Search results for "Statistics::Other Statistics"

showing 7 items of 7 documents

A fuzzy ranking strategy for portfolio selection applied to the Spanish stock market

2007

In this paper we present a fuzzy ranking procedure for the portfolio selection problem. The uncertainty on the returns of each portfolio is approximated by means of a trapezoidal fuzzy number. The expected return and risk of the portfolio are then characteristics of that fuzzy number. A rank index that accounts for both expected return and risk is defined, allowing the decision-maker to compare different portfolios. The paper ends with an application of that fuzzy ranking strategy to the Spanish stock market.

Actuarial scienceMathematics::General MathematicsComputer sciencebusiness.industryDecision theoryFuzzy setEfficient frontierStatistics::Other StatisticsComputer Science::Computational Engineering Finance and ScienceReplicating portfolioGenetic algorithmEconometricsPortfolioFuzzy numberExpected returnStock marketPost-modern portfolio theoryQuadratic programmingPortfolio optimizationbusinessRisk managementModern portfolio theory2007 IEEE International Fuzzy Systems Conference
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Dynamic copula models for the spark spread

2011

We propose a non-symmetric copula to model the evolution of electricity and gas prices by a bivariate non-Gaussian autoregressive process. We identify the marginal dynamics as driven by normal inverse Gaussian processes, estimating them from a series of observed UK electricity and gas spot data. We estimate the copula by modeling the difference between the empirical copula and the independent copula. We then simulate the joint process and price options written on the spark spread. We find that option prices are significantly influenced by the copula and the marginal distributions, along with the seasonality of the underlying prices.

Statistics::TheoryMathematical financeCopula (linguistics)Statistics::Other StatisticsBivariate analysisLévy processStatistics::ComputationInverse Gaussian distributionsymbols.namesakeAutoregressive modelSpark spreadStatisticsEconometricssymbolsEconomicsStatistics::MethodologyMarginal distributionGeneral Economics Econometrics and FinanceFinanceQuantitative Finance
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Fuzzy portfolio selection based on the analysis of efficient frontiers

2011

We present an algorithm for analyzing the geometry of the efficient frontier of the portfolio selection problem with semicontinuous variable and cardinality constraints, and use it as a basis to solve a fuzzy version of the problem, designed to obtain efficient portfolios, in the Markowitz's sense, for which the trade-off between expected return and assumed risk fits better the investor's subjective criteria. We illustrate our proposal with an example solved with LINGO and Mathematica.

Mathematical optimizationCardinalityFuzzy setMathematics::Optimization and ControlPortfolioFuzzy numberFuzzy set operationsEfficient frontierStatistics::Other StatisticsPortfolio optimizationFuzzy logicMathematics2011 11th International Conference on Intelligent Systems Design and Applications
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Probabilistic Logic under Coherence‚ Model−Theoretic Probabilistic Logic‚ and Default Reasoning in System P

2016

We study probabilistic logic under the viewpoint of the coherence principle of de Finetti. In detail, we explore how probabilistic reasoning under coherence is related to model-theoretic probabilistic reasoning and to default reasoning in System P. In particular, we show that the notions of g-coherence and of g-coherent entailment can be expressed by combining notions in model-theoretic probabilistic logic with concepts from default reasoning. Moreover, we show that probabilistic reasoning under coherence is a generalization of default reasoning in System P. That is, we provide a new probabilistic semantics for System P, which neither uses infinitesimal probabilities nor atomic bound (or bi…

Deductive reasoningSettore MAT/06 - Probabilita' E Statistica MatematicaConditional probability assessments conditional constraints probabilistic logic under coherence model-theoretic probabilistic logic g-coherence g-coherent entailment defaultreasoning from conditional knowledge bases System P conditional objects.conditional constraintsLogicDefault logicStatistics::Other StatisticsProbabilistic logic networkConditional probability assessmentsprobabilistic logic under coherenceNon-monotonic logicSystem PMathematicsg-coherent entailmentHardware_MEMORYSTRUCTURESmodel-theoretic probabilistic logicbusiness.industryProbabilistic logicSystem P; g-coherence; conditional objectsCoherence (statistics)default reasoning from conditional knowledge basesProbabilistic argumentationConditional probability assessments; conditional constraints; probabilistic logic under coherence; model-theoretic probabilistic logic; g-coherence; g-coherent entailment; default reasoning from conditional knowledge bases; System P; conditional objects.Philosophyg-coherenceProbabilistic CTLArtificial intelligencebusinessAlgorithmconditional objectsJournal of Applied Non−Classical Logics
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Cluster analysis for portfolio optimization

