Information pricing for portfolio optimization
Tadeusz Banek, Roman Kulikowski (2003)
Control and Cybernetics
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Tadeusz Banek, Roman Kulikowski (2003)
Control and Cybernetics
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Hansjörg Albrecher, Stefan Thonhauser (2009)
RACSAM
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Gideon, F., Mukuddem-Petersen, J., Petersen, M.A. (2007)
Journal of Applied Mathematics
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Sándor Deák, Miklós Rásonyi (2015)
Applicationes Mathematicae
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We calculate explicitly the optimal strategy for an investor with exponential utility function when the price of a single risky asset (stock) follows a discrete-time autoregressive Gaussian process. We also calculate its performance and analyse it when the trading horizon tends to infinity. Dependence of the asymptotic performance on the autoregression parameter is determined. This provides, to the best of our knowledge, the first instance of a theorem linking directly the memory of...
Vesna Čančer (2004)
The Yugoslav Journal of Operations Research
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Robin O. Roundy, Gennady Samorodnitsky (2001)
RAIRO - Operations Research - Recherche Opérationnelle
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Alireza Amirteimoori, Feng Yang (2014)
RAIRO - Operations Research - Recherche Opérationnelle
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Data envelopment analysis (DEA) has been widely used to measure the performance of the operational units that convert multiple inputs into multiple outputs. In many real world scenarios, there are systems that have a two-stage network process with shared inputs used in both stages of productions. In this paper, the problem of evaluating the efficiency of a set of specialized and interdependent components that make up a large DMU is considered. In these processes the first stage consists...
Anna Krasnosielska (2010)
Applicationes Mathematicae
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This paper develops and analyzes a time-dependent optimal stopping problem and its application to the decision making process concerning organ transplants. Offers (organs for transplant) appear at jump times of a Poisson process. The values of the offers are i.i.d. random variables with a known distribution function. These values express the degree of histocompatibility between the donor and the recipient. The sequence of offers is independent of the jump times of the Poisson process....
H. Girlich (1980)
Banach Center Publications
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M. Davis (1976)
Banach Center Publications
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Stefan Ankirchner, Peter Imkeller (2005)
Annales de l'I.H.P. Probabilités et statistiques
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Łukasz Stettner (2005)
Applicationes Mathematicae
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Risk sensitive and risk neutral long run portfolio problems with consumption and proportional transaction costs are studied. Existence of solutions to suitable Bellman equations is shown. The asymptotics of the risk sensitive cost when the risk factor converges to 0 is then considered. It turns out that optimal strategies are stationary functions of the portfolio (portions of the wealth invested in assets) and of economic factors. Furthermore an optimal portfolio strategy for a risk...
Semerdjieva, Maria, Krastev, Evgeniy (2012)
Serdica Journal of Computing
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ACM Computing Classification System (1998): D.0, D.2.11. This paper formulates a realistic case study of a public procurement process, where the national legal system is taken in consideration. Business Process Modeling Notation (BPMN) is used for encoding processes related to the analysis of public procurement tasks. Critical elements in the public procurement process that affect time, quality and cost are identified at the organizational, process execution and system levels....