Some Robust Selection Procedures

Robust portfolio selection with polyhedral ambiguous inputs

 Ambiguity in the inputs of the models is typical especially in portfolio selection problem where the true distribution of random variables is usually unknown. Here we use robust optimization approach to address the ambiguity in conditional-value-at-risk minimization model. We obtain explicit models of the robust conditional-value-at-risk minimization for polyhedral and correlated polyhedral am...

Fuzzy multi-criteria selection procedures in choosing data source

Technology assessment and selection has a substantial impact on organizations procedures in regards to technology transfer. Technological decisions are usually made by a group of experts, and whereby integrity of these viewpoints to a single decision can be quite complex. Today, operational databases and data warehouses exist to manage and organize data with specific features and henceforth, th...

Some Generalized Fwer Procedures

In a multiple testing problem where one is willing to tolerate a few false rejections, procedure controlling the familywise error rate (FWER) can potentially be improved in terms of its ability to detect false null hypotheses by generalizing it to control the k-FWER, the probability of falsely rejecting at least k null hypotheses, for some fixed k > 1. Simes’ test for testing the intersection n...

portfolio selection by robust optimization

this paper discusses the portfolio selection based on robust optimization. since the parameters values of the portfolio optimization problem such as price of the stock, dividends, returns, etc. of per share are unknown, variable and their distributions are uncertain because of the market and price volatility, therefore, there is a need for the development and application of methodologies for de...

Are some surgical procedures overpaid?