Value-at-risk (VaR) and conditional value-at-risk (CVaR) are popular risk measures from academic, industrial and regulatory perspectives. The problem of minimizing CVaR is theoretically known to be of a Neyman–Pearson type binary solution. We add a constraint on expected return to investigate the mean-CVaR portfolio selection problem in a dynamic setting: the investor is faced with a Markowitz ...

Two types of criterion, the minimization criterion based on smoothness and the minimization criterion based on signal-dependent noise, have been proposed to explain several universal features in human arm movement. In this paper, we investigated whether the minimum variance criterion is considered in human trajectory planning. Our results suggest that the minimum variance criterion based on sig...

Portfolio optimization is highly valued and used by many people in the financial field. This paper analyzes asset portfolio allocation of different industries, namely, transportation industry, software semiconductor insurance industry. selected four representative assets from these then mean-variance combination model to analyze forecast return on investment. In order find optimal proportion in...

Rideability, i.e. the ease and comfort with which a horse can be ridden, is considered to be one of the most important traits in riding horses. However, at present rideability is evaluated rather subjectively in breeding horse performance tests. The aim of the present study was to evaluate the role horse behaviour as well as degree and quality of rein tension might play in judges' evaluation of...

We consider a uid queueing problem with an innnite reservoir with output rate C, fed by an innnite superposition of identical On/OO sources with large instantaneous bit rate h C. The On periods have innnite variance, generating Long Range Dependence. It is shown that the distribution of the stationary queue content at embedded time points is heavy tailed with innnite mean. It is explained why t...