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Robust data mining / / Petros Xanthopoulos, Panos M. Pardalos, Theodore B. Trafalis
| Robust data mining / / Petros Xanthopoulos, Panos M. Pardalos, Theodore B. Trafalis |
| Autore | Xanthopoulos Petros |
| Edizione | [1st ed. 2013.] |
| Pubbl/distr/stampa | New York, : Springer, 2013 |
| Descrizione fisica | 1 online resource (66 p.) |
| Disciplina | 006.312 |
| Altri autori (Persone) |
PardalosP. M <1954-> (Panos M.)
TrafalisTheodore B |
| Collana | SpringerBriefs in optimization |
| Soggetto topico |
Data mining
Robust optimization |
| ISBN |
1-283-90917-0
1-4419-9878-0 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 1. Introduction -- 2. Least Squares Problems -- 3. Principal Component Analysis -- 4. Linear Discriminant Analysis -- 5. Support Vector Machines -- 6. Conclusion. |
| Record Nr. | UNINA-9910437873403321 |
Xanthopoulos Petros
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| New York, : Springer, 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Robust Design Optimization of Electrical Machines and Devices / / by Tamás Orosz, David Pánek, Anton Rassõlkin (editors)
| Robust Design Optimization of Electrical Machines and Devices / / by Tamás Orosz, David Pánek, Anton Rassõlkin (editors) |
| Pubbl/distr/stampa | [Place of publication not identified] : , : MDPI - Multidisciplinary Digital Publishing Institute, , 2023 |
| Descrizione fisica | 1 online resource (228 pages) |
| Disciplina | 519.3 |
| Soggetto topico |
Mathematical optimization
Robust optimization |
| ISBN | 3-0365-6377-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Robust Design Optimization of Electrical Machines and Devices 1 -- Robust and Multi-Objective Pareto Design of a Solenoid 5 -- A Multi-Objective Design Optimization for a Permanent Magnet Synchronous Machine with Hairpin Winding Intended for Transport Applications 21 -- Analytical Study and Comparison of Electromagnetic Characteristics of 8-Pole 9-Slot and 8-Pole 12-Slot Permanent Magnet Synchronous Machines Considering Rotor Eccentricity 35 -- On the Optimal Selection of Flux Barrier Reconfiguration for a Five-Phase Permanent Magnet Assisted Synchronous Reluctance Machine for Low-Torque Ripple Application 45 -- Power Quality Monitoring Strategy Based on an Optimized Multi-Domain Feature Selection for the Detection and Classification of Disturbances in Wind Generators 61 -- The Structural and Dielectric Properties of Bi3−xNdxTi1.5W0.5O9 (x = 0.25, 0.5, 0.75, 1.0) 87 -- Assessment of Thermophysical Performance of Ester-Based Nanofluids for Enhanced Insulation Cooling in Transformers 99 -- Comparison of Mechanical and Low-Frequency Dielectric Properties of Thermally and Thermo-Mechanically Aged Low Voltage CSPE/XLPE Nuclear Power Plant Cables 113 -- Optimization of a 3D-Printed Permanent Magnet Coupling Using Genetic Algorithm and Taguchi Method 129 -- A Computationally Efficient Model Predictive Current Control of Synchronous Reluctance Motors Based on Hysteresis Comparators 145 -- A Modified Dynamic Model of Single-Sided Linear Induction Motors Considering Longitudinal and Transversal Effects 159 -- A Novel, Improved Equivalent Circuit Model for Double-Sided Linear Induction Motor 173 -- Performance Comparison of Quantized Control Synthesis Methods of Antenna Arrays 189 -- Application of Particle Swarm Optimization in the Design of an ICT High-Voltage Power Supply with Dummy Primary Winding 207. |
| Record Nr. | UNINA-9910647229803321 |
| [Place of publication not identified] : , : MDPI - Multidisciplinary Digital Publishing Institute, , 2023 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Robust optimization [[electronic resource] /] / Aharon Ben-Tal, Laurent El Ghaoui, Arkadi Nemirovski
| Robust optimization [[electronic resource] /] / Aharon Ben-Tal, Laurent El Ghaoui, Arkadi Nemirovski |
| Autore | Ben-Tal A |
| Edizione | [Course Book] |
| Pubbl/distr/stampa | Princeton, NJ, : Princeton University Press, c2009 |
| Descrizione fisica | 1 online resource (565 p.) |
| Disciplina | 519.6 |
| Altri autori (Persone) |
El GhaouiLaurent
NemirovskiĭArkadiĭ Semenovich |
| Collana | Princeton Series in Applied Mathematics |
| Soggetto topico |
Robust optimization
Linear programming |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-282-25928-8
9786612259289 1-4008-3105-9 |
