QP is the optimization of a quadratic function subject to linear equality and inequality constraints. It arises in multiple objective decision making where the departure of the actual decisions from their corresponding ideal, or bliss, value can be evaluated using a weighted quadratic norm as a measure of deviation. The formulation of mean-variance optimization of uncertain systems also leads t...

Over sixty years ago, Markowitz introduced the mean-variance efficient frontier to finance. While mean-variance is still the predominant model in portfolio selection, it has endured many criticisms. One serious one is that it does not allow for additional criteria. The difficulty is that the efficient frontier becomes a surface. With it now possible to compute such a surface, we provide an over...

We propose an alternative means of training a multilayer perceptron for the task of speech activity detection based on a criterion to minimise the error in the estimation of mean and variance statistics for speech cepstrum based features using the Kullback-Leibler divergence. We present our baseline and proposed speech activity detection approaches for multi-channel meeting room recordings and ...

We propose a new stochastic dominance (SD) criterion based on Kimball’s (1993) notion of standard risk aversion, which assumes decreasing absolute risk aversion (DARA) and decreasing absolute prudence (DAP). To implement the proposed criterion, we develop linear systems of optimality conditions for a given prospect relative to a discrete or polyhedral choice set in a general state-space model. ...

the present study is an attempt toward evaluating the performance of portfolios and assets selecting using modified mean-variance models by utilizing a non-parametric efficiency analysis tool, namely data envelopment analysis (dea). huge amounts of money are being invested in financial market. as a result, portfolio performance evaluation has created a great deal of interest among people. we kn...

We investigate the relative efficiency of the empirical “tail median” vs. ”tail mean” as estimators of location when the data can be modeled by an exponential power distribution (EPD), a flexible family of light-tailed densities. By considering appropriate probabilities so that the quantile of the untruncated EPD (tail median) and mean of the left-truncated EPD (tail mean) coincide, limiting re...