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41.
《European Journal of Operational Research》2006,175(1):446-461
Astronomical amounts of money are being invested in financial markets. Consequently the evaluation of portfolio performance has created a great deal of interest among practitioners as well as academic researchers. The literature suggests that portfolio efficiency based on mean–variance–skewness is more desirable than the one based on mean–variance. However, there are no well-established procedures to measure efficiency in this framework, mainly due to the computational difficulties. The aim of this paper is to develop a portfolio performance measure based on mean–variance–skewness framework by utilizing a non-parametric efficiency analysis tool, namely ‘Data Envelopment Analysis’. 相似文献
42.
Uniform Asymptotics for the Finite-Time Ruin Probability of a Dependent Risk Model with a Constant Interest Rate 总被引:1,自引:0,他引:1
Kaiyong Wang Yuebao Wang Qingwu Gao 《Methodology and Computing in Applied Probability》2013,15(1):109-124
This paper gives an asymptotically equivalent formula for the finite-time ruin probability of a nonstandard risk model with a constant interest rate, in which both claim sizes and inter-arrival times follow a certain dependence structure. This new dependence structure allows the underlying random variables to be either positively or negatively dependent. The obtained asymptotics hold uniformly in a finite time interval. Especially, in the renewal risk model the uniform asymptotics of the finite-time ruin probability for all times have been given. The obtained results have extended and improved some corresponding results. 相似文献
43.
Jun Feng Liu 《数学学报(英文版)》2019,35(9):1491-1510
In this paper, we establish a moderate deviation principle for the stochastic heat equation driven by a Gaussian noise which is white in time and which has 相似文献
44.
《European Journal of Operational Research》2020,280(1):365-382
Solar panels should not be considered commodities. Considerable quality differences, as measured directly by degradation of production over time, are found between manufacturers. I test two implications from the theory of asymmetric information of quality and find: (1) Solar power systems with high-information third-party owners display higher quality than host-owned systems. (2) Furthermore, with a 85% probability, the price of solar panels that are owned by high-information owners are more highly correlated to quality. Methodologically, the article demonstrates a novel application of Bayesian hierarchical regression models that are increasingly popular in operations research and the decision sciences. 相似文献
45.
46.
Yunfeng Wei Caisheng Chen Qiang Chen Hongwei Yang 《Mathematical Methods in the Applied Sciences》2020,43(1):320-333
In this article, we prove the Liouville-type theorem for stable solutions of weighted p-Laplace–type Grushin equations (1) and (2) where p ≥ 2, q>0 and are nonnegative functions satisfying and as ‖z‖G ≥ R0 with p−Nγ<b<θ+p, R0,Ci(i=1,2) are some positive constants. ∇G=(∇x,(1+γ)|x|γ∇y),γ ≥ 0, and The results hold true for Nγ<μ0(p,b,θ) in 1 and q>qc(p,Nγ,b,θ) in 2 . Here, μ0 and qc are new exponents, which are always larger than the classical critical ones and depend on the parameters p,b and θ. Nγ=N1+(1+γ)N2 is the homogeneous dimension of 相似文献
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48.
In this paper, we consider the Liouville-type theorem for stable solutions of the following Kirchhoff equation ■,where M(t) = a + bt~θ, a 0, b, θ≥ 0, θ = 0 if and only if b = 0. N ≥ 2, q 0 and the nonnegative function g(x) ∈ L_(loc)~1(R~N). Under suitable conditions on g(x), θ and q, we investigate the nonexistence of positive stable solution for this problem. 相似文献
49.
《European Journal of Operational Research》2020,280(1):338-350
We propose a demand estimation method to discover heterogeneous consumer groups. The estimation requires only historical sales data and product availability. Consumers belonging to different segments possess heterogeneous preferences and, in turn, heterogeneous substitution behaviors. For such consumers, the latent class consumer choice model can better represent their heterogeneous purchasing behaviors. In the latent class choice model, there are multiple consumer segments, and the segment types are not observable to the retailer. The expectation-maximization (EM) method is developed to jointly estimate the arrival rate and the parameters of the choice model. The developed method enables a simple estimation procedure by treating the observed data as incomplete observations of the consumer type along with consumer’s first choice. The first choice is the choice before the substitution effects occur. We test the procedure on simulated data sets. The results show that the procedure effectively detects heterogeneous consumer segments that have significant market presence. 相似文献
50.
《European Journal of Operational Research》2020,280(2):428-440
The aim of this paper is to study the fast computation of the lower and upper bounds on the value function for utility maximization under the Heston stochastic volatility model with general utility functions. It is well known there is a closed form solution to the HJB equation for power utility due to its homothetic property. It is not possible to get closed form solution for general utilities and there is little literature on the numerical scheme to solve the HJB equation for the Heston model. In this paper we propose an efficient dual control Monte-Carlo method for computing tight lower and upper bounds of the value function. We identify a particular form of the dual control which leads to the closed form upper bound for a class of utility functions, including power, non-HARA and Yaari utilities. Finally, we perform some numerical tests to see the efficiency, accuracy, and robustness of the method. The numerical results support strongly our proposed scheme. 相似文献