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السجلات المعروضة 261 -- 270 من 351
Penalty ADM Algorithm for Cardinality Constrained Mean-Absolute Deviation Portfolio Optimization
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International Academic Press
, 2022 , Article)
In this paper, we study the cardinality constrained mean-absolute deviation portfolio optimization problem with risk-neutral interest rate and short-selling. We enhance the model by adding extra constraints to avoid investing ...
Hermite-Hadamard-type inequalities for interval-valued preinvex functions via Riemann-Liouville fractional integrals
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Springer Science and Business Media Deutschland GmbH
, 2021 , Article)
In this paper, we introduce (h1, h2) -preinvex interval-valued function and establish the Hermite-Hadamard inequality for preinvex interval-valued functions by using interval-valued Riemann-Liouville fractional integrals. ...
Ameliorated ensemble strategy-based evolutionary algorithm with dynamic resources allocations
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Atlantis Press
, 2021 , Article)
In the last two decades, evolutionary computing has become the mainstream to attract the attention of the experts in both academia and industrial applications due to the advent of the fast computer with multi-core GHz ...
Hybrid differential evolutionary strawberry algorithm for real-parameter optimization problems
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Bellwether Publishing, Ltd.
, 2021 , Article)
Evolutionary algorithms (EAs) is a family of population-based nature optimization methods. In contrast to classical optimization techniques, EAs provide a set of approximated solutions for different test suites of optimization ...
Hermite-Hadamard type integral inequalities for multidimensional general h-harmonic preinvex stochastic processes
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Taylor and Francis Ltd.
, 2022 , Article)
In this paper, we introduce a new concept of preinvex functions which is called general h-harmonic preinvex for real-valued stochastic processes. Further, we define the multidimensional general h-harmonic preinvex stochastic ...
A penalty decomposition algorithm for the extended mean-variance-CVaR portfolio optimization problem
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World Scientific
, 2023 , Article)
In this paper, we study mean-variance-Conditional Value-At-Risk (CVaR) portfolio optimization problem with short selling, cardinality constraint and transaction costs. To tackle its mixed-integer quadratic optimization ...
Calibration of the double Heston model and an analytical formula in pricing American put option
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Elsevier B.V.
, 2021 , Article)
This paper proposes a novel approach to pricing of American put option under double Heston model. We develop an analytical solution to the double Heston partial differential equation (double Heston PDE) using the equivalent ...
Robust index-tracking and enhanced index-tracking in portfolio optimization
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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 ...
A hybrid LQP alternating direction method for solving variational inequality problems with separable structure
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Natural Sciences Publishing Co.
, 2015 , Article)
In this paper, we presented a logarithmic-quadratic proximal alternating direction method for structured variational inequalities. The method generates the new iterate by searching the optimal step size along the descent ...
The generalized trust-region sub-problem with additional linear inequality constraints-Two convex quadratic relaxations and strong duality
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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 ...