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Joint economic design of X̄ and R control charts for processes subject to two independent assignable causes
(Chapman Hall Ltd, 1993-11-01)
A model for the joint economic design of X̄ and R control charts is developed. This model assumes that the process is subject to two assignable causes. One assignable cause shifts the process mean; the other shifts the ...
Precautionary saving in mean-variance models and different sources of risk
(2021)
We study the effects of first- and second-order risk increases on precautionary saving in a mean-variance model. In doing so, we reduce the gap between the theory of saving, which mainly stems from the expected utility ...
Sampled Control for Mean-Variance Hedging in a Jump Diffusion Financial Market
(IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC, 2010)
In this technical note 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 ...
Sampled control for mean-variance hedging in a jump diffusion financial market
(IEEE - Inst Electrical Electronics Engineers Inc, 2010-07)
In this technical note 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 ...
A synthetic control chart for monitoring the process mean and variance
(2006-04-10)
Purpose - The aim of this paper is to present a synthetic chart based on the non-central chi-square statistic that is operationally simpler and more effective than the joint X̄ and R chart in detecting assignable cause(s). ...
Local influence in compound-poisson models: perturbing the mean-variance relation
(Scientific Advances Publishers, 2012)
Optimal Reactive Power Planning Using Risk Analysis
(Ieee, 2013-01-01)
In this paper, the optimal reactive power planning problem under risk is presented. The classical mixed-integer nonlinear model for reactive power planning is expanded into two stage stochastic model considering risk. This ...
Optimal reactive power planning using risk analysis
(2013-12-01)
In this paper, the optimal reactive power planning problem under risk is presented. The classical mixed-integer nonlinear model for reactive power planning is expanded into two stage stochastic model considering risk. This ...
Estimation of portfolio diversification with copulas
(2022-06-20)
Portfolio diversification plays a key role in asset allocation, still, its benefits are often
overestimated by the classic mean-variance model. Although most publications focus on the
estimation error of returns, this ...
Detecting and quantifying sources of non-stationarity via experimental semivariogram modeling
(Springer, 2012)
Conventional geostatistics often relies on the
assumption of second order stationarity of the random
function (RF). Generally, local means and local variances
of the random variables (RVs) are assumed to be constant
throughout ...