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Mean-variance portfolio selection with the ordered weighted average
(IEEE, 2017)
Portfolio selection is the theory that studies the pro-cess of selecting the optimal proportion of different assets. The firstapproach was introduced by Harry Markowitz and was based ona mean-variance framework. This paper ...
Beta Regression Models: Joint Mean and Variance Modeling
(2015)
In this paper joint mean and variance beta regression models are proposed. The proposed models are fitted applying Bayesian methodology and assuming normal prior distribution for the regression parameters. An analysis of ...
A new media optimizer based on the mean-variance model
(Sociedade Brasileira de Pesquisa Operacional, 2007)
In the financial markets, there is a well established portfolio optimization model called generalized mean-variance model (or generalized Markowitz model). This model considers that a typical investor, while expecting ...
Discrete-time mean variance optimal control of linear systems with Markovian jumps and multiplicative noise
(TAYLOR & FRANCIS LTD, 2009)
In this article, we consider the stochastic optimal control problem of discrete-time linear systems subject to Markov jumps and multiplicative noise under three kinds of performance criterions related to the final value ...
Genetic control of residual variance of yearling weight in Nellore beef cattle
(Amer Soc Animal Science, 2017-04-01)
There is evidence for genetic variability in residual variance of livestock traits, which offers the potential for selection for increased uniformity of production. Different statistical approaches have been employed to ...
Mean-variance hedging strategies in discrete time and continuous state space
(2006)
In this paper we consider the mean-variance hedging problem of a continuous state space financial model with the rebalancing strategies for the hedging portfolio taken at discrete times. An expression is derived for the ...
OWA Operators in Portfolio Selection
(Springer, 2015)
Portfolio choice is the process of selecting the optimal proportion of
various assets. One of the most well-known methods is the mean-variance approach
developed by Harry Markowitz. This paper introduces the ordered ...
Sampled control for mean-variance hedging in a jump diffusion financial market
(IEEE, 2009)
In this paper we consider the mean-variance hedging problem of a jump diffusion continuous state space financial model with the re-balancing strategies for the hedging portfolio taken at discrete times, a situation that ...
Economic design of (X)over-bar and R charts under Weibull shock models
(Wiley-Blackwell, 2000-03-01)
This paper considers the problem of a continuous production process where both the mean and variance are simultaneously monitored by an (X) over bar chart and R chart respectively, and generalizes the model of Costa (IIE ...
Economic design of (X)over-bar and R charts under Weibull shock models
(Wiley-Blackwell, 2000-03-01)
This paper considers the problem of a continuous production process where both the mean and variance are simultaneously monitored by an (X) over bar chart and R chart respectively, and generalizes the model of Costa (IIE ...