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PORTFOLIO: 作品数：242被引量：184H指数：7; 导出分析报告; 相关作者：安向龙李清华宫开庭孙丽娟刘则毅更多>>; 相关机构：天津大学哈尔滨工业大学清华大学中国医科大学更多>>; 相关期刊：更多>>; 相关基金：国家自然科学基金国家社会科学基金广东省自然科学基金黑龙江省教育科学“十二五”规划课题更多>>

基于有限资源组合分配的贝叶斯优化研究: 《系统工程理论与实践》2025年第1期236-247,共12页欧阳林寒李彤彤陶宝平车玉帅; 国家自然科学基金(72072089,71931006,71872088);中央高校基本科研业务费(NE2023004)。; 针对资源限制下随机仿真优化的预算分配问题,本文综合对冲思想与Portfolio策略,引入考虑偏差与方差的资源分配准则,提出了一种基于有限资源组合分配的两阶段贝叶斯优化方法,以期更好地解决仿真预算和优化精度的权衡问题.首先在初始样本...; 关键词：随机Kriging Portfolio策略资源分配准则贝叶斯优化

Extreme connectedness between cryptocurrencies and non-fungible tokens:portfolio implications: 《Financial Innovation》2024年第1期1604-1630,共27页Waild Mensi Mariya Gubareva Khamis Hamed Al-Yahyaee Tamara Teplova Sang Hoon Kang; supported by the Ministry of Education of the Republic of Korea and the National Research Foundation of Korea(NRF-2022S1A5A2A01038422);partly funded by the University of Economics Ho Chi Minh City,Vietnam.; We analyze the connectedness between major cryptocurrencies and nonfungible tokens(NFTs)for different quantiles employing a time-varying parameter vector autoregression approach.We find that lower and upper quantile s...; 关键词：Cryptocurrencies Nonfungible tokens Extreme quantile connectedness Time-varying parameter vector autoregression TVP-VAR approach

Forecasting returns with machine learningand optimizing global portfolios:evidencefrom the Korean and U.S.stock markets: 《Financial Innovation》2024年第1期64-93,共30页Dohyun Chun Jongho Kang Jihun Kim; supported by the Ministry of Education of the Republic of Korea and the National Research Foundation of Korea(NRF-2022S1A5A8055710).; This study employs a variety of machine learning models and a wide range of economic and financial variables to enhance the forecasting accuracy of the Korean won–U.S.dollar(KRW/USD)exchange rate and the U.S.and Kore...; 关键词：International asset allocation Foreign exchange rate Stock marketprediction Portfolio diversifcation Machine learning

Assessing portfolio vulnerability to systemic risk:a vine copula and APARCH-DCC approach: 《Financial Innovation》2024年第1期3155-3190,共36页Jules Clement Mba; supported by National Research Fund(ZA),(Grant No.145819),Jules Clement Mba.; This study evaluates the sensitivity and robustness of the systemic risk measure,Conditional Value-at-Risk(CoVaR),estimated using the vine copula and APARCH-DCC models.We compute the CoVaR for the two portfolios acros...; 关键词：Cryptocurrency Systemic risk VULNERABILITY CoVaR

A Novel Momentum-Based Measure for Online Portfolio Algorithm: 《Journal of Computer and Communications》2024年第9期1-21,共21页Xiaoting Lv Cuiyin Huang Hongliang Dai; In recent years, digital investment portfolios have become a significant area of interest in the field of machine learning. To tackle the issue of neglecting the momentum effect in risk asset prices within the follow-...; 关键词：Machine Learning Online Portfolio Selection MOMENTUM Effect Significance Algorithmic Trading

How to Construct a Lower Risk FOF Based on Correlation Network? The Method of Principal Component Risk Parity Asset Allocation: 《Journal of Systems Science & Complexity》2024年第3期1052-1079,共28页BAI Wei ZHANG Junting LIU Haifei LIU Kai; supported by the Chinese National Science Foundation under Grant Nos. U1811462,71771116;the Ministry of Education;Late-stage Subsidy Project for Philosophical and Social Sciences Research Foundation under Grant No. 18JHQ058。; In order to build a low-risk Fund of Funds(FOF), from the perspective of correlation, the principal component factor is used to improve the traditional risk parity model. Principal component analysis is used to decomp...; 关键词：Fund of funds(FOF) mutual funds portfolio risk principal component analysis risk parity portfolio

A Portfolio Selection Method Based on Pattern Matching with Dual Information of Direction and Distance: 《Applied Mathematics》2024年第5期313-330,共18页Xinyi He; Pattern matching method is one of the classic classifications of existing online portfolio selection strategies. This article aims to study the key aspects of this method—measurement of similarity and selection of si...; 关键词：Online Portfolio Selection Pattern Matching Similarity Measurement

A probabilistic estimation model for seismic physical portfolio loss of a water supply pipeline system被引量：1: 《Resilient Cities and Structures》2024年第1期44-54,共11页Samantha Louise N.Jarder Osamu Maruyama Lessandro Estelito O.Garciano; Losses due to hazards are inevitable and numerical simulations for estimations are complex.This study proposes a model for estimating correlated seismic damages and losses of a water supply pipeline system as an alter...; 关键词：Spatial correlation Probable maximum loss Risk management Water supply pipeline Portfolio loss estimation

Using Return and Risk Model for Choosing Perfect Portfolio Applied Study in Cairo Stock Exchange: 《American Journal of Operations Research》2024年第1期32-58,共27页Essam Al Arbed; Modern financial theory, commonly known as portfolio theory, provides an analytical framework for the investment decision to be made under uncertainty. It is a well-established proposition in portfolio theory that whe...; 关键词：Game Theory Stochastic and Linear Programming Perfect Portfolio Portfolio Theory Returns and Risks

Optimal Offering Strategy of Virtual Power Plant with Hybrid Renewable Ocean Energy Portfolio: 《CSEE Journal of Power and Energy Systems》2023年第6期2040-2051,共12页Siyuan Guo Bin Zhou Ka Wing Chan Siqi Bu Canbing Li Nian Liu Cong Zhang; the Sino-US International Science and Technology Cooperation Project(No.2019YFE0114700);the National Natural Science Foundation of China(No.51877072);the State Key Laboratory of Alternate Electrical Power System with Renewable Energy Sources(No.LAPS20005)。; This paper proposes a hybrid ocean energy sys-tem to form a virtual power plant(VPP)for participating in electricity markets in order to promote the renewable ocean energy utilization and accommodation.In the proposed...; 关键词：Ocean thermal energy conversion rolling optimization subsea pumped storage system tidal power generation virtual power plant

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