Search results for "OPTIMIZATION"
showing 10 items of 2824 documents
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.
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…
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…
On the Methods for Optimal Shape Design
1990
A short survey of the numerical methods for solving optimal shape design problems is given.
Analysis of stamping performances of dual phase steels: A multi-objective approach to reduce springback and thinning failure
2009
The industrial interest on light weight components has contributed in the last years to a significant research effort on new materials able to guarantee high mechanical properties, good formability and reasonable costs together with reduced weights when compared to traditional mild steels. Among such materials advanced high strength steels (AHSS) such as transformations induced plasticity (TRIP) and dual phase (DP), and light weight alloys proved their usefulness in stamping of automotive components. As AHSS are concerned, one of the main drawbacks is related to springback occurrence. Many aspects have to be taken into account when springback reduction is investigated: material behavior iss…
New Energy Corridors in the Euro-Mediterranean Area: The Pivotal Role of Sicily
2018
The present paper deals with the new opportunities deriving from the interconnections of the European and North African transmission systems. In order to achieve a single international market for electricity exchanges, interconnections between networks in different countries are becoming increasingly important and Sicily, for its geographical position in the middle of the Mediterranean Sea, will undoubtedly play an important role as an electrical bridge between Europe and the North Africa in the near future. The paper, presenting the actual electro-energetic context of Tunisia, reports the new important interconnection already realized in South Italy (in particular in Sicily) and describe t…
Dynamic Regret Analysis for Online Tracking of Time-varying Structural Equation Model Topologies
2020
Identifying dependencies among variables in a complex system is an important problem in network science. Structural equation models (SEM) have been used widely in many fields for topology inference, because they are tractable and incorporate exogenous influences in the model. Topology identification based on static SEM is useful in stationary environments; however, in many applications a time-varying underlying topology is sought. This paper presents an online algorithm to track sparse time-varying topologies in dynamic environments and most importantly, performs a detailed analysis on the performance guarantees. The tracking capability is characterized in terms of a bound on the dynamic re…
Non-cooperative Aerial Base Station Placement via Stochastic Optimization
2019
Autonomous unmanned aerial vehicles (UAVs) with on-board base station equipment can potentially provide connectivity in areas where the terrestrial infrastructure is overloaded, damaged, or absent. Use cases comprise emergency response, wildfire suppression, surveillance, and cellular communications in crowded events to name a few. A central problem to enable this technology is to place such aerial base stations (AirBSs) in locations that approximately optimize the relevant communication metrics. To alleviate the limitations of existing algorithms, which require intensive and reliable communications among AirBSs or between the AirBSs and a central controller, this paper leverages stochastic…
Physics-aware Gaussian processes in remote sensing
2018
Abstract Earth observation from satellite sensory data poses challenging problems, where machine learning is currently a key player. In recent years, Gaussian Process (GP) regression has excelled in biophysical parameter estimation tasks from airborne and satellite observations. GP regression is based on solid Bayesian statistics, and generally yields efficient and accurate parameter estimates. However, GPs are typically used for inverse modeling based on concurrent observations and in situ measurements only. Very often a forward model encoding the well-understood physical relations between the state vector and the radiance observations is available though and could be useful to improve pre…