Engineering Economist最新文献_第10页

Using column generation to solve extensions to the Markowitz model 使用列生成来解决Markowitz模型的扩展

IF 1.2 4区经济学

Engineering Economist Pub Date : 2018-11-30 DOI: 10.1080/0013791X.2019.1636439

L. Roebers, A. Selvi, Juan C. Vera

引用次数: 1

Call for Wellington Award nominations 惠灵顿奖提名征集

IF 1.2 4区经济学

Engineering Economist Pub Date : 2018-10-02 DOI: 10.1080/0013791x.2018.1537550

引用次数: 0

The Engineering Economist 工程经济学家

IF 1.2 4区经济学

Engineering Economist Pub Date : 2018-10-02 DOI: 10.1080/00137916908928807

W. Whipple

引用次数: 6

Distribution of the internal and external rates of return in a partially stochastic oil pump problem 部分随机油泵问题的内外收益率分布

IF 1.2 4区经济学

Engineering Economist Pub Date : 2018-07-09 DOI: 10.1080/0013791X.2018.1468945

H. Sarper, P. Chacon, M. Demirtaş, Igor Melnykov, Gökçe Palak, Jane M. Fraser

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引用次数: 1

A dynamic target volatility strategy for asset allocation using artificial neural networks 基于人工神经网络的资产配置动态目标波动策略

IF 1.2 4区经济学

Engineering Economist Pub Date : 2018-06-11 DOI: 10.1080/0013791X.2018.1461287

Youngmin Kim, D. Enke

{"title":"A dynamic target volatility strategy for asset allocation using artificial neural networks","authors":"Youngmin Kim, D. Enke","doi":"10.1080/0013791X.2018.1461287","DOIUrl":"https://doi.org/10.1080/0013791X.2018.1461287","url":null,"abstract":"ABSTRACT A challenge to developing data-driven approaches in finance and trading is the limited availability of data because periods of instability, such as during financial market crises, are relatively rare. This study applies a stability-oriented approach (SOA) based on statistical tests to compare data for the current period to a past set of data for a stable period, providing higher reliability due to a more abundant source of data. Based on an SOA, this study uses an artificial neural network (ANN), which is one of the commonly applied machine learning algorithms, for simultaneously forecasting the volatility and classifying the level of market stability. In addition, this study develops a dynamic target volatility strategy for asset allocation using an ANN to enhance the ability of a target volatility strategy that is established for automatically allocating capital between a risky asset and a risk-free cash position. In order to examine the impact of the proposed strategy, the results are compared to the buy-and-hold strategy, the static asset allocation strategy, and the conventional target volatility strategy using different volatility forecasting methodologies. An empirical case study of the proposed strategy is simulated in both the Korean and U.S. stock markets.","PeriodicalId":49210,"journal":{"name":"Engineering Economist","volume":"63 1","pages":"273 - 290"},"PeriodicalIF":1.2,"publicationDate":"2018-06-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/0013791X.2018.1461287","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43852899","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 6

Performance-based contract design under cost uncertainty: A scenario-based bilevel programming approach 成本不确定性下基于绩效的合同设计：一种基于情景的双层规划方法

IF 1.2 4区经济学

Engineering Economist Pub Date : 2018-06-11 DOI: 10.1080/0013791X.2018.1467990

M. Sharifi, R. Kwon

引用次数: 2

On the generosity and effectiveness of the research and development tax credit 论研发税收抵免的慷慨性与有效性

IF 1.2 4区经济学

Engineering Economist Pub Date : 2018-05-31 DOI: 10.1080/0013791X.2018.1465619

T. Boucher

引用次数: 1

Boundless multiobjective models for cash management 现金管理的无界多目标模型

IF 1.2 4区经济学

Engineering Economist Pub Date : 2018-05-31 DOI: 10.1080/0013791X.2018.1456596

Francisco Salas-Molina, J. Rodríguez-Aguilar, D. Plà-Santamaria

引用次数: 2

Designing a fair, financially sustainable pay rate for owner-operator truck drivers. Modeling and case study 为车主-运营商卡车司机设计一个公平、经济可持续的薪酬。建模和案例研究

IF 1.2 4区经济学

Engineering Economist Pub Date : 2018-03-06 DOI: 10.1080/0013791X.2017.1414342

Miguel Rodríguez García, Pablo Domínguez Caamaño, José Antonio Comesaña Benavides, J. C. Prado-Prado

{"title":"Designing a fair, financially sustainable pay rate for owner-operator truck drivers. Modeling and case study","authors":"Miguel Rodríguez García, Pablo Domínguez Caamaño, José Antonio Comesaña Benavides, J. C. Prado-Prado","doi":"10.1080/0013791X.2017.1414342","DOIUrl":"https://doi.org/10.1080/0013791X.2017.1414342","url":null,"abstract":"ABSTRACT Owner operator truck drivers have been dealing with a long-standing problem: compensation per distance. Owner operators who get paid according to these criteria get a fixed payment per distance traveled regardless of how long it takes to actually cover the distance. This means that there are numerous situations that truck drivers are working; yet they might be unpaid because the truck is not moving. To compensate for the unfairness of the pay rate models, owner operators have continuously increased their working hours. In addition, many studies have confirmed that a fair payment is among the most important factors that truck drivers take into consideration when deciding to leave a company. Consequently, an unfair pay rate, along with the hard labor conditions truck drivers suffer from, inevitably leads to high turnover rates. For all these reasons, our study aims at developing a fair, financially sustainable pay rate for owner operators that will help companies ensure a stable and highly experienced workforce by making sure that owner operators can cover the real expenses of their working activity. Finally, in order to prove that our pay rate was of practical use, we test the model on one of the largest Spanish agro-food companies.","PeriodicalId":49210,"journal":{"name":"Engineering Economist","volume":"63 1","pages":"250 - 272"},"PeriodicalIF":1.2,"publicationDate":"2018-03-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/0013791X.2017.1414342","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45104561","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 3

Cash flow at risk valuation of mining project using Monte Carlo simulations with stochastic processes calibrated on historical data 基于历史数据的随机过程蒙特卡罗模拟采矿项目风险现金流估值

IF 1.2 4区经济学

Engineering Economist Pub Date : 2018-01-05 DOI: 10.1080/0013791X.2017.1413150

Mathieu Sauvageau, M. Kumral

引用次数: 8