Maximum Downside Semi Deviation Stochastic Programming for Portfolio Optimization Problem

Portfolio optimization is an important research field in financial decision making. The chief character within optimization problems is the uncertainty of future returns. Probabilistic methods are used alongside optimization techniques. Markowitz (1952, 1959) introduced the concept of risk into the problem and used a mean-variance model to identify risk with the volatility (variance) of the random objective. The mean-risk optimization paradigm has since been expanded extensively both theoretically and computationally. A single stage and two stage stochastic programming model with recourse are presented for risk averse investors with the objective of minimizing the maximum downside semideviation. The models employ the here-and-now approach, where a decision-maker makes a decision before observing the actual outcome for a stochastic parameter. The optimal portfolios from the two models are compared with the incorporation of the deviation measure. The models are applied to the optimal selection of stocks listed in Bursa Malaysia and the return of the optimal portfolio is compared between the two stochastic models. Results show that the two stage model outperforms the single stage model for the optimal and in-sample analysis

Suatu Catatan Terhadap Rumus Gangguan (Perturbation) Untuk Rantai Markov Terbatas.

Pada catatan ini, dikemukakan suatu pendekatan penyeragarnan terhadap rumus gangguan untuk rantai Markov terbatas. Pertama, diberikan bukti ringkas dari rumus gangguan Schweitzer's untuk rantai Markov terbatas yang dapat digunakan untuk kes matrik gangguan dan matrik asal mempunyai kelas berulang tunggal, atau secara am jika kelas berulang dari matrik gangguan dan matrik asal tetap sarna. Kedua) fokus ditujukan kepada rumus gangguan yang dibuat oleh Lasserre untuk kes dimana gangguan daripada rantai Markov dengan beberapa kelas berulang merosak struktur kelas rantai markov ke dalam kelas bel1llang tunggal. Akhimya pada studi ini dinyatakan bagaimana hasil yang diperolehi dapat diperluaskan kepada kelas yang lebih am untuk matrik tak negatif. Dua contoh berangka diberikan untuk menjelaskan keadaan dan keputusan yang diperoleh

Monotonisiti Keputusan Optimal Dalam Permintaan Insurans.

Pada kertas kerja ini keputusan optimal akan ipertimbangkan untuk kes pembolehubah rawak bivariat (X,Y). Dimana pembolehubah rawak X dikawal oleh pengambil keputusan dan pembolehubah rawak Y dikawal secara eksogenous. Perhatian akan ditujukan kepada reaksi daripada pembolehubah yang dikawal oleh pengambil keputusan terhadap perubahan dari pembolehubah eksogenous. Sifat-sifat monotonisiti digunakan dan dibentuk dalam teori permintaan insurans

Bargaining Game And Equity Sharing System In Employment Problem.

Profit sharing has been proposed as a solution to underemployment resulting from collective bargaining, but the empirical result are ambiguous and the theoretical basis for this claim is weak

Model GARCH Dan Jujukan Bersyarat GAUSS.

Terdapat suatu hubungan yanq erat diantara jujukan GARCH yang sering digunakan dalam model-model ekonometrik dengan proses bersyarat Gauss yang digunakan dalam peramalan dan teori penapisan. Dalam kajian ini ditunjukkan bahawa peraturan-peraturan dalam siri masa dapat berubah terutama jika membandingkan pasangan siri masa yang me.mpunyai kesan satu dengan yang lainnya

A Game Theoretical Approach In The Parlimentary Electoral System.

The aim of this paper is to suggest a methodology for an analysis of the distibution of power in multi-party parliamentary bodies elected on the basis ofa proportional electoral system

Optimal consumption in a stochastic Ramsey model with Cobb-Douglas production function

A stochastic Ramsey model is studied with the Cobb-Douglas production function maximizing the expected discounted utility of consumption.We transformed the Hamilton-Jacobi-Bellman (HJB) equation associated with the stochastic Ramsey model so as to transform the dimension of the state space by changing the variables.By the viscosity solution method, we established the existence of viscosity solution of the transformed Hamilton-Jacobi-Bellman equation associated with this model.Finally, the optimal consumption policy is derived from the optimality conditions in the HJB equation

The Downside Risk Optimal Portfolio Selection Problem.

One of the basic problems of applied finance is the optimal selection of stocks with aim of maximizing future returns minimizing the risk using a specified risk aversion factor

Transfer Functions In Hierarchical Production Planning.

In the production planning it is essential to determine simultaneously the production program, the lot sizes as well as sequencing and scheduling the batches: the plannning of the production program requires the knowledge of the available manufacturing capacities;these depend, however, on the set-up times determined by lot-sizing, and the idle times of machines induced by sequencing and scheduling