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We address the problem of portfolio optimization under the simplest coherent risk measure, i.e. the expected shortfall. As it is well known, one can map this problem into a linear programming setting. For some values of the external…
We consider the problem of choosing a portfolio that maximizes the cumulative prospect theory (CPT) utility on an empirical distribution of asset returns. We show that while CPT utility is not a concave function of the portfolio weights, it…
Data visualization is essential for developing an understanding of a complex system. The power grid is one of the most complex systems in the world and effective power grid research visualization software must 1) be easy to use, 2) support…
In this paper, we introduce the cyclic polygon plot, a representation based on a novel projection concept for multi-dimensional values. Cyclic polygon plots combine the typically competing requirements of quantitativeness, image-space…
The impact investment market has an estimated value of almost $1.6 trillion. Significant progress has been made in determining the financial returns of impact investing. Investors are still, however, in the early stages of determining…
We present a multi-objective portfolio decision model that involves selecting both a portfolio of projects and a set of elements to allocate to each project. Our model includes a defined set of objectives to optimize, with projects…
In this paper, we investigate how to elicit new perspectives in research-through-design (RtD) studies through annotated portfolios. Situating the usage in human-robot interaction (HRI), we used two robotic artefacts as a case study: we…
We introduce the concept of virtual volatility. This simple but new measure shows how to quantify the uncertainty in the forecast of the drift component of a random walk. The virtual volatility also is a useful tool in understanding the…
Process mining aims to diagnose and improve operational processes. Process mining techniques allow analyzing the event data generated and recorded during the execution of (business) processes to gain valuable insights. Process discovery is…
Business processes evolve over time to adapt to changing business environments. This requires continuous monitoring of business processes to gain insights into whether they conform to the intended design or deviate from it. The situation…
Accurate transfer of information across multiple sectors to enhance model estimation is both significant and challenging in multi-sector portfolio optimization involving a large number of assets in different classes. Within the framework of…
We discuss and extend a powerful, geometric framework to represent the set of portfolios, which identifies the space of asset allocations with the points lying in a convex polytope. Based on this viewpoint, we survey certain…
Software development projects management is a complex endeavor because it requires dealing with numerous unforeseen events that constantly arise along the way and that go against the expectations that had been established at the beginning.…
A new model validation and performance assessment tool is introduced, the sliding threshold of observation for numeric evaluation (STONE) curve. It is based on the relative operating characteristic (ROC) curve technique, but instead of…
In this work, we explore the possibility of utilizing transfer learning techniques to address the financial portfolio optimization problem. We introduce a novel concept called "transfer risk", within the optimization framework of transfer…
With the demand for machine learning increasing, so does the demand for tools which make it easier to use. Automated machine learning (AutoML) tools have been developed to address this need, such as the Tree-Based Pipeline Optimization Tool…
Item Response Theory (IRT) has been proposed within the field of Educational Psychometrics to assess student ability as well as test question difficulty and discrimination power. More recently, IRT has been applied to evaluate machine…
Multi-period portfolio optimization is important for real portfolio management, as it accounts for transaction costs, path-dependent risks, and the intertemporal structure of trading decisions that single-period models cannot capture.…
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…
Modern Portfolio Theory (MPT) prescribes how to maximise the return of an asset portfolio for a given level of risk. The optimal trade-off between return and variance defines the efficient frontier. Whether actual cryptoasset portfolios…