistent link: https://www.econbiz.de/10013084579
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Credit portfolio optimization : a multi-objective genetic algorithm approach
Wang, Zhi; Zhang, Xuan; Zhang, Zhekai; Sheng, Dachen - In: Borsa Istanbul Review 22 (2022) 1, pp. 69-76
The algorithm for optimization of a credit portfolio has not been fully demonstrated. This paper fills the gap in the literature by presenting a general approach for optimizing a credit portfolio by minimizing the default risk of the entire portfolio. Default risk is measured with quadratic...
Persistent link: https://www.econbiz.de/10012817974
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Use of Evolutionary Algorithm in the Investment Project Evaluation
Durucasu, Hasan - 2015
In the realization of infrastructure projects, the interest shown in the Build-Operate-Transfer (BOT) model is on the increase. Through the BOT projects, the risks and awards of the public in the realization of infrastructure projects are transferred to the private sector. Implementing the BOT...
Persistent link: https://www.econbiz.de/10013019571
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Mean-Maximum Drawdown Optimization of Buy-and-Hold Portfolios Using a Multi-objective Evolutionary Algorithm
Drenovak, Mikica; Rankovic, Vladimir; Urošević, Branko; … - 2021
We develop a novel Mean-Max Drawdown portfolio optimization approach using buy-and-hold portfolios. The optimization is performed utilizing a multi-objective evolutionary algorithm on a sample of S&P 100 constituents. Our optimization procedure provides portfolios with better Mean-Max Drawdown...
Persistent link: https://www.econbiz.de/10013215136