نتایج جستجو برای: constrained portfolio optimization
تعداد نتایج: 397947 فیلتر نتایج به سال:
This paper presents dynamic portfolio model based on the Merton's optimal investment-consumption model, which combines dynamic synthetic put option using risk-free and risky assets. This paper is extended version of methodological paper published by Yuan Yao (2012). Because of the long history of the development of foreign financial market, with a variety of financial derivatives, the study on ...
چکیده-پخش بار بهینه به عنوان یکی از ابزار زیر بنایی برای تحلیل سیستم های قدرت پیچیده ،برای مدت طولانی مورد بررسی قرار گرفته است.پخش بار بهینه توابع هدف یک سیستم قدرت از جمله تابع هزینه سوخت ،آلودگی ،تلفات را بهینه می کند،و هم زمان قیود سیستم قدرت را نیز برآورده می کند.در کلی ترین حالتopf یک مساله بهینه سازی غیر خطی ،غیر محدب،مقیاس بزرگ،و ایستا می باشد که می تواند شامل متغیرهای کنترلی پیوسته و گ...
In this paper, a one-layer recurrent neural network is proposed for solving pseudoconvex optimization problems subject to linear equality and bound constraints. Compared with the existing neural networks for optimization (e.g., the projection neural networks), the proposed neural network is capable of solving more general pseudoconvex optimization problems with equality and bound constraints. M...
In this paper we develop a concrete and fully implementable approach to the optimization of functionally generated portfolios in stochastic portfolio theory. The main idea is optimize over family rank-based parameterized by an exponentially concave function on unit interval. This choice can be motivated long term stability capital distribution observed large equity markets allows us circumvent ...
This paper proposes a bacterial foraging based approach for portfolio optimization problem. We develop an improved portfolio optimization model by introducing the endogenous and exogenous liquidity risk and the corresponding indexes are designed to measure the endogenous/exogenous liquidity risk, respectively. Bacterial foraging optimization (BFO) is employed to find the optimal set of portfoli...
Financial portfolio optimization is a challenging problem. First, the problem is multiobjective (i.e.: minimize risk and maximize profit) and the objective functions are often multimodal and non smooth (e.g.: value at risk). Second, managers have often to face real-world constraints, which are typically non-linear. Hence, conventional optimization techniques, such as quadratic programming, cann...
بهبود کیفیت سیگنال گفتار (speech enhancement)، نقش مهمی در سیستم های مخابراتی صوتی ایفا می کند. تکنیک های بهبود کیفیت سیگنال گفتار برای سمعک ها و وسایلی که در محیط های سیار استفاده می شوند، مانند تلفن های موبایل و hands free کاربرد زیادی دارند. روش های زیادی برای کاهش اثر نویز در سیگنال های صوتی ارائه شده است. از این میان می توان به روش های مبتنی بر تفریق طیفی، فیلتر وفقی، فیلتر وینر و تبدیل مو...
A number of variants of the classical Markowitz mean-variance optimization model for portfolio selection have been investigated to render it more realistic. Recently, it has been studied the imposition of a cardinality constraint, setting an upper bound on the number of active positions taken in the portfolio, in an attempt to improve its performance and reduce transactions costs. However, one ...
NAG Libraries have many powerful and reliable optimizers which can be used to solve large portfolio optimization and selection problems in the financial industry. Below is an introduction into the notation and techniques used in portfolio optimization. We discuss some sample problems and present help in choosing an appropriate NAG optimizer. Finally, there is a section on handling transaction c...
نمودار تعداد نتایج جستجو در هر سال
با کلیک روی نمودار نتایج را به سال انتشار فیلتر کنید