Markowitz model is the first modern formulation of portfolio optimization problem. Relyingon historical return of stocks as basic information and using variance as a risk measure aretow drawbacks of this model. Since Markowitz model has been presented, many effortshave been done to remove theses drawbacks. On one hand several better risk measures havebeen introduced and proper models have been ...

background one of most important operations research problems is nurse scheduling problem (nsp) that tries to find an optimal way to assign nurses to shifts with a set of hard constraints. most of the researches are dealing with this problem in deterministic environment with constant parameters. while in the real world applications of nsp, the stochastic nature of some parameters like number of...

Climate models are complex mathematical models designed by meteorologists, geophysicists, and climate scientists to simulate and predict climate. Given temperature predictions from the top 20 climate models worldwide, and over 100 years of historical temperature data, we track the changing sequence of which model currently predicts best. We use an algorithm due to Monteleoni and Jaakkola that m...

The purpose of this paper is to use Bahadur’s asymptotic relative efficiency measure to compare the performance of various tests of autoregressive (AR) versus moving average (MA) error processes in regression models. Tests to be examined include non-nested procedures of the models against each other, and classical procedures based upon testing both the AR and MA error processes against the more...

High, sustained loads in masonry cause time-dependent deformations, which can lead to failure of the construction. This phenomenon mostly occurs in high constructions, such as historical towers, where the dead load imposes significant stresses on the base of the tower [4]. As knowledge and experimental data are lacking to describe this time-dependent behavior in historical masonry, a research p...

Annotation of digitized pages from historical document collections is very important to research on automatic extraction of text blocks, lines, and handwriting recognition. We have recently introduced a new handwritten text database, GERMANA, which is based on a Spanish manuscript from 1891. To our knowledge, GERMANA is the first publicly available database mostly written in Spanish and compara...

It is difficult to find an existing single model which is able to simultaneously model exceedances over thresholds in multivariate financial time series. A new modeling approach, which is a combination of max-stable processes, GARCH processes, and Markov processes, is proposed. Combining Markov processes and max-stable processes defines a new statistical model which has the flexibility of model...

OBJECTIVES 1) To assess temporal patterns in historical patient arrival rates in an emergency department (ED) to determine the appropriate number of shift schedules in an acute care area and a fast-track clinic and 2) to determine whether physician scheduling can be improved by aligning physician productivity with patient arrivals using an optimization planning model. METHODS Historical data ...

We present 14 scenarios of potential tsunamis in the South China Sea and its adjoining basins, the Sulu and Sulawezi Seas. The sources consist of earthquake dislocations inspired by the the study of historical events, either recorded (since 1900) or described in historical documents going back to 1604. We consider worst-case scenarios, where the size of the earthquake is not limited by the larg...