Sciweavers

32 search results - page 1 / 7
» Optimality conditions in portfolio analysis with general dev...
Sort
View
MP
2006
107views more  MP 2006»
13 years 10 months ago
Optimality conditions in portfolio analysis with general deviation measures
Optimality conditions are derived for problems of minimizing a general measure of deviation of a random variable, with special attention to situations where the random variable cou...
R. Tyrrell Rockafellar, Stan Uryasev, Michael Zaba...
FS
2006
66views more  FS 2006»
13 years 10 months ago
Generalized deviations in risk analysis
General deviation measures are introduced and studied systematically for their potential applications to risk management in areas like portfolio optimization and engineering. Such...
R. Tyrrell Rockafellar, Stan Uryasev, Michael Zaba...
IMCSIT
2010
13 years 8 months ago
Efficient Portfolio Optimization with Conditional Value at Risk
The portfolio optimization problem is modeled as a mean-risk bicriteria optimization problem where the expected return is maximized and some (scalar) risk measure is minimized. In ...
Wlodzimierz Ogryczak, Tomasz Sliwinski
GECCO
2007
Springer
214views Optimization» more  GECCO 2007»
14 years 4 months ago
Portfolio allocation using XCS experts in technical analysis, market conditions and options market
Schulenburg [15] first proposed the idea to model different trader types by supplying different input information sets to a group of homogenous LCS agent. Gershoff [12] investigat...
Sor Ying (Byron) Wong, Sonia Schulenburg
BMCBI
2011
13 years 5 months ago
The impact of quantitative optimization of hybridization conditions on gene expression analysis
Background: With the growing availability of entire genome sequences, an increasing number of scientists can exploit oligonucleotide microarrays for genome-scale expression studie...
Peter Sykacek, David P. Kreil, Lisa A. Meadows, Ri...