Concept

Portfolio optimization

Publications associées (77)

Prices and portfolio choices in financial markets: Theory, econometrics, experiments

Many tests of asset-pricing models address only the pricing predictions, but these pricing predictions rest on portfolio choice predictions that seem obviously wrong. This paper suggests a new approach to asset pricing and portfolio choices based on unobse ...

2007

Portfolio optimization of hydroelectric assets subject to financial indicators

Nikolaos Iliadis, Simon Granville

The objective of this article is to present a benchmarking of financial indicators implemented in hydroelectric stochastic risk management models. We present three model formulations using a tree approach for hydroelectric optimization using three procedur ...

Ieee Service Center, 445 Hoes Lane, Po Box 1331, Piscataway, Nj 08855-1331 Usa2007

Multiple description image coding with redundant expansions and optimal quantization

Pascal Frossard, Ivana Radulovic

This paper addresses the problem of optimal rate allocation for multiple description coding with redundant signal expansions. In case of redundant descriptions, the quantization of the transform coefficients has clearly to be adapted to the importance of t ...

2007

Multiple description image coding with redundant expansions and optimal quantization

Pascal Frossard, Ivana Radulovic

2007

Multiple description image coding with redundant expansions and optimal quantization

Pascal Frossard, Ivana Radulovic

Ieee Service Center, 445 Hoes Lane, Po Box 1331, Piscataway, Nj 08855-1331 Usa2007

Bayesian risk analysis of financial time series

Christophe Osinski

This thesis is a contribution to financial statistics. One of the principal concerns of investors is the evaluation of portfolio risk. The notion of risk is vague, but in finance it is always linked to possible losses. In this thesis, we present some measu ...

EPFL2006

Rate-Constrained Beamforming for Collaborating Hearing Aids

Martin Vetterli, Olivier Roy

Hearing aids are audio capture devices which aim at providing the hearing impaired with better audibility. Most of the state-of-the-art systems involve sensing devices that work independently. However, the availability of a wireless communication link betw ...

2006

Benchmarking of hydroelectric stochastic risk management models using financial indicators

Matthias Finger, Pierre-André Haldi

The objective of this paper is to present the operating and hedging analysis of a hydroelectric system in a non-hydro dominated market using a specifically-developed tool for operating and contracting decisions. Hydropower companies are likely to face stoc ...

2005

Networked Slepian-Wolf: Theory, Algorithms and Scaling Laws

Martin Vetterli, Razvan Cristescu

Consider a set of correlated sources located at the nodes of a network, and a set of sinks that are the destinations for some of the sources. The minimization of cost functions which are the product of a function of the rate and a function of the path weig ...

2005

Selling Less Information for More: Garbling with Benefits

Thomas Alois Weber

The expected value of information in a standard portfolio investment problem with ex-post payment can increase when the information is garbled prior to its sale. Distorting the information helps to resolve the incentive problem decreasing the buyer’s defau ...

2004

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