Threshold Accepting Approach to Improve Bound-based Approximations for Portfolio Optimization
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This article presents a portfolio construction approach that combines the hierarchical clustering of a large asset universe with the stock price momentum. On one hand, investing in high-momentum stocks enhances returns by capturing the momentum premium. On ...
This thesis is devoted to the derivation of a posteriori error estimates for the numerical approximation of fluids flows separated by a free surface. Based on these estimates, error indicators are introduced and adaptive algorithms are proposed to solve th ...
We propose a simple model to study the tradeoff between timeliness and distortion, where different pieces of data have a different cost of not being sent. We pose the question of finding the optimal tradeoff as a policy design problem amenable to dynamic p ...
We propose a simple model to study the tradeoff between timeliness and distortion, where different pieces of data have a different cost of not being sent. We pose the question of finding the optimal tradeoff as a policy design problem amenable to dynamic p ...
We solve a portfolio choice problem when expected returns, covariances, and trading costs follow a regime-switching model. The optimal policy trades towards an aim portfolio given by a weighted-average of the conditional mean-variance-efficient portfolios ...
Multiscale problems, such as modelling flows through porous media or predicting the mechanical properties of composite materials, are of great interest in many scientific areas. Analytical models describing these phenomena are rarely available, and one mus ...
Multiscale or multiphysics partial differential equations are used to model a wide range of physical systems with various applications, e.g. from material and natural science to problems in biology or engineering. When the ratio between the smallest scale ...
This thesis develops optimization-based techniques for the control of distributed energy resources to provide multiple services to the power network. It is divided into three parts.The first part of this thesis focuses on the development of a framework f ...
In this paper, we propose a monolithic algorithm for the numerical solution of the electromechanics model of the left ventricle in the human heart. Our coupled model integrates the monodomain equation with the Bueno-Orovio minimal model for electrophysiolo ...
One of the most fundamental problems in Markov decision processes is analysis and control synthesis for safety and reachability specifications. We consider the stochastic reach-avoid problem, in which the objective is to synthesize a control policy to max ...