Search results for "CONSTRAINT"
showing 10 items of 361 documents
Liquidity-adjusted value-at-risk optimization of a multi-asset portfolio using a vine copula approach
2019
Abstract This paper develops a novel approach to assess liquidity-adjusted Value-at-Risk (LVaR) optimization of multi-asset portfolios based on vine copulas and LVaR models. This framework is applied to stock markets of the G-7 countries, gold, commodities and Bitcoin. The results show that our approach is superior to the classical mean–variance Markowitz portfolio technique in terms of the optimal portfolio selection under a number of realistic operational and budget constraints. We find that both Bitcoin and gold improves the risk-return performance of the G-7 stock portfolio. However, Bitcoin (gold) performs better under a scenario of only long-positions (when short-selling is allowed).
Extended quasi-additivity of Tsallis entropies
2006
We consider statistically independent non-identical subsystems with different entropic indices q1 and q2. A relation between q1, q2 and q' (for the entire system) extends a power law for entropic index as a function of distance r. A few examples illustrate a role of the proposed constraint q' < min(q1, q2) for the Beck's concept of quasi-additivity.
Explicit, identical maximum likelihood estimates for some cyclic Gaussian and cyclic Ising models
2017
Cyclic models are a subclass of graphical Markov models with simple, undirected probability graphs that are chordless cycles. In general, all currently known distributions require iterative procedures to obtain maximum likelihood estimates in such cyclic models. For exponential families, the relevant conditional independence constraint for a variable pair is given all remaining variables, and it is captured by vanishing canonical parameters involving this pair. For Gaussian models, the canonical parameter is a concentration, that is, an off-diagonal element in the inverse covariance matrix, while for Ising models, it is a conditional log-linear, two-factor interaction. We give conditions un…
Misinterpretation risks of global stochastic optimisation of kinetic models revealed by multiple optimisation runs
2016
Abstract One of use cases for metabolic network optimisation of biotechnologically applied microorganisms is the in silico design of new strains with an improved distribution of metabolic fluxes. Global stochastic optimisation methods (genetic algorithms, evolutionary programing, particle swarm and others) can optimise complicated nonlinear kinetic models and are friendly for unexperienced user: they can return optimisation results with default method settings (population size, number of generations and others) and without adaptation of the model. Drawbacks of these methods (stochastic behaviour, undefined duration of optimisation, possible stagnation and no guaranty of reaching optima) cau…
Late decaying 2-component dark matter scenario as an explanation of the AMS-02 positron excess
2016
The long standing anomaly in the positron flux as measured by the PAMELA and AMS-02 experiments could potentially be explained by dark matter (DM) annihilations. This scenario typically requires a large "boost factor" to be consistent with a thermal relic dark matter candidate produced via freeze-out. However, such an explanation is disfavored by constraints from CMB observations on energy deposition during the epoch of recombination. We discuss a scenario called late-decaying two-component dark matter (LD2DM), where the entire DM consists of two semi-degenerate species. Within this framework, the heavier species is produced as a thermal relic in the early universe and decays to the lighter…
Capacity constrained supply chains: a simulation study
2008
This paper explores the relationship between constrained capacity and supply chain performance. Six capacity constraint levels are studied under different inventory policies and information sharing strategies. The results suggest that an increment of production capacity, used in industry as local approach to manage increasing incoming orders, does not necessarily imply an improvement in customer service. In presence of information distortions, the strategy of augmenting production capacity can lead to satisfy at a higher cost an over-estimated market demand. The collaborative practices provide bullwhip effect dampening and inventory stability, and increase the ability of the structure to av…
PLACE-BASED ATTRIBUTES AND SPATIAL EXPENDITURE BEHAVIOR IN TOURISM
2016
In recent discussions on local sustainable development, notions like “local for local” and “home bias” have often played a role. The purpose of this paper is to investigate whether preferences for specific place-based attributes might constrain or support tourism participation and tourism destination choice of distinct socioeconomic groups of visitors. To test this proposition, a large data set from the Italian Households Budget Survey for the period 1997–2007 has been used and, by means of the double-hurdle model, tourism participation and expenditure are modeled over the life-cycle of tourists. These data are next merged with location-specific attributes including natural amenities and in…
Neutrino oscillation parameters: Future
2019
The Neutrino Oscillation Workshop (NOW2018) included a session addressing neutrino oscillation parameters in the future. This session included discussion of planned and proposed experiments, detector technologies, and analysis techniques to better measure neutrino oscillation parameters. Constraint of systematic uncertainty in future precision measurements was a topic of particular interest. This proceedings is a brief summary of the presentations in the Oscillation Parameters: Future session; readers are directed to individual contributions to the proceedings for more detailed information.
Soil Bacterial Community Along an Altitudinal Gradient in the Sumaco, a Stratovolcano in the Amazon Region
2022
Our study is a pioneering exploration of the microbiome in the soil of the Sumaco stratovolcano and an assessment of the effects of an elevational gradient and related physicochemical soil parameters on richness and community structure. The Sumaco, as an isolated Amazonian stratovolcano, may be among one of the least studied ecosystems in Ecuador and perhaps the Amazon region. Universal patterns remain unresolved or available information inconclusive to establish a supported consensus on general governing processes by which elevation and its associated environmental gradients may determine the microbial richness and community structure. We tested a recent proposal on how microbial diversity…
Understanding Action and Adventure Sports Participation—An Ecological Dynamics Perspective
2017
© 2017, The Author(s). Previous research has considered action and adventure sports using a variety of associated terms and definitions which has led to confusing discourse and contradictory research findings. Traditional narratives have typically considered participation exclusively as the pastime of young people with abnormal characteristics or personalities having unhealthy and pathological tendencies to take risks because of the need for thrill, excitement or an adrenaline ‘rush’. Conversely, recent research has linked even the most extreme forms of action and adventure sports to positive physical and psychological health and well-being outcomes. Here, we argue that traditional framewor…