| Classificazione | SK 870 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Frontmatter -- Contents -- Preface -- Part I. Robust Linear Optimization -- Chapter One. Uncertain Linear Optimization Problems and their Robust Counterparts -- Chapter Two. Robust Counterpart Approximations of Scalar Chance Constraints -- Chapter Three. Globalized Robust Counterparts of Uncertain LO Problems -- Chapter Four. More on Safe Tractable Approximations of Scalar Chance Constraints -- Part II. Robust Conic Optimization -- Chapter Five. Uncertain Conic Optimization: The Concepts -- Chapter Six. Uncertain Conic Quadratic Problems with Tractable RCs -- Chapter Seven. Approximating RCs of Uncertain Conic Quadratic Problems -- Chapter Eight. Uncertain Semidefinite Problems with Tractable RCs -- Chapter Nine. Approximating RCs of Uncertain Semidefinite Problems -- Chapter Ten. Approximating Chance Constrained CQIs and LMIs -- Chapter Eleven. Globalized Robust Counterparts of Uncertain Conic Problems -- Chapter Twelve. Robust Classi¯cation and Estimation -- Part III. Robust Multi-Stage Optimization -- Chapter Thirteen. Robust Markov Decision Processes -- Chapter Fourteen. Robust Adjustable Multistage Optimization -- Part IV. Selected Applications -- Chapter Fifteen. Selected Applications -- Appendix A: Notation and Prerequisites -- Appendix B: Some Auxiliary Proofs -- Appendix C: Solutions to Selected Exercises -- Bibliography -- Index |
| Record Nr. | UNINA-9910455223503321 |
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Ben-Tal A
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| Princeton, NJ, : Princeton University Press, c2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Robust optimization [[electronic resource] /] / Aharon Ben-Tal, Laurent El Ghaoui, Arkadi Nemirovski
| Robust optimization [[electronic resource] /] / Aharon Ben-Tal, Laurent El Ghaoui, Arkadi Nemirovski |
| Autore | Ben-Tal A |
| Edizione | [Course Book] |
| Pubbl/distr/stampa | Princeton, NJ, : Princeton University Press, c2009 |
| Descrizione fisica | 1 online resource (565 p.) |
| Disciplina | 519.6 |
| Altri autori (Persone) |
El GhaouiLaurent
NemirovskiĭArkadiĭ Semenovich |
| Collana | Princeton Series in Applied Mathematics |
| Soggetto topico |
Robust optimization
Linear programming |
| Soggetto non controllato |
0O
Accuracy and precision Additive model Almost surely Approximation algorithm Approximation Best, worst and average case Bifurcation theory Big O notation Candidate solution Central limit theorem Chaos theory Coefficient Computational complexity theory Constrained optimization Convex hull Convex optimization Convex set Cumulative distribution function Curse of dimensionality Decision problem Decision rule Degeneracy (mathematics) Diagram (category theory) Duality (optimization) Dynamic programming Exponential function Feasible region Floor and ceiling functions For All Practical Purposes Free product Ideal solution Identity matrix Inequality (mathematics) Infimum and supremum Integer programming Law of large numbers Likelihood-ratio test Linear dynamical system Linear inequality Linear map Linear matrix inequality Linear programming Linear regression Loss function Margin classifier Markov chain Markov decision process Mathematical optimization Max-plus algebra Maxima and minima Multivariate normal distribution NP-hardness Norm (mathematics) Normal distribution Optimal control Optimization problem Orientability P versus NP problem Pairwise Parameter Parametric family Probability distribution Probability Proportionality (mathematics) Quantity Random variable Relative interior Robust control Robust decision-making Robust optimization Semi-infinite Sensitivity analysis Simple set Singular value Skew-symmetric matrix Slack variable Special case Spherical model Spline (mathematics) State variable Stochastic calculus Stochastic control Stochastic optimization Stochastic programming Stochastic Strong duality Support vector machine Theorem Time complexity Uncertainty Uniform distribution (discrete) Unimodality Upper and lower bounds Variable (mathematics) Virtual displacement Weak duality Wiener filter With high probability Without loss of generality |
| ISBN |
1-282-25928-8
9786612259289 1-4008-3105-9 |
