Related papers: Utility-based acceptability indices
The adoption of heterogeneous computing systems based on diverse architectures to achieve exascale computing power has worsened the performance portability problem of scientific applications that were designed to run on these platforms. To…
Utility based methods provide a very general theoretically consistent approach to pricing and hedging of securities in incomplete financial markets. Solving problems in the utility based framework typically involves dynamic programming,…
This paper investigates performance attribution measures as a basis for constraining portfolio optimization. We employ optimizations that minimize expected tail loss and investigate both asset allocation (AA) and the selection effect (SE)…
The present article explores the application of randomized control techniques in empirical asset pricing and performance evaluation. It introduces geometric random walks, a class of Markov chain Monte Carlo methods, to construct flexible…
A set of software metrics for the evaluation of power management systems (PMSs) is presented. Such systems for managing power need to be autonomous, scalable, low in complexity, and comprised of portable algorithms in order to be well…
Objective: To present an overview on the current state of the art concerning metrics-based quality evaluation of software components and component assemblies. Method: Comparison of several approaches available in the literature, using a…
Many cluster similarity indices are used to evaluate clustering algorithms, and choosing the best one for a particular task remains an open problem. We demonstrate that this problem is crucial: there are many disagreements among the…
The Competitive Industrial Performance index (developed by experts of the UNIDO) is designed as a measure of national competitiveness. Index is an aggregate of eight observable variables, representing different dimensions of competitive…
Process mining has gained traction over the past decade and an impressive body of research has resulted in the introduction of a variety of process mining approaches measuring process performance. Having this set of techniques available,…
We study a n-player and mean-field portfolio optimization problem under relative performance concerns with non-zero volatility, for wealth and consumption. The consistency assumption defining forward relative performance processes leads to…
Prediction models are often employed in estimating parameters of optimization models. Despite the fact that in an end-to-end view, the real goal is to achieve good optimization performance, the prediction performance is measured on its own.…
In previous work cite{Ha98:Towards} we presented a case-based approach to eliciting and reasoning with preferences. A key issue in this approach is the definition of similarity between user preferences. We introduced the probabilistic…
Consider a service system where incoming tasks are instantaneously dispatched to one out of many heterogeneous server pools. Associated with each server pool is a concave utility function which depends on the class of the server pool and…
We consider an investment process that includes a number of features, each of which can be active or inactive. Our goal is to attribute or decompose an achieved performance to each of these features, plus a baseline value. There are many…
We investigate optimal consumption problems for a Black-Scholes market under uniform restrictions on Value-at-Risk and Expected Shortfall for logarithmic utility functions. We find the solutions in terms of a dynamic strategy in explicit…
Portfolio management problems are often divided into two types: active and passive, where the objective is to outperform and track a preselected benchmark, respectively. Here, we formulate and solve a dynamic asset allocation problem that…
Benchmarks are used for testing new optimization algorithms and their variants to evaluate their performance. Most existing benchmarks are smooth functions. This chapter introduces ten new benchmarks with different properties, including…
The relationship between set-valued risk measures for processes and vectors on the optional filtration is investigated. The equivalence of risk measures for processes and vectors and the equivalence of their penalty function formulations…
We review the utility-based valuation method for pricing derivative securities in incomplete markets. In particular, we review the practical approach to the utility-based pricing by the means of computing the first order expansion of…
The risk of financial positions is measured by the minimum amount of capital to raise and invest in eligible portfolios of traded assets in order to meet a prescribed acceptability constraint. We investigate nondegeneracy, finiteness and…