Dynamic Portfolio Strategies: quantitative methods and empirical rules for incomplete information PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Dynamic Portfolio Strategies: quantitative methods and empirical rules for incomplete information PDF full book. Access full book title Dynamic Portfolio Strategies: quantitative methods and empirical rules for incomplete information by Nikolai Dokuchaev. Download full books in PDF and EPUB format.
Author: Nikolai Dokuchaev
Publisher: Springer Science & Business Media
ISBN: 1461509211
Category : Business & Economics
Languages : en
Pages : 213
Get Book Here
Book Description
Dynamic Portfolio Strategies: Quantitative Methods and Empirical Rules for Incomplete Information investigates optimal investment problems for stochastic financial market models. It is addressed to academics and students who are interested in the mathematics of finance, stochastic processes, and optimal control, and also to practitioners in risk management and quantitative analysis who are interested in new strategies and methods of stochastic analysis. While there are many works devoted to the solution of optimal investment problems for various models, the focus of this book is on analytical strategies based on "technical analysis" which are model-free. The technical analysis of these strategies has a number of characteristics. Two of the more important characteristics are: (1) they require only historical data, and (2) typically they are more widely used by traders than analysis based on stochastic models. Hence it is the objective of this book to reduce the gap between model-free strategies and strategies that are "optimal" for stochastic models. We hope that researchers, students and practitioners will be interested in some of the new empirically based methods of "technical analysis" strategies suggested in this book and evaluated via stochastic market models.
Author: Nikolai Dokuchaev
Publisher: Springer Science & Business Media
ISBN: 1461509211
Category : Business & Economics
Languages : en
Pages : 213
Get Book Here
Book Description
Dynamic Portfolio Strategies: Quantitative Methods and Empirical Rules for Incomplete Information investigates optimal investment problems for stochastic financial market models. It is addressed to academics and students who are interested in the mathematics of finance, stochastic processes, and optimal control, and also to practitioners in risk management and quantitative analysis who are interested in new strategies and methods of stochastic analysis. While there are many works devoted to the solution of optimal investment problems for various models, the focus of this book is on analytical strategies based on "technical analysis" which are model-free. The technical analysis of these strategies has a number of characteristics. Two of the more important characteristics are: (1) they require only historical data, and (2) typically they are more widely used by traders than analysis based on stochastic models. Hence it is the objective of this book to reduce the gap between model-free strategies and strategies that are "optimal" for stochastic models. We hope that researchers, students and practitioners will be interested in some of the new empirically based methods of "technical analysis" strategies suggested in this book and evaluated via stochastic market models.
Author: Wieslaw Kubiak
Publisher: Springer Science & Business Media
ISBN: 0387877193
Category : Business & Economics
Languages : en
Pages : 300
Get Book Here
Book Description
Proportional Optimization and Fairness is a long-needed attempt to reconcile optimization with apportionment in just-in-time (JIT) sequences and find the common ground in solving problems ranging from sequencing mixed-model just-in-time assembly lines through just-in-time batch production, balancing workloads in event graphs to bandwidth allocation internet gateways and resource allocation in computer operating systems. The book argues that apportionment theory and optimization based on deviation functions provide natural benchmarks for a process, and then looks at the recent research and developments in the field. Individual chapters look at the theory of apportionment and just-in-time sequences; minimization of just-in-time sequence deviation; optimality of cyclic sequences and the oneness; bottleneck minimization; competition-free instances, Fraenkel’s Conjecture, and optimal admission sequences; response time variability; applications to the Liu-Layland Problem and pinwheel scheduling; temporal capacity constraints and supply chain balancing; fair queuing and stride scheduling; and smoothing and batching.
Author: Craig C. Sherbrooke
Publisher: Springer Science & Business Media
ISBN: 140207865X
Category : Business & Economics
Languages : en
Pages : 350
Get Book Here
Book Description
Most books on inventory theory use the item approach to determine stock levels, ignoring the impact of unit cost, echelon location, and hardware indenture. Optimal Inventory Modeling of Systems is the first book to take the system approach to inventory modeling. The result has been dramatic reductions in the resources to operate many systems - fleets of aircraft, ships, telecommunications networks, electric utilities, and the space station. Although only four chapters and appendices are totally new in this edition, extensive revisions have been made in all chapters, adding numerous worked-out examples. Many new applications have been added including commercial airlines, experience gained during Desert Storm, and adoption of the Windows interface as a standard for personal computer models.
Author: John H. Drew
Publisher: Springer Science & Business Media
ISBN: 0387746765
Category : Mathematics
Languages : en
Pages : 220
Get Book Here
Book Description
This title organizes computational probability methods into a systematic treatment. The book examines two categories of problems. "Algorithms for Continuous Random Variables" covers data structures and algorithms, transformations of random variables, and products of independent random variables. "Algorithms for Discrete Random Variables" discusses data structures and algorithms, sums of independent random variables, and order statistics.
Author: Vicki M. Bier
Publisher: Springer Science & Business Media
ISBN: 0387877673
Category : Technology & Engineering
Languages : en
Pages : 239
Get Book Here
Book Description
Game Theoretic Risk Analysis of Security Threats introduces reliability and risk analysis in the face of threats by intelligent agents. More specifically, game-theoretic models are developed for identifying optimal and/or equilibrium defense and attack strategies in systems of varying degrees of complexity. The book covers applications to networks, including problems in both telecommunications and transportation. However, the book’s primary focus is to integrate game theory and reliability methodologies into a set of techniques to predict, detect, diminish, and stop intentional attacks at targets that vary in complexity. In this book, Bier and Azaiez highlight work by researchers who combine reliability and risk analysis with game theory methods to create a set of functional tools that can be used to offset intentional, intelligent threats (including threats of terrorism and war). These tools will help to address problems of global security and facilitate more cost-effective defensive investments.