| Classificazione | SK 870 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Frontmatter -- Contents -- Preface -- Part I. Robust Linear Optimization -- Chapter One. Uncertain Linear Optimization Problems and their Robust Counterparts -- Chapter Two. Robust Counterpart Approximations of Scalar Chance Constraints -- Chapter Three. Globalized Robust Counterparts of Uncertain LO Problems -- Chapter Four. More on Safe Tractable Approximations of Scalar Chance Constraints -- Part II. Robust Conic Optimization -- Chapter Five. Uncertain Conic Optimization: The Concepts -- Chapter Six. Uncertain Conic Quadratic Problems with Tractable RCs -- Chapter Seven. Approximating RCs of Uncertain Conic Quadratic Problems -- Chapter Eight. Uncertain Semidefinite Problems with Tractable RCs -- Chapter Nine. Approximating RCs of Uncertain Semidefinite Problems -- Chapter Ten. Approximating Chance Constrained CQIs and LMIs -- Chapter Eleven. Globalized Robust Counterparts of Uncertain Conic Problems -- Chapter Twelve. Robust Classi¯cation and Estimation -- Part III. Robust Multi-Stage Optimization -- Chapter Thirteen. Robust Markov Decision Processes -- Chapter Fourteen. Robust Adjustable Multistage Optimization -- Part IV. Selected Applications -- Chapter Fifteen. Selected Applications -- Appendix A: Notation and Prerequisites -- Appendix B: Some Auxiliary Proofs -- Appendix C: Solutions to Selected Exercises -- Bibliography -- Index |
| Record Nr. | UNINA-9910778219003321 |
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Ben-Tal A
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| Princeton, NJ, : Princeton University Press, c2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Robust optimization / / Aharon Ben-Tal, Laurent El Ghaoui, Arkadi Nemirovski
| Robust optimization / / Aharon Ben-Tal, Laurent El Ghaoui, Arkadi Nemirovski |
| Autore | Ben-Tal A |
| Edizione | [Course Book] |
| Pubbl/distr/stampa | Princeton, NJ, : Princeton University Press, c2009 |
| Descrizione fisica | 1 online resource (565 p.) |
| Disciplina | 519.6 |
| Altri autori (Persone) |
El GhaouiLaurent
NemirovskiiArkadii Semenovich |
| Collana | Princeton Series in Applied Mathematics |
| Soggetto topico |
Robust optimization
Linear programming |
| ISBN |
1-282-25928-8
9786612259289 1-4008-3105-9 |
| Classificazione | SK 870 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Frontmatter -- Contents -- Preface -- Part I. Robust Linear Optimization -- Chapter One. Uncertain Linear Optimization Problems and their Robust Counterparts -- Chapter Two. Robust Counterpart Approximations of Scalar Chance Constraints -- Chapter Three. Globalized Robust Counterparts of Uncertain LO Problems -- Chapter Four. More on Safe Tractable Approximations of Scalar Chance Constraints -- Part II. Robust Conic Optimization -- Chapter Five. Uncertain Conic Optimization: The Concepts -- Chapter Six. Uncertain Conic Quadratic Problems with Tractable RCs -- Chapter Seven. Approximating RCs of Uncertain Conic Quadratic Problems -- Chapter Eight. Uncertain Semidefinite Problems with Tractable RCs -- Chapter Nine. Approximating RCs of Uncertain Semidefinite Problems -- Chapter Ten. Approximating Chance Constrained CQIs and LMIs -- Chapter Eleven. Globalized Robust Counterparts of Uncertain Conic Problems -- Chapter Twelve. Robust Classi¯cation and Estimation -- Part III. Robust Multi-Stage Optimization -- Chapter Thirteen. Robust Markov Decision Processes -- Chapter Fourteen. Robust Adjustable Multistage Optimization -- Part IV. Selected Applications -- Chapter Fifteen. Selected Applications -- Appendix A: Notation and Prerequisites -- Appendix B: Some Auxiliary Proofs -- Appendix C: Solutions to Selected Exercises -- Bibliography -- Index |
| Record Nr. | UNINA-9910813421503321 |
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Ben-Tal A
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| Princeton, NJ, : Princeton University Press, c2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Robust optimization : world's best practices for developing winning vehicles / / Subir Chowdhury, Shin Taguchi
| Robust optimization : world's best practices for developing winning vehicles / / Subir Chowdhury, Shin Taguchi |
| Autore | Chowdhury Subir |
| Pubbl/distr/stampa | Chichester, England : , : Wiley, , 2016 |
| Descrizione fisica | 1 online resource (527 p.) |
| Disciplina | 629.231 |
| Soggetto topico |
