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EOR
2008
150views more  EOR 2008»
14 years 11 months ago
Portfolio optimization when asset returns have the Gaussian mixture distribution
Abstract. Portfolios of assets whose returns have the Gaussian mixture distribution are optimized in the static setting to find portfolio weights and efficient frontiers using the ...
Ian Buckley, David Saunders, Luis Seco
ASC
2006
15 years 18 days ago
Optimal phase shifter coordination: A multidimensional problem
In a liberalized electricity market, the use of phase shifting transformers or other power flow controlling devices allows the transmission system operator to utilize the availabl...
Jody Verboomen, Dirk Van Hertem, Ronnie Belmans, P...
AUTOMATICA
2006
183views more  AUTOMATICA 2006»
14 years 11 months ago
Bank management via stochastic optimal control
This paper examines a problem related to the optimal risk management of banks in a stochastic dynamic setting. In particular, we minimize7 market and capital adequacy risk that in...
Janine Mukuddem-Petersen, Mark Adam Petersen
EOR
2006
59views more  EOR 2006»
14 years 11 months ago
Sensitivity analysis in linear optimization: Invariant support set intervals
Sensitivity analysis is one of the most interesting and preoccupying areas in optimization. Many attempts are made to investigate the problem's behavior when the input data c...
Alireza Ghaffari Hadigheh, Tamás Terlaky
GLOBECOM
2006
IEEE
15 years 5 months ago
Distributed Cross-Layer Optimization of Wireless Sensor Networks: A Game Theoretic Approach
— This paper proposes a distributed optimization framework for wireless multihop sensor networks base on a game theoretic approach. We show that the cross-layer optimization prob...
Jun Yuan, Wei Yu