Browsing Mathematics, Statistics & Physics by Author "Hamdi, A."
Now showing items 21-26 of 26
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Robust index-tracking and enhanced index-tracking in portfolio optimization
Khoshabar, N.A.; Salahi, M.; Lotfi, S.; Hamdi, A. ( Ascociacion Internacional de Economia Aplicada , 2020 , Article)We study index-tracking and enhanced index-tracking problems in portfolio optimization under interval uncertainty for returns and covariance matrix. The proposed robust counterparts for both models are in the form of second ... -
Some Majorization Integral Inequalities for Functions Defined on Rectangles Via Strong Convexity
Sharma, Nidhi; Bisht, Jaya; Mishra, S. K.; Hamdi, A. ( Ilirias Research Institute , 2019 , Article)In this paper, we have extended some integral majorization types and generalized Favard’s inequalities from functions defined on intervals to functions defined on rectangles via strong convexity and apply the results to ... -
Some new integral inequalities for higher-order strongly exponentially convex functions
Bisht, J.; Sharma, N.; Mishra, S.K.; Hamdi, A. ( Institute for Ionics , 2023 , Article)Integral inequalities with generalized convexity play an important role in both applied and theoretical mathematics. The theory of integral inequalities is currently one of the most rapidly developing areas of mathematics ... -
The common solutions of the split feasibility problems and fixed point problems
Hamdi, A.; Liou, Y.-C.; Yao, Y.; Luo, C. ( Springer International Publishing , 2015 , Article)An extraordinary split problem, which can be regarded as a superimposition of the split feasibility problem and the split fixed point problem, is considered. A superimposed algorithm is presented. The analysis technique ... -
The generalized trust-region sub-problem with additional linear inequality constraints-Two convex quadratic relaxations and strong duality
Almaadeed, T.A.; Taati, A.; Salahi, M.; Hamdi, A. ( MDPI AG , 2020 , Article)In this paper, we study the problem of minimizing a general quadratic function subject to a quadratic inequality constraint with a fixed number of additional linear inequality constraints. Under a regularity condition, we ... -
Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm
Mehrdoust, F.; Noorani, I.; Hamdi, A. ( Elsevier B.V. , 2023 , Article)In this paper, we consider the pricing of American options under a regime-switching double Heston model, such that the interest rate and mean-reversion level parameters in both stochastic volatility models shift in various ...