Motor vehicles - Design and construction
Robust optimization Manufacturing processes |
| ISBN |
1-119-21214-6
1-119-21208-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Title Page; Copyright; Dedication; Preface; Acknowledgments; About the Authors; Chapter 1: Introduction to Robust Optimization; 1.1 What Is Quality as Loss?; 1.2 What Is Robustness?; 1.3 What Is Robust Assessment?; 1.4 What Is Robust Optimization?; Chapter 2: Eight Steps for Robust Optimization and Robust Assessment; 2.1 Before Eight Steps: Select Project Area; 2.2 Eight Steps for Robust Optimization; 2.3 Eight Steps for Robust Assessment; 2.4 As You Go through Case Studies in This Book; Chapter 3: Implementation of Robust Optimization; 3.1 Introduction; 3.2 Robust Optimization Implementation
Part One: Vehicle Level OptimizationChapter 4: Optimization of Vehicle Offset Crashworthy Design Using a Simplified Analysis Model; 4.1 Executive Summary; 4.2 Introduction; 4.3 Stepwise Implementation of DFSS Optimization for Vehicle Offset Impact; 4.4 Conclusion; References; Chapter 5: Optimization of the Component Characteristics for Improving Collision Safety by Simulation; 5.1 Executive Summary; 5.2 Introduction; 5.3 Simulation Models; 5.4 Concept of Standardized S/N Ratios with Respect to Survival Space; 5.5 Results and Consideration; 5.6 Conclusion; Reference Part Two: Subsystems Level Optimization by Original Equipment Manufacturers (OEMs)Chapter 6: Optimization of Small DC Motors Using Functionality for Evaluation; 6.1 Executive Summary; 6.2 Introduction; 6.3 Functionality for Evaluation in Case of DC Motors; 6.4 Experiment Method and Measurement Data; 6.5 Factors and Levels; 6.6 Data Analysis; 6.7 Analysis Results; 6.8 Selection of Optimal Design and Confirmation; 6.9 Benefits Gained; 6.10 Consideration of Analysis for Audible Noise; 6.11 Conclusion; Chapter 7: Optimal Design for a Double-Lift Window Regulator System Used in Automobiles 7.1 Executive Summary7.2 Introduction; 7.3 Schematic Figure of Double-Lift Window Regulator System; 7.4 Ideal Function; 7.5 Noise Factors; 7.6 Control Factors; 7.7 Conventional Data Analysis and Results; 7.8 Selection of Optimal Condition and Confirmation Test Results; 7.9 Evaluation of Quality Characteristics; 7.10 Concept of Analysis Based on Standardized S/N Ratio; 7.11 Analysis Results Based on Standardized S/N Ratio; 7.12 Comparison between Analysis Based on Standardized S/N Ratio and Analysis Based on Conventional S/N Ratio; 7.13 Conclusion; Further Reading Chapter 8: Optimization of Next-Generation Steering System Using Computer Simulation8.1 Executive Summary; 8.2 Introduction; 8.3 System Description; 8.4 Measurement Data; 8.5 Ideal Function; 8.6 Factors and Levels; 8.7 Pre-analysis for Compounding the Noise Factors; 8.8 Calculation of Standardized S/N Ratio; 8.9 Analysis Results; 8.10 Determination of Optimal Design and Confirmation; 8.11 Tuning to the Targeted Value; 8.12 Conclusion; Chapter 9: Future Truck Steering Effort Robustness; 9.1 Executive Summary; 9.2 Background; 9.3 Parameter Design; 9.4 Acknowledgments; References Chapter 10: Optimal Design of Engine Mounting System Based on Quality Engineering |
| Record Nr. | UNINA-9910137486903321 |
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Chowdhury Subir
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| Chichester, England : , : Wiley, , 2016 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Robust optimization in electric energy systems / / Xu Andy Sun, Antonio J. Conejo
| Robust optimization in electric energy systems / / Xu Andy Sun, Antonio J. Conejo |
| Autore | Sun Xu Andy |
| Pubbl/distr/stampa | Cham, Switzerland : , : Springer, , [2021] |
| Descrizione fisica | 1 online resource (337 pages) |
| Disciplina | 519.6 |
| Collana | International Series in Operations Research & Management Science |
| Soggetto topico |
Robust optimization
Electrical engineering - Mathematical models Electric utilities |
| ISBN | 3-030-85128-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910508480503321 |
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Sun Xu Andy
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| Cham, Switzerland : , : Springer, , [2021] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Robust portfolio optimization and management [[electronic resource] /] / Frank J. Fabozzi ... [et al.]