Author: Joe Zhu
Publisher: Springer Science & Business Media
ISBN: 1475742460
Category : Business & Economics
Languages : en
Pages : 313
Get Book Here
Book Description
Managers are often under great pressure to improve the performance of their organizations. To improve performance, one needs to constantly evaluate operations or processes related to producing products, providing services, and marketing and selling products. Performance evaluation and benchmarking are a widely used method to identify and adopt best practices as a means to improve performance and increase productivity, and are particularly valuable when no objective or engineered standard is available to define efficient and effective performance. For this reason, benchmarking is often used in managing service operations, because service standards (benchmarks) are more difficult to define than manufacturing standards. Benchmarks can be established but they are somewhat limited as they work with single measurements one at a time. It is difficult to evaluate an organization's performance when there are multiple inputs and outputs to the system. The difficulties are further enhanced when the relationships between the inputs and the outputs are complex and involve unknown tradeoffs. It is critical to show benchmarks where multiple measurements exist. The current book introduces the methodology of data envelopment analysis (DEA) and its uses in performance evaluation and benchmarking under the context of mUltiple performance measures.
Author: Enrique del Castillo
Publisher: Springer Science & Business Media
ISBN: 0387714359
Category : Mathematics
Languages : en
Pages : 462
Get Book Here
Book Description
This book covers several bases at once. It is useful as a textbook for a second course in experimental optimization techniques for industrial production processes. In addition, it is a superb reference volume for use by professors and graduate students in Industrial Engineering and Statistics departments. It will also be of huge interest to applied statisticians, process engineers, and quality engineers working in the electronics and biotech manufacturing industries. In all, it provides an in-depth presentation of the statistical issues that arise in optimization problems, including confidence regions on the optimal settings of a process, stopping rules in experimental optimization, and more.
Author: Sung-Chi Chu
Publisher: Springer Science & Business Media
ISBN: 1402078013
Category : Business & Economics
Languages : en
Pages : 171
Get Book Here
Book Description
4th Party Cyber Logistics For Air Cargo is a technical discussion for researchers and practitioners to understand the issues, models, and future directions of air cargo logistics in the cyber era. This book introduces the many aspects of planning and control of air cargo logistics processes in an e-Business environment. The authors approach this subject matter from the perspective of the logistics service providers. There is tremendous potential of achieving industry-wide collaboration between agents of the air cargo industry via an e-Business community platform. At the same time, there are many intellectually challenging problems regarding the architecture, ownership, decision support environment, and knowledge management of such an e-Business platform. The authors provide an evolutionary view to conceptualize the developments of websites where e-Commerce activities and e-Business activities co-exist. Four Web eras are detailed, providing an impetus for the development of frameworks of an e-Business platform for air cargo logistics, or e-Platform. The conceptual framework captures the new elements in cyber logistics and what the framework can do for the industry.
Author: Christer Carlsson
Publisher: Springer Science & Business Media
ISBN: 1441989773
Category : Mathematics
Languages : en
Pages : 289
Get Book Here
Book Description
This book shows how the application of fuzzy logic can benefit management, group decision making, strategic planning, supply chain management and other business imperatives. The theoretical analysis is fully supported by real-life case studies. The book develops themes that businesses can use to master effectiveness and quality, work with flexibility, and support continuous learning in the organization and the individual.
Author: Lean Yu
Publisher: Springer Science & Business Media
ISBN: 9780387717197
Category : Business & Economics
Languages : en
Pages : 348
Get Book Here
Book Description
The book focuses on forecasting foreign exchange rates via artificial neural networks. It creates and applies the highly useful computational techniques of Artificial Neural Networks (ANNs) to foreign-exchange-rate forecasting. The result is an up-to-date review of the most recent research developments in forecasting foreign exchange rates coupled with a highly useful methodological approach to predicting rate changes in foreign currency exchanges. Foreign Exchange Rate Forecasting with Artificial Neural Networks is targeted at both the academic and practitioner audiences. Managers, analysts and technical practitioners in financial institutions across the world will have considerable interest in the book, and scholars and graduate students studying financial markets and business forecast will also have considerable interest in the book. The book discusses the most important advances in foreign-exchange-rate forecasting and then systematically develops a number of new, innovative, and creatively crafted neural network models that reduce the volatility and speculative risk in the forecasting of foreign exchange rates. The book discusses and illustrates three general types of ANN models. Each of these model types reflect the following innovative and effective characteristics: (1) The first model type is a three-layer, feed-forward neural network with instantaneous learning rates and adaptive momentum factors that produce learning algorithms (both online and offline algorithms) to predict foreign exchange rates. (2) The second model type is the three innovative hybrid learning algorithms that have been created by combining ANNs with exponential smoothing, generalized linear auto-regression, and genetic algorithms. Each of these three hybrid algorithms has been crafted to forecast various aspects synergetic performance. (3) The third model type is the three innovative ensemble learning algorithms that combining multiple neural networks into an ensemble output. Empirical results reveal that these creative models can produce better performance with high accuracy or high efficiency.
