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A generalized multi-period mean-variance portfolio optimization with Markov switching parameters
(PERGAMON-ELSEVIER SCIENCE LTD, 2008)
In this paper, we deal with a generalized multi-period mean-variance portfolio selection problem with market parameters Subject to Markov random regime switchings. Problems of this kind have been recently considered in the ...
A new chart based on sample variances for monitoring the covariance matrix of multivariate processes
(Springer London Ltd, 2009-04-01)
In this article, we propose a control chart for detecting shifts in the covariance matrix of a multivariate process. The monitoring statistic is based on the standardized sample variance of p quality characteristics we ...
A new chart based on sample variances for monitoring the covariance matrix of multivariate processes
(Springer London Ltd, 2009-04-01)
In this article, we propose a control chart for detecting shifts in the covariance matrix of a multivariate process. The monitoring statistic is based on the standardized sample variance of p quality characteristics we ...
Optimal mean-variance control for discrete-time linear systems with Markovian jumps and multiplicative noises
(PERGAMON-ELSEVIER SCIENCE LTDOXFORD, 2012-02)
In this paper, we consider the stochastic optimal control problem of discrete-time linear systems subject to Markov jumps and multiplicative noises under two criteria. The first one is an unconstrained mean-variance trade-off ...
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 ...
Covariances with OWA operators and Bonferroni means
(Springer, 2020)
The covariance is a statistical technique that is widely used to measure the dispersion between two sets of elements. This work develops new covariance measures by using the ordered weighted average (OWA) operator and ...
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 ...
Genomic regions underlying uniformity of yearling weight in Nellore cattle evaluated under different response variables
(2018-08-16)
Background: In livestock, residual variance has been studied because of the interest to improve uniformity of production. Several studies have provided evidence that residual variance is partially under genetic control; ...
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 ...