| Robust portfolio optimization and management [[electronic resource] /] / Frank J. Fabozzi ... [et al.] |
| Pubbl/distr/stampa | Hoboken, New Jersey, : John Wiley, c2007 |
| Descrizione fisica | 1 online resource (513 p.) |
| Disciplina | 332.6 |
| Altri autori (Persone) | FabozziFrank J |
| Collana |
Frank J. Fabozzi series
Wiley finance |
| Soggetto topico |
Portfolio management
Robust optimization Gestió de cartera |
| Soggetto genere / forma |
Electronic books.
Llibres electrònics |
| ISBN |
1-119-20217-5
1-280-85552-5 9786610855520 0-470-16489-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Robust Portfolio Optimization and Management; Contents; Preface; TEACHING USING THIS BOOK; ACKNOWLEDGMENTS; Chapter 1: Introduction; QUANTITATIVE TECHNIQUES IN THE INVESTMENT MANAGEMENT INDUSTRY; CENTRAL THEMES OF THIS BOOK; OVERVIEW OF THIS BOOK; Chapter 2: Mean-Variance Analysis and Modern Portfolio Theory; THE BENEFITS OF DIVERSIFICATION; MEAN-VARIANCE ANALYSIS: OVERVIEW; CLASSICAL FRAMEWORK FOR MEAN-VARIANCE OPTIMIZATION; THE CAPITAL MARKET LINE; SELECTION OF THE OPTIMAL PORTFOLIO WHEN THERE IS A RISK-FREE ASSET; MORE ON UTILITY FUNCTIONS: A GENERAL FRAMEWORK FOR PORTFOLIO CHOICE; SUMMARY
Chapter 3: Advances in the Theory of Portfolio Risk MeasuresDISPERSION AND DOWNSIDE MEASURES; PORTFOLIO SELECTION WITH HIGHER MOMENTS THROUGH EXPANSIONS OF UTILITY; POLYNOMIAL GOAL PROGRAMMING FOR PORTFOLIO OPTIMIZATION WITH HIGHER MOMENTS; SOME REMARKS ON THE ESTIMATION OF HIGHER MOMENTS; THE APPROACH OF MALEVERGNE AND SORNETTE; SUMMARY; Chapter 4: Portfolio Selection in Practice; PORTFOLIO CONSTRAINTS COMMONLY USED IN PRACTICE; INCORPORATING TRANSACTION COSTS IN ASSET-ALLOCATION MODELS; MULTIACCOUNT OPTIMIZATION; SUMMARY; Chapter 5: Classical Asset Pricing; DEFINITIONS THEORETICAL AND ECONOMETRIC MODELSRANDOM WALK MODELS; GENERAL EQUILIBRIUM THEORIES; CAPITAL ASSET PRICING MODEL (CAPM); ARBITRAGE PRICING THEORY (APT); SUMMARY; Chapter 6: Forecasting Expected Return and Risk; DIVIDEND DISCOUNT AND RESIDUAL INCOME VALUATION MODELS; THE SAMPLE MEAN AND COVARIANCE ESTIMATORS; RANDOM MATRICES; ARBITRAGE PRICING THEORY AND FACTOR MODELS; FACTOR MODELS IN PRACTICE; OTHER APPROACHES TO VOLATILITY ESTIMATION; APPLICATION TO INVESTMENT STRATEGIES AND PROPRIETARY TRADING; SUMMARY; Chapter 7: Robust Estimation; THE INTUITION BEHIND ROBUST STATISTICS; ROBUST STATISTICS ROBUST ESTIMATORS OF REGRESSIONSCONFIDENCE INTERVALS; SUMMARY; Chapter 8: Robust Frameworks for Estimation: Shrinkage, Bayesian Approaches, and the