Index tracking aims to select portfolios that imitate the behavior of a stock index. A tracking strategy is referred to as partial when the tracking portfolio is solely formed by a subset of stocks, so enabling a substantial cost reduction in comparison with full tracking. Three criteria are usually employed in the literature when building the tracking portfolio: tracking error variance, excess...

Die Technik der Software-Instrumentierung zur Gewinnung von Laufzeitdaten auf Applikationsebene ist für die dynamische Programmanalyse gewinnbringend nutzbar und wurde vereinzelt auch schon eingesetzt [4]. Wie am Beispiel des Applikationsmonitors des CoSMoS-Systems gezeigt wurde, sind aus dem Bereich der Performance-Analyse bereits fertige Werkzeuge verfügbar, die diese Technik implementieren u...

Dark matter clustered in galaxies or clusters is usually interpreted as a new type of material substance subject only to gravitational force. Alternative explanations envisage deviations of the laws of gravity, of the equations of motion or of both from their commonly accepted form. The additional possibility is explored here that the true origin of the effects depicted as “dark matter” should ...

In this extended abstract we introduce the Arcade Learning Environment (ALE): both a challenge problem and a platform and methodology for evaluating the development of general, domainindependent AI technology. ALE provides an interface to hundreds of Atari 2600 game environments, each one different, interesting, and designed to be a challenge for human players. ALE presents significant research...

Virtuelle Gemeinschaften eröffnen im Gesundheitswesen das Potenzial, die Informationsund Kommunikationsbedürfnisse von Krebspatienten zu erfüllen. Nach einem Überblick über das Gesundheitssystem und möglichen Anknüpfungspunkten für virtuelle Gemeinschaften, fokussieren wir uns auf Krebspatienten. Durch eine Analyse ihrer Situation mit Hilfe von Feldstudien versuchen wir die speziellen Informati...

We propose a portfolio-based solving approach to Answer Set Programming (ASP). Our approach is homogeneous in considering several configurations of the ASP solver clasp. The selection among the configurations is realized via Support Vector Regression. The resulting portfolio-based solver claspfolio regularly outperforms clasp’s default configuration as well as manual tuning.

A novel method of stock portfolio management by using technical indicators is proposed in this paper. The method hybridizes the consensus trading signals generated by the gene expression programming (GEP) proposed by Lee et al., and the portfolio redemption scheme proposed by Tsai et al. with our stock ranking functions. The indicators were used not only for trading, but also for selecting prom...

Debtor-in-Possession (DIP) financing is a unique form of financing that is allowed to firms filing under Chapter 11 of the US Bankruptcy Code. The legal provisions confer enhanced seniority on this financing. It is argued that such financing leads to excessive investment in risky, (even negative NPV) projects. Defenders of DIP financing, on the other hand, argue that it allows funding for posit...

We establish necessary and sufficient conditions for a linear taxation system to be neutral − within the continuous-time “no arbitrage” model − in the sense that asset valuation is invariant to the process for tax rates and choice of realization dates as well as immune to timing options attempting to twist the time profile of taxable income through wash sale transactions. We also demonstrate th...

We develop a model of portfolio choice that nests the views of Keynes—who advocates concentration in a few familiar assets—and Markowitz—who advocates diversification across assets. We rely on the concepts of ambiguity and ambiguity aversion to formalize the idea of an investor's "familiarity" toward assets. The model shows that when an investor is equally ambiguous about all assets, then the o...