Displaying similar documents to “Dynamic portfolio optimization with risk management and strategy constraints”

An optimality system for finite average Markov decision chains under risk-aversion

Alfredo Alanís-Durán, Rolando Cavazos-Cadena (2012)

Kybernetika

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This work concerns controlled Markov chains with finite state space and compact action sets. The decision maker is risk-averse with constant risk-sensitivity, and the performance of a control policy is measured by the long-run average cost criterion. Under standard continuity-compactness conditions, it is shown that the (possibly non-constant) optimal value function is characterized by a system of optimality equations which allows to obtain an optimal stationary policy. Also, it is shown...

Limits of Bayesian decision related quantities of binomial asset price models

Wolfgang Stummer, Wei Lao (2012)

Kybernetika

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We study Bayesian decision making based on observations X n , t : t ∈ { 0 , T n , 2 T n , ... , n T n } ( T > 0 , n ∈ ℕ ) of the discrete-time price dynamics of a financial asset, when the hypothesis a special n -period binomial model and the alternative is a different n -period binomial model. As the observation gaps tend to zero (i. e. n → ∞ ), we obtain the limits of the corresponding Bayes risk as well as of the related Hellinger integrals and power divergences. Furthermore, we also give an example for the “non-commutativity” between Bayesian statistical...

Finding target units in FDH model by least-distance measure model

Ali Ebrahimnejad, Reza Shahverdi, Farzad Rezaee Balf, Maryam Hatefi (2013)

Kybernetika

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Recently, some authors used the Least-Distance Measure model in order to obtain the shortest distance between the evaluated Decision Making Unit (DMU) and the strongly efficient production frontier. But, their model is not applicable for situation in which the production possibility set satisfies free disposability property. In this paper, we propose a new approach to this end in FDH model which improves the application potential of the Least-Distance Measure and overcomes the mentioned...

Different approaches to weighted voting systems based on preferential positions

Robert Bystrický (2012)

Kybernetika

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Voting systems produce an aggregated result of the individual preferences of the voters. In many cases the aggregated collective preference – the result of the voting procedure – mirrors much more than anything else the characteristics of the voting systems. Preferential voting systems work most of the time with equidistant differences between the adjacent preferences of an individual voter. They produce, as voting systems usually do, some paradoxical results under special circumstances....

A fast Lagrangian heuristic for large-scale capacitated lot-size problems with restricted cost structures

Kjetil K. Haugen, Guillaume Lanquepin-Chesnais, Asmund Olstad (2012)

Kybernetika

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In this paper, we demonstrate the computational consequences of making a simple assumption on production cost structures in capacitated lot-size problems. Our results indicate that our cost assumption of increased productivity over time has dramatic effects on the problem sizes which are solvable. Our experiments indicate that problems with more than 1000 products in more than 1000 time periods may be solved within reasonable time. The Lagrangian decomposition algorithm we use does of...