Black-Litterman Model; PRACTICAL PROBLEMS ENCOUNTERED IN MEAN-VARIANCE OPTIMIZATION; SHRINKAGE ESTIMATION; BAYESIAN APPROACHES; SUMMARY; Chapter 9: Mathematical and Numerical Optimization; MATHEMATICAL PROGRAMMING; NECESSARY CONDITIONS FOR OPTIMALITY FOR CONTINUOUS OPTIMIZATION PROBLEMS; OPTIMIZATION DUALITY THEORY; HOW DO OPTIMIZATION ALGORITHMS WORK?; SUMMARY; Chapter 10: Optimization Under Uncertainty; STOCHASTIC PROGRAMMING DYNAMIC PROGRAMMINGROBUST OPTIMIZATION; SUMMARY; Chapter 11: Implementing and Solving Optimization Problems in Practice; OPTIMIZATION SOFTWARE; PRACTICAL CONSIDERATIONS WHEN USING OPTIMIZATION SOFTWARE; IMPLEMENTATION EXAMPLES; SPECIALIZED SOFTWARE FOR OPTIMIZATION UNDER UNCERTAINTY; SUMMARY; Chapter 12: Robust Modeling of Uncertain Parameters in Classical Mean-Variance Portfolio Optimization; PORTFOLIO RESAMPLING TECHNIQUES; ROBUST PORTFOLIO ALLOCATION; SOME PRACTICAL REMARKS ON ROBUST PORTFOLIO ALLOCATION MODELS; SUMMARY Chapter 13: The Practice of Robust Portfolio Management: Recent Trends and New Directions |
| Record Nr. | UNINA-9910143433003321 |
| Hoboken, New Jersey, : John Wiley, c2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Robust portfolio optimization and management [[electronic resource] /] / Frank J. Fabozzi ... [et al.]
| Robust portfolio optimization and management [[electronic resource] /] / Frank J. Fabozzi ... [et al.] |
| Pubbl/distr/stampa | Hoboken, New Jersey, : John Wiley, c2007 |
| Descrizione fisica | 1 online resource (513 p.) |
| Disciplina | 332.6 |
| Altri autori (Persone) | FabozziFrank J |
| Collana |
Frank J. Fabozzi series
Wiley finance |
| Soggetto topico |
Portfolio management
Robust optimization Gestió de cartera |
| Soggetto genere / forma | Llibres electrònics |
| ISBN |
1-119-20217-5
1-280-85552-5 9786610855520 0-470-16489-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Robust Portfolio Optimization and Management; Contents; Preface; TEACHING USING THIS BOOK; ACKNOWLEDGMENTS; Chapter 1: Introduction; QUANTITATIVE TECHNIQUES IN THE INVESTMENT MANAGEMENT INDUSTRY; CENTRAL THEMES OF THIS BOOK; OVERVIEW OF THIS BOOK; Chapter 2: Mean-Variance Analysis and Modern Portfolio Theory; THE BENEFITS OF DIVERSIFICATION; MEAN-VARIANCE ANALYSIS: OVERVIEW; CLASSICAL FRAMEWORK FOR MEAN-VARIANCE OPTIMIZATION; THE CAPITAL MARKET LINE; SELECTION OF THE OPTIMAL PORTFOLIO WHEN THERE IS A RISK-FREE ASSET; MORE ON UTILITY FUNCTIONS: A GENERAL FRAMEWORK FOR PORTFOLIO CHOICE; SUMMARY