2005

We consider the problem of the statistical uncertainty of the correlation matrix in the optimization of a financial portfolio. We show that the use of clustering algorithms can improve the reliability of the portfolio in terms of the ratio between predicted and realized risk. Bootstrap analysis indicates that this improvement is obtained in a wide range of the parameters N (number of assets) and T (investment horizon). The predicted and realized risk level and the relative portfolio composition of the selected portfolio for a given value of the portfolio return are also investigated for each considered filtering method.

Physics - Physics and SocietyEconomics and EconometricsControl and OptimizationMathematics::Optimization and ControlFOS: Physical sciencesStatistics::Other StatisticsPhysics and Society (physics.soc-ph)random matrix theoryportfolio optimizationcorrelation matriceRate of return on a portfolioFOS: Economics and businessComputer Science::Computational Engineering Finance and ScienceEconometricsEconomicsCluster analysisModern portfolio theoryStatistical Finance (q-fin.ST)Covariance matrixApplied MathematicsQuantitative Finance - Statistical FinanceCondensed Matter - Other Condensed MatterPortfolioPortfolio optimizationVolatility (finance)clustering methodRandom matrixOther Condensed Matter (cond-mat.other)
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A PHASE TRANSITION FOR LARGE VALUES OF BIFURCATING AUTOREGRESSIVE MODELS

2019

We describe the asymptotic behavior of the number $$Z_n[a_n,\infty )$$ of individuals with a large value in a stable bifurcating autoregressive process, where $$a_n\rightarrow \infty $$ . The study of the associated first moment is equivalent to the annealed large deviation problem of an autoregressive process in a random environment. The trajectorial behavior of $$Z_n[a_n,\infty )$$ is obtained by the study of the ancestral paths corresponding to the large deviation event together with the environment of the process. This study of large deviations of autoregressive processes in random environment is of independent interest and achieved first. The estimates for bifurcating autoregressive pr…

Statistics and Probability[MATH.MATH-PR] Mathematics [math]/Probability [math.PR]Phase transitionrandom environmentGeneral Mathematicsmedia_common.quotation_subjectmoderate deviationslimit-theoremsmarkov-chainsStatistics::Other StatisticsBranching processdeviation inequalities92D2501 natural sciencesAsymmetry010104 statistics & probability[MATH.MATH-ST]Mathematics [math]/Statistics [math.ST]Convergence (routing)[MATH.MATH-CO]Mathematics [math]/Combinatorics [math.CO]Applied mathematics60C05[MATH]Mathematics [math]0101 mathematicsautoregressive process60J20lawMathematicsBranching processmedia_commonEvent (probability theory)parametersconvergenceMarkov chain010102 general mathematics[MATH.MATH-CO] Mathematics [math]/Combinatorics [math.CO][MATH.MATH-PR]Mathematics [math]/Probability [math.PR]Large deviationslarge deviations Mathematics Subject Classification (2010): 60J8060K37Autoregressive modelcellsLarge deviations theoryStatistics Probability and Uncertaintyasymmetry60F10
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Data for: Decorous Combinatorial Lower Bounds for Row Layout Problems

2021

Files of the new randomly generated instancesnlengths of the departmentsmatrix with the transport weights THIS DATASET IS ARCHIVED AT DANS/EASY, BUT NOT ACCESSIBLE HERE. TO VIEW A LIST OF FILES AND ACCESS THE FILES IN THIS DATASET CLICK ON THE DOI-LINK ABOVE

Statistics::Other StatisticsInterdisciplinary sciencesOtherComputer Science::Operating SystemsFacility LayoutInteger Programming
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