Related papers: Project portfolio selection: Multi-criteria analys…
Multi-stage screening pipelines are ubiquitous throughout experimental and computational science. Much of the effort in developing screening pipelines focuses on improving generative methods or surrogate models in an attempt to make each…
We consider a multiperiod stochastic capacitated facility location problem under uncertain demand and budget in each period. Using a scenario tree representation of the uncertainties, we formulate a multistage stochastic integer program to…
Understanding stakeholder needs is essential for project success, as stakeholder importance varies across projects. This study proposes a framework for early stakeholder identification and continuous engagement throughout the project…
This paper is a chapter in the forthcoming Handbook of Cluster Analysis, Hennig et al. (2015). For definitions of basic clustering methods and some further methodology, other chapters of the Handbook are referred to. To read this version of…
Portfolio sorting is ubiquitous in the empirical finance literature, where it has been widely used to identify pricing anomalies. Despite its popularity, little attention has been paid to the statistical properties of the procedure. We…
Analytical, free of time consuming Monte Carlo simulations, framework for credit portfolio systematic risk metrics calculations is presented. Techniques are described that allow calculation of portfolio-level systematic risk measures…
Risks and potential benefits of distributing software development projects globally depend to a large extent on how to allocate work to different development sites and regions. Existing methods in task allocation are likely to omit the…
The field of portfolio selection is an active research topic, which combines elements and methodologies from various fields, such as optimization, decision analysis, risk management, data science, forecasting, etc. The modeling and…
Stakeholders quantification plays a basic role in selecting the appropriate requirements because their judgement is a major criteria since not all of them have the same importance. Original proposals quantified stakeholders assigning them a…
In this paper we consider an interval portfolio selection problem with uncertain returns and introduce an inclusive concept of satisfaction index for interval inequality relation. Based on the satisfaction index, we propose an approach to…
Requirements engineering (RE) literature acknowledges the importance of early stakeholder identification. The sources of requirements are many and also constantly changing as the market and business constantly change. Identifying and…
We use a replica approach to deal with portfolio optimization problems. A given risk measure is minimized using empirical estimates of asset values correlations. We study the phase transition which happens when the time series is too short…
The artificial segmentation of an investment management process into a workflow with silos of offline human operators can restrict silos from collectively and adaptively pursuing a unified optimal investment goal. To meet the investor's…
A new framework for portfolio diversification is introduced which goes beyond the classical mean-variance approach and portfolio allocation strategies such as risk parity. It is based on a novel concept called portfolio dimensionality that…
Systematic task allocation to different development sites in global software de- velopment projects can open business and engineering perspectives and help to reduce risks and problems inherent in distributed development. Relying only on a…
Beta-sorted portfolios -- portfolios comprised of assets with similar covariation to selected risk factors -- are a popular tool in empirical finance to analyze models of (conditional) expected returns. Despite their widespread use, little…
Cluster analysis requires many decisions: the clustering method and the implied reference model, the number of clusters and, often, several hyper-parameters and algorithms' tunings. In practice, one produces several partitions, and a final…
Consideration sets play a crucial role in discrete choice modeling, where customers often form consideration sets in the first stage and then use a second-stage choice mechanism to select the product with the highest utility. While many…
The stock market offers a platform where people buy and sell shares of publicly listed companies. Generally, stock prices are quite volatile; hence predicting them is a daunting task. There is still much research going to develop more…
Feature-based offline algorithm selection has shown its effectiveness in a wide range of optimization problems, including the black-box optimization problem. An algorithm selection system selects the most promising optimizer from an…