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Inference Based on New Pareto-Type Records With Applications to Precipitation and Covid-19 Data
( International Academic Press , 2023 , Article)We consider estimation and prediction of future records based on observed records from the new Pareto type distribution proposed recently by Bourguignon et al. (2016), ¡°M. Bourguignon, H. Saulo, R. N. Fernandez, A new ... -
Penalty ADM Algorithm for Cardinality Constrained Mean-Absolute Deviation Portfolio Optimization
( 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 ...