Mathematical and Statistical Methods for Actuarial Sciences and Finance

244 Marcella Niglio and Cira Perna Lanne, M., Saikkonen, P.: Modeling the U.S. short-term interest rate by mixture autore- gres ...

On efficient optimisation of the CVaR and related LP computable risk measures for portfolio selection Włodzimierz Ogryczak and T ...

246 W. Ogryczak and T.Sliwi ́ nski ́ shortfall risk measures that are more commonly used and accepted. Recently, the second-orde ...

On efficient CVaR optimisation 247 sales are not allowed), i.e., P={x : ∑n j= 1 xj= 1 , xj≥0forj= 1 ,...,n}. (1) Hereafter, we p ...

248 W. Ogryczak and T.Sliwi ́ nski ́ LP dual model takes the following form: minimiseq s.t.q− ∑T t= 1 rjtut≥0forj= 1 ,...,n ∑T t ...

On efficient CVaR optimisation 249 The SSD consistent [14] and coherent [2] MAD model with complementary risk measure (μδ(x)=E{m ...

250 W. Ogryczak and T.Sliwi ́ nski ́ constraints take the form of simple upper bounds (SUB) which are handled implicitly outside ...

On efficient CVaR optimisation 251 Unfortunately, in the case of more advanced simulation models employed for sce- nario generat ...

252 W. Ogryczak and T.Sliwi ́ nski ́ Markowitz, H.M.: Portfolio selection. J. Finan. 7, 77–91 (1952) Maros, I.: Computational T ...

A pattern recognition algorithm for optimal profits in currency trading Danilo Pelusi Abstract.A key issue in technical analysis ...

254 D. Pelusi main issue for the successful application of technical trading rules is to find the best association of a “trainin ...

A pattern recognition algorithm 255 two different periods. Therefore, our algorithm takes the pattern number for eachith cutoff ...

256 D. Pelusi parameters (see [32]) of the corresponding training semesters. For each semesters pair, we compute the GS coeffici ...

A pattern recognition algorithm 257 Ta b le 1 .Pattern recognition algorithm results Samples fGS 1 fGS 2 fGS 3 fGS 4 fGS 5 10 0. ...

258 D. Pelusi 01−Jul−20031.05 01−Oct−2003 01−Jan−2004 1.1 1.15 1.2 1.25 1.3 Time Euro−Dollar exchange rate 01−Jul−20071.3 01−Oct ...

A pattern recognition algorithm 259 01−Jul−20041.15 01−Oct−2004 01−Jan−2005 1.2 1.25 1.3 1.35 1.4 Time Euro−Dollar exchange rate ...

260 D. Pelusi fore, there are some technical filters that assure the highest profit. In this way, an important issue is the choi ...

A pattern recognition algorithm 261 Fan, J.: Local modelling, written for the Encyclopidea of Statistics Science EESupdate (199 ...

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Nonlinear cointegration in financial time series Claudio Pizzi Abstract.In this paper, the concept of linear cointegration as in ...