相关论文: Fuzziness and Funds Allocation in Portfolio Optimi…

We propose a novel approach that utilizes fuzzification theory to perform feature selection on website content for encryption purposes. Our objective is to identify and select the most relevant features from the website by harnessing the…

Given a new candidate asset represented as a time series of returns, how should a quantitative investment manager be thinking about assessing its usefulness? This is a key qualitative question inherent to the investment process which we aim…

We consider a variation on the classical finance problem of optimal portfolio design. In our setting, a large population of consumers is drawn from some distribution over risk tolerances, and each consumer must be assigned to a portfolio of…

A so called Zipf analysis portofolio management technique is introduced in order to comprehend the risk and returns. Two portofoios are built each from a well known financial index. The portofolio management is based on two approaches: one…

In an acceptance monitoring system, acceptance sampling techniques are used to increase production, enhance control, and deliver higher-quality products at a lesser cost. It might not always be possible to define the acceptance sampling…

Generally, in transportation problem, full vehicles (e.g., light commercial vehicles, medium duty and heavy duty trucks, etc.) are to be booked, and transportation cost of a vehicle has to be paid irrespective of the fulfilment of the…

Methods for analyzing or learning from "fuzzy data" have attracted increasing attention in recent years. In many cases, however, existing methods (for precise, non-fuzzy data) are extended to the fuzzy case in an ad-hoc manner, and without…

Fuzzy implication functions are a key area of study in fuzzy logic, extending the classical logical conditional to handle truth degrees in the interval $[0,1]$. While existing literature often focuses on a limited number of families, in the…

This paper introduces the notion of fuzzy process as a formalism for the idea of fuzzy contact between a device and its environment. The notions of absolute correctness and relative correctness are defined. In order to work with concurrency…

The question of optimal portfolio is addressed. The conventional Markowitz portfolio optimisation is discussed and the shortcomings due to non-Gaussian security returns are outlined. A method is proposed to minimise the likelihood of…

We investigate a continuous-time investment-consumption problem with model uncertainty in a general diffusion-based market with random model coefficients. We assume that a power utility investor is ambiguity-averse, with the preference to…

This paper examines the optimal annuitization, investment and consumption strategies of a utility-maximizing retiree facing a stochastic time of death under a variety of institutional restrictions. We focus on the impact of aging on the…

Once there is a decision of rebalancing or updating a portfolio of funds, the process of changing the current portfolio to the target one, involves a set of transactions that are susceptible of being optimized. This is particularly relevant…

The optimization of large portfolios displays an inherent instability to estimation error. This poses a fundamental problem, because solutions that are not stable under sample fluctuations may look optimal for a given sample, but are, in…

Considering the risk aversion for gains and the risk seeking for losses of venture capitalists, the TODIM has been chosen as the decision-making method. Moreover, group decision is an available way to avoid the limited ability and knowledge…

Previous papers have described a computational approach to System of Systems (SoS) development using an Agent-Based Model (ABM). This paper describes the Fuzzy Decision Analysis used in the negotiation between the SoS agent and a System…

The Fuzzy Modeling has been applied in a wide variety of fields such as Engineering and Management Sciences and Social Sciences to solve a number Decision Making Problems which involve impreciseness, uncertainty and vagueness in data. In…

The potential benefits of portfolio diversification have been known to investors for a long time. Markowitz (1952) suggested the seminal approach for optimizing the portfolio problem based on finding the weights as budget shares that…

In this work, we consider the optimal portfolio selection problem under hard constraints on trading amounts, transaction costs and different rates for borrowing and lending when the risky asset returns are serially correlated. No…

We study a utility maximization problem in a financial market with a stochastic drift process, combining a worst-case approach with filtering techniques. Drift processes are difficult to estimate from asset prices, and at the same time…