In this paper we tackle the optimal portfolio selection problem (PSP). Many research has been made around this subject mainly in two ways, whether extending the Markowitz model by taking into account real-world constraints (floor-ceiling, class and cardinality) or introducing different risk measures like semivariance, value at risk, absolute desviation, etc. Here, we present the preliminary res...

Mathematical programming methods dominate in the portfolio optimization problems, but they cannot be used if we introduce a constraint limiting the number of different assets included in the portfolio. To solve this model some of the heuristics methods (such as genetic algorithm, neural networks and particle swarm optimization algorithm) must be used. In this paper we utilize binary particle sw...

We propose a stochastic approximation method for approximating the efficient frontier of chance-constrained nonlinear programs. Our approach is based on bi-objective viewpoint programs that seeks solutions optimal objective value versus risk constraints violation. To this end, we construct reformulated problem whose to minimize probability violation subject deterministic convex (which includes ...

When faced with multiple inputs X ∈ R+ and outputs Y ∈ R q +, traditional quantile regression of Y conditional on X = x for measuring economic efficiency in the output (input) direction is thwarted by the absence of a natural ordering of Euclidean space for dimensions q (p) greater than one. Daouia and Simar (2007) used nonstandard conditional quantiles to address this problem, conditioning on ...

In this paper we show the usefulness of recent advanced nonparametric efficiency techniques to model performance universities in presence observed and unobserved heterogeneity. Using directional distances for benchmarking purposes, identify a latent heterogeneity factor related human capital their management, that is independent from size, interpret identified as “quality” universities. After t...

Performance measurement in the presence of fixed-sum outputs in data envelopment analysis (DEA) is an interesting and most frequently studied subject in the field of operations research. Different definitions of relative efficiency in the presence of fixed-sum outputs have been proposed in the literature of data envelopment analysis and in all of the existing definitions a common equilibrium ef...

This paper studies an infinite-horizon adverse selection model with an underlying Markov information process and a risk-neutral agent. It introduces a graphic representation of continuation contracts and continuation-payoff frontiers, namely finite policy graphs, and provides an algorithm that generates a sequence of such graphs to approximate the optimal policy graph. The algorithm performs an...

BACKGROUND IQWiG commissioned an international panel of experts to develop methods for the assessment of the relation of benefits to costs in the German statutory health-care system. PROPOSED METHODS The panel recommended that IQWiG inform German decision makers of the net costs and value of additional benefits of an intervention in the context of relevant other interventions in that indicati...

Simulation is a powerful tool for modeling complex systems with intricate relationships between various entities and resources. Simulation optimization refers to methods that search the design space (i.e., the set of all feasible system configurations) to find a system configuration (also called a design point) that gives the best performance. Since simulation is often time consuming, sampling ...