Search results for "Economia"
showing 10 items of 2567 documents
La performance innovativa dell'Europa
2013
La recente crisi mondiale e le risposte spesso lente ed inadeguate che ne sono seguite, hanno rallentato ed allontanato le prospettive di crescita economica di molte nazioni. Questa crisi ha mutato lo scenario economico con ripercussioni sul quadro sociale ed anche politico. In questo contesto di profondi mutamenti, appare interessante proporre un’analisi empirica aggiornata sullo stato dell'innovazione e della capacità innovativa delle nazioni europee e la posizione che, all’interno di questo quadro, assume l’Italia.
Distance Measures for Portfolio Selection
2017
The classical Markowitz approach to the portfolio selection problem (PSP) consists of selecting the portfolio that minimises the return variance for a given level of expected return. By solving the problem for different values of this expected return we obtain the Pareto efficient frontier, which is composed of non-dominated portfolios. The final user has to discriminate amongst these points by resorting to an external criterion in order to decide which portfolio to invest in. We propose to define an external portfolio that corresponds to a desired criterion, and to assess its distance from the Markowitz frontier in market allowing for short-sellings or not. We show that this distance is ab…
Discrete Time Portfolio Selection with Lévy Processes
2007
This paper analyzes discrete time portfolio selection models with Lévy processes. We first implement portfolio models under the hypotheses the vector of log-returns follow or a multivariate Variance Gamma model or a Multivariate Normal Inverse Gaussian model or a Brownian Motion. In particular, we propose an ex-ante and an ex-post empirical comparisons by the point of view of different investors. Thus, we compare portfolio strategies considering different term structure scenarios and different distributional assumptions when unlimited short sales are allowed.
A wholesale electricity market framework with bilateral trading
2011
An agent-based simulation model for a hybrid power market structure is presented. A bilateral transaction mechanism is combined with a uniform-pricing auction settlement in order to isolate the impact of medium-term bilateral contracts on market power and spot prices in a competitive wholesale market setting. First we describe the negotiation method for bilateral trading of energy and then introduce a new approach for bidding in the DA market based on the load duration curve. We find that, despite the conventional concerns, the foreclosure ef- fect produced by the bilateral agreement between a generation and a retail business will not necessarily lead to higher prices, and will be manifeste…
Risk profiles for re-profiling sovereign debt
2015
Purpose – This paper aims to use a risk management approach for re-profiling of sovereign debt. It develops profiles that trade off expected cost of financing alternative debt structures against their risk. The risk profiles are particularly informative for countries facing sovereign debt crisis, as they allow us to identify, with high probability, debt unsustainability. Risk profiles for two eurozone countries with excessive debt, Cyprus and Italy, were developed. In addition, risk profiles were developed for a proposal to impose debt sanctions in the Ukrainian crisis and it was shown that the financial impact could be substantial. Design/methodology/approach – Using scenario analysis, a r…
Un Modello di Massima Copertura della Domanda per l’Allocazione Ottima delle Ciclostazioni di AMAT
2018
AMAT Palermo S.p.A. is the public transport company of the municipality of Palermo. AMAT manages the bike sharing system and within a sustainable mobility project has involved the DSEAS and four secondary schools to the research project “GoToSchool”, a project whose main aim is to foster the use of the bike by the students in getting to the school.The project developed in two phases: the first phase was devoted to the estimate of the demand of bike sharing service from the students; the second phase was committed to the study of an optimal facility allocation problem in order to maximize the demand of bike sharing service arising from students.The optimization model can be easily customized…
Defining and measuring the development of a country over time
2012
This paper introduces the concept of harmonic growth as an extended acceptation of the notion of development, and discusses its measurement via the Harmonic Growth Index (HGI). The growth is seen as harmonic when the behaviour of a benchmark time series, which here is a measure of wealth, such as per capita GDP, is followed by a similar pattern in socio-economic series. Unlike most widely used indicators in the literature, which take into account the measurement of development over a single time, HGI measures the degree to which a social indicator’s time series pattern matches with the GDP’s. The index is a function, ranging in [0, 1], of the coefficients of the uniform B-splines fitted to …
Practical Financial Optimization: A Library of GAMS Models
2010
In Practical Financial Optimization: A Library of GAMS Models, the authors provide a diverse set of models for portfolio optimization, based on the General Algebraic Modelling System. 'GAMS' consists of a language which allows a high-level, algebraic representation of mathematical models and a set of solvers --- numerical algorithms --- to solve them. The system was developed in response to the need for powerful and flexible front-end tools to manage large, real-life models. The work begins with an overview of the structure of the GAMS language, and discusses issues relating to the management of data in GAMS models. The authors provide models for mean-variance portfolio optimization which a…
A Comparison among Portfolio Selection Strategies with Subordinated Lévy Processes
2007
In this paper we describe portfolio selection models using Lévy processes. The contribution consists in comparing some portfolio selection strategies under different distributional assumptions. We first implement portfolio models under the hypothesis the log-returns follow a particular process with independent and stationary increments. Then we compare the ex-post final wealth of optimal portfolio selection models with subordinated Lévy processes when limited short sales and transaction costs are allowed.
Statistically Validated Networks for assessing topic quality in LDA models
2022
Probabilistic topic models have become one of the most widespread machine learning technique for textual analysis purpose. In this framework, Latent Dirichlet Allocation (LDA) (Blei et al., 2003) gained more and more popularity as a text modelling technique. The idea is that documents are represented as random mixtures over latent topics, where a distribution overwords characterizes each topic. Unfortunately, topic models do not guarantee the interpretability of their outputs. The topics learned from the model may be only characterized by a set of irrelevant or unchained words, being useless for the interpretation. Although many topic-quality metrics were proposed (Newman et al., 2009; Alet…