Chapter 3: Advances in the Theory of Portfolio Risk MeasuresDISPERSION AND DOWNSIDE MEASURES; PORTFOLIO SELECTION WITH HIGHER MOMENTS THROUGH EXPANSIONS OF UTILITY; POLYNOMIAL GOAL PROGRAMMING FOR PORTFOLIO OPTIMIZATION WITH HIGHER MOMENTS; SOME REMARKS ON THE ESTIMATION OF HIGHER MOMENTS; THE APPROACH OF MALEVERGNE AND SORNETTE; SUMMARY; Chapter 4: Portfolio Selection in Practice; PORTFOLIO CONSTRAINTS COMMONLY USED IN PRACTICE; INCORPORATING TRANSACTION COSTS IN ASSET-ALLOCATION MODELS; MULTIACCOUNT OPTIMIZATION; SUMMARY; Chapter 5: Classical Asset Pricing; DEFINITIONS THEORETICAL AND ECONOMETRIC MODELSRANDOM WALK MODELS; GENERAL EQUILIBRIUM THEORIES; CAPITAL ASSET PRICING MODEL (CAPM); ARBITRAGE PRICING THEORY (APT); SUMMARY; Chapter 6: Forecasting Expected Return and Risk; DIVIDEND DISCOUNT AND RESIDUAL INCOME VALUATION MODELS; THE SAMPLE MEAN AND COVARIANCE ESTIMATORS; RANDOM MATRICES; ARBITRAGE PRICING THEORY AND FACTOR MODELS; FACTOR MODELS IN PRACTICE; OTHER APPROACHES TO VOLATILITY ESTIMATION; APPLICATION TO INVESTMENT STRATEGIES AND PROPRIETARY TRADING; SUMMARY; Chapter 7: Robust Estimation; THE INTUITION BEHIND ROBUST STATISTICS; ROBUST STATISTICS ROBUST ESTIMATORS OF REGRESSIONSCONFIDENCE INTERVALS; SUMMARY; Chapter 8: Robust Frameworks for Estimation: Shrinkage, Bayesian Approaches, and the Black-Litterman Model; PRACTICAL PROBLEMS ENCOUNTERED IN MEAN-VARIANCE OPTIMIZATION; SHRINKAGE ESTIMATION; BAYESIAN APPROACHES; SUMMARY; Chapter 9: Mathematical and Numerical Optimization; MATHEMATICAL PROGRAMMING; NECESSARY CONDITIONS FOR OPTIMALITY FOR CONTINUOUS OPTIMIZATION PROBLEMS; OPTIMIZATION DUALITY THEORY; HOW DO OPTIMIZATION ALGORITHMS WORK?; SUMMARY; Chapter 10: Optimization Under Uncertainty; STOCHASTIC PROGRAMMING DYNAMIC PROGRAMMINGROBUST OPTIMIZATION; SUMMARY; Chapter 11: Implementing and Solving Optimization Problems in Practice; OPTIMIZATION SOFTWARE; PRACTICAL CONSIDERATIONS WHEN USING OPTIMIZATION SOFTWARE; IMPLEMENTATION EXAMPLES; SPECIALIZED SOFTWARE FOR OPTIMIZATION UNDER UNCERTAINTY; SUMMARY; Chapter 12: Robust Modeling of Uncertain Parameters in Classical Mean-Variance Portfolio Optimization; PORTFOLIO RESAMPLING TECHNIQUES; ROBUST PORTFOLIO ALLOCATION; SOME PRACTICAL REMARKS ON ROBUST PORTFOLIO ALLOCATION MODELS; SUMMARY Chapter 13: The Practice of Robust Portfolio Management: Recent Trends and New Directions |
| Record Nr. | UNINA-9910830958203321 |
| Hoboken, New Jersey, : John Wiley, c2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Robust portfolio optimization and management / / Frank J. Fabozzi ... [et al.]
