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Dynamic portfolio optimization under robust second order stochastic dominance model
Main topics of the document: portfolio optimization; second order stochastic dominance; portfolio value simulation...
Statistics and probability
- 2024 •
- D •
- Link
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D - Stať ve sborníku
Výsledek na webu
Decision-making in Hausportation Control-part II. Identification and Control
The text deals with Bayesian approach to modeling of dynamic systems, their identification and optimal control. The identification is based on recomputation of prior probability density to posterior one, the synthesis uses ...
BA - Obecná matematika
- 2001 •
- O
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O - Ostatní výsledky
Some Remarks on Stochastic Versions of the Ramsey Growth Model
for finding optimal policy of the "stochasticized" Ramsey model. To this end, we summarize basic features of multistage stochastic programming and stochastic dynamicIn this note we focus attentio...
BB - Aplikovaná statistika, operační výzkum
- 2012 •
- Jx
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Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Simulation of Optimal Stochastic Control Strategies by Maximum Principle
be completely solved only in special tasks. Optimal control of stochastic systems or even systems with probabilistic parameters is usually derived using stochastic dynamic this method and the results are consisten...
BC - Teorie a systémy řízení
- 2010 •
- D
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D - Stať ve sborníku
Stochastic maximum principle
principle is not in favor this time. Optimal control of stochastic systems or even systems with probabilistic parameters is usually derived using stochastic dynamic this method and the results are consistent with ...
BC - Teorie a systémy řízení
- 2011 •
- D
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D - Stať ve sborníku
Dynamic optimization of an emulsion copolymerization process for product quality using a deterministic kinetic model with embedded Monte Carlo simulations
We present the dynamic optimization of an emulsion copolymerization process the surrogate-model-based optimizer MATSuMoTo for the optimization to avoid the need to compute derivatives of the stochastic...
Chemical engineering (plants, products)
- 2019 •
- Jimp •
- Link
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Jimp - Článek v periodiku v databázi Web of Science
Výsledek na webu
Multistage risk-averse asset allocation with transaction costs
stochastic programming models. Dynamic models allow rebalancing the portfolio multiple. The stochastic dual dynamic programming algorithm is then applied to solve the presented dynamic <...
BB - Aplikovaná statistika, operační výzkum
- 2012 •
- D
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D - Stať ve sborníku
On Optimization Techniques for Calibration of Stochastic Volatility Models
The aim of this paper is to study stochastic volatility (SV) models and their calibration to real market data. This task is formulated as the optimization problem calibration procedures to the recent fractional stochast...
AH - Ekonomie
- 2014 •
- D
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D - Stať ve sborníku
Joint tails impact in stochastic volatility portfolio selection models
parametric stochastic volatility portfolio model without the explicit use of a GARCH type or other parametric stochastic volatility models. We describe the bi-dimensional tree of the portfolio and its stochast...
Finance
- 2020 •
- Jimp •
- Link
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Jimp - Článek v periodiku v databázi Web of Science
Výsledek na webu
Dynamic stochastic programming with discrete time
The finite and infinite horizon problems of dynamic stochastic programs with discrete time are discussed. The backward recursion, the Bellman's equation and the convergence of the optimal solution is described....
BB - Aplikovaná statistika, operační výzkum
- 2001 •
- D
Rok uplatnění
D - Stať ve sborníku
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