| Robust portfolio optimization and management / / Frank J. Fabozzi ... [et al.] |
| Pubbl/distr/stampa | Hoboken, New Jersey, : John Wiley, c2007 |
| Descrizione fisica | 1 online resource (513 p.) |
| Disciplina | 332.6 |
| Altri autori (Persone) | FabozziFrank J |
| Collana |
Frank J. Fabozzi series
Wiley finance |
| Soggetto topico |
Portfolio management
Robust optimization Gestió de cartera |
| Soggetto genere / forma | Llibres electrònics |
| ISBN |
1-119-20217-5
1-280-85552-5 9786610855520 0-470-16489-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Robust Portfolio Optimization and Management; Contents; Preface; TEACHING USING THIS BOOK; ACKNOWLEDGMENTS; Chapter 1: Introduction; QUANTITATIVE TECHNIQUES IN THE INVESTMENT MANAGEMENT INDUSTRY; CENTRAL THEMES OF THIS BOOK; OVERVIEW OF THIS BOOK; Chapter 2: Mean-Variance Analysis and Modern Portfolio Theory; THE BENEFITS OF DIVERSIFICATION; MEAN-VARIANCE ANALYSIS: OVERVIEW; CLASSICAL FRAMEWORK FOR MEAN-VARIANCE OPTIMIZATION; THE CAPITAL MARKET LINE; SELECTION OF THE OPTIMAL PORTFOLIO WHEN THERE IS A RISK-FREE ASSET; MORE ON UTILITY FUNCTIONS: A GENERAL FRAMEWORK FOR PORTFOLIO CHOICE; SUMMARY
Chapter 3: Advances in the Theory of Portfolio Risk MeasuresDISPERSION AND DOWNSIDE MEASURES; PORTFOLIO SELECTION WITH HIGHER MOMENTS THROUGH EXPANSIONS OF UTILITY; POLYNOMIAL GOAL PROGRAMMING FOR PORTFOLIO OPTIMIZATION WITH HIGHER MOMENTS; SOME REMARKS ON THE ESTIMATION OF HIGHER MOMENTS; THE APPROACH OF MALEVERGNE AND SORNETTE; SUMMARY; Chapter 4: Portfolio Selection in Practice; PORTFOLIO CONSTRAINTS COMMONLY USED IN PRACTICE; INCORPORATING TRANSACTION COSTS IN ASSET-ALLOCATION MODELS; MULTIACCOUNT OPTIMIZATION; SUMMARY; Chapter 5: Classical Asset Pricing; DEFINITIONS THEORETICAL AND ECONOMETRIC MODELSRANDOM WALK MODELS; GENERAL EQUILIBRIUM THEORIES; CAPITAL ASSET PRICING MODEL (CAPM); ARBITRAGE PRICING THEORY (APT); SUMMARY; Chapter 6: Forecasting Expected Return and Risk; DIVIDEND DISCOUNT AND RESIDUAL INCOME VALUATION MODELS; THE SAMPLE MEAN AND COVARIANCE ESTIMATORS; RANDOM MATRICES; ARBITRAGE PRICING THEORY AND FACTOR MODELS; FACTOR MODELS IN PRACTICE; OTHER APPROACHES TO VOLATILITY ESTIMATION; APPLICATION TO INVESTMENT STRATEGIES AND PROPRIETARY TRADING; SUMMARY; Chapter 7: Robust Estimation; THE INTUITION BEHIND ROBUST STATISTICS; ROBUST STATISTICS ROBUST ESTIMATORS OF REGRESSIONSCONFIDENCE INTERVALS; SUMMARY; Chapter 8: Robust Frameworks for Estimation: Shrinkage, Bayesian Approaches, and the Black-Litterman Model; PRACTICAL PROBLEMS ENCOUNTERED IN MEAN-VARIANCE OPTIMIZATION; SHRINKAGE ESTIMATION; BAYESIAN APPROACHES; SUMMARY; Chapter 9: Mathematical and Numerical Optimization; MATHEMATICAL PROGRAMMING; NECESSARY CONDITIONS FOR OPTIMALITY FOR CONTINUOUS OPTIMIZATION PROBLEMS; OPTIMIZATION DUALITY THEORY; HOW DO OPTIMIZATION ALGORITHMS WORK?; SUMMARY; Chapter 10: Optimization Under Uncertainty; STOCHASTIC PROGRAMMING DYNAMIC PROGRAMMINGROBUST OPTIMIZATION; SUMMARY; Chapter 11: Implementing and Solving Optimization Problems in Practice; OPTIMIZATION SOFTWARE; PRACTICAL CONSIDERATIONS WHEN USING OPTIMIZATION SOFTWARE; IMPLEMENTATION EXAMPLES; SPECIALIZED SOFTWARE FOR OPTIMIZATION UNDER UNCERTAINTY; SUMMARY; Chapter 12: Robust Modeling of Uncertain Parameters in Classical Mean-Variance Portfolio Optimization; PORTFOLIO RESAMPLING TECHNIQUES; ROBUST PORTFOLIO ALLOCATION; SOME PRACTICAL REMARKS ON ROBUST PORTFOLIO ALLOCATION MODELS; SUMMARY Chapter 13: The Practice of Robust Portfolio Management: Recent Trends and New Directions |
| Record Nr. | UNINA-9910877788103321 |
| Hoboken, New Jersey, : John Wiley, c2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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