Engineering Economist最新文献_第8页

A Three-phase Approach to an Enhanced Index-tracking Problem with Real-life Constraints 具有现实约束的增强索引跟踪问题的三阶段方法

IF 1.2 4区经济学

Engineering Economist Pub Date : 2019-07-03 DOI: 10.1080/0013791X.2019.1619887

O. Strub, S. Brandinu, D. Lerch, J. Schaller, N. Trautmann

{"title":"A Three-phase Approach to an Enhanced Index-tracking Problem with Real-life Constraints","authors":"O. Strub, S. Brandinu, D. Lerch, J. Schaller, N. Trautmann","doi":"10.1080/0013791X.2019.1619887","DOIUrl":"https://doi.org/10.1080/0013791X.2019.1619887","url":null,"abstract":"Abstract Enhanced index tracking is an emerging strategy for investing money in the stock market and is aimed at achieving outperformance over a given benchmark index while achieving a low tracking error. We consider the problem of rebalancing a portfolio for an enhanced index tracking strategy subject to various real-life constraints, including a lower bound and an upper bound on the expected tracking error. To solve this problem, we propose a three-phase approach consisting of preprocessing, optimization, and learning. In a computational experiment, we applied this approach to rebalance a given portfolio on a monthly basis over a time horizon of 10 years; the data for the S&P 500 benchmark index were provided by the investment company Principal Global Investors. Our approach generated portfolios that were provably close to optimality for all monthly rebalancing decisions. Over the entire horizon of 10 years, the portfolios devised by our approach yielded cumulative returns higher than the S&P 500 index after transaction costs with a moderate tracking error.","PeriodicalId":49210,"journal":{"name":"Engineering Economist","volume":"64 1","pages":"227 - 253"},"PeriodicalIF":1.2,"publicationDate":"2019-07-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/0013791X.2019.1619887","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44022265","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: 4

Special Issue on Nonconvex Portfolio Optimization 非凸投资组合优化问题专刊

IF 1.2 4区经济学

Engineering Economist Pub Date : 2019-07-03 DOI: 10.1080/0013791X.2019.1636177

S. Bansal, D. Pachamanova

引用次数: 1

An inexact l2-norm penalty method for cardinality constrained portfolio optimization 基数约束投资组合优化的一种不精确l2范数惩罚方法

IF 1.2 4区经济学

Engineering Economist Pub Date : 2019-07-03 DOI: 10.1080/0013791X.2019.1636169

T. Jiang, Shuo Wang, Ruochen Zhang, Lang Qin, Jinglian Wu, Delin Wang, S. Ahipaşaoğlu

引用次数: 2

An extension to the classical mean–variance portfolio optimization model 经典均值-方差投资组合优化模型的扩展

IF 1.2 4区经济学

Engineering Economist Pub Date : 2019-07-03 DOI: 10.1080/0013791X.2019.1636440

Ç. N. Ötken, Z. B. Organ, E. Yildirim, Mustafa Çamlıca, Volkan S. Cantürk, E. Duman, Z. M. Teksan, Enis Kayış

引用次数: 2

Index fund optimization using a hybrid model: genetic algorithm and mixed-integer nonlinear programming 基于混合模型的指数基金优化：遗传算法和混合整数非线性规划

IF 1.2 4区经济学

Engineering Economist Pub Date : 2019-07-03 DOI: 10.1080/0013791X.2019.1633450

J. Díaz, M. Cortés, Juan C. Hernandez, Óscar Clavijo, Carlos J. Ardila, Sergio Cabrales

引用次数: 10

GAN-MP hybrid heuristic algorithm for non-convex portfolio optimization problem 非凸投资组合优化问题的GAN-MP混合启发式算法

IF 1.2 4区经济学

Engineering Economist Pub Date : 2019-06-18 DOI: 10.1080/0013791X.2019.1620391

Yerin Kim, Daemook Kang, Mingoo Jeon, Chungmok Lee

引用次数: 4

Variable neighborhood search heuristic for nonconvex portfolio optimization 非凸投资组合优化的变邻域搜索算法

IF 1.2 4区经济学

Engineering Economist Pub Date : 2019-06-16 DOI: 10.1080/0013791X.2019.1619888

Andrijana Bačević, Nemanja Vilimonović, Igor Dabić, Jakov Petrović, Darko Damnjanović, Dušan Džamić

引用次数: 3

Game-theoretic modeling of pre-disaster relocation 灾前搬迁的博弈论建模

IF 1.2 4区经济学

Engineering Economist Pub Date : 2019-04-28 DOI: 10.1080/0013791X.2019.1677837

V. Bier, Yuqun Zhou, Hongru Du

{"title":"Game-theoretic modeling of pre-disaster relocation","authors":"V. Bier, Yuqun Zhou, Hongru Du","doi":"10.1080/0013791X.2019.1677837","DOIUrl":"https://doi.org/10.1080/0013791X.2019.1677837","url":null,"abstract":"Abstract Sea-level rise due to climate change is clearly an important problem. This paper uses game theory in conjunction with discounting to explore strategies by which governments might encourage pre-disaster relocation by residents living in areas at high risk of flooding due to sea-level rise. We find that offering a subsidy (e.g., a partial buyout) can be effective if government has a significantly lower discount rate than residents. We also present extensions to our model, exploring the use of a fixed annual benefit after relocation (instead of a one-time subsidy), and hyperbolic instead of standard exponential discounting. Numerical sensitivity analysis elucidates many important factors affecting the timing of anticipatory relocation, since for example relocating too soon may be costly to both residents and government if flooding risk is increasing only gradually. This conceptual model also provides a foundation for future studies that quantify the model with more realistic parameter values (e.g., realistic estimates of flooding probabilities), and alternative behavioral models of resident decision making.","PeriodicalId":49210,"journal":{"name":"Engineering Economist","volume":"65 1","pages":"113 - 89"},"PeriodicalIF":1.2,"publicationDate":"2019-04-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/0013791X.2019.1677837","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45135935","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: 4

Cost-effectiveness of patient-specific motion management strategy in lung cancer radiation therapy planning 癌症放射治疗计划中患者特定运动管理策略的成本效益

IF 1.2 4区经济学

Engineering Economist Pub Date : 2019-04-23 DOI: 10.1080/0013791X.2019.1597239

Sha Liu, Shouyi Wang, W. Chaovalitwongse, S. Bowen

{"title":"Cost-effectiveness of patient-specific motion management strategy in lung cancer radiation therapy planning","authors":"Sha Liu, Shouyi Wang, W. Chaovalitwongse, S. Bowen","doi":"10.1080/0013791X.2019.1597239","DOIUrl":"https://doi.org/10.1080/0013791X.2019.1597239","url":null,"abstract":"Abstract Cost-effectiveness analysis (CEA) in medicine is a form of economic study that compares the relative value of medical technologies and health care services. It helps decision makers to formally evaluate proposed interventions and make informed choices based on the estimated health gains per dollar spent under each intervention. This study employs a CEA framework to assess an emerging imaging technology to determine whether its adoption will be appropriate in routine patient care. A significant challenge in lung cancer radiotherapy (RT) is respiration-induced tumor motion during positron emission tomography/computed tomography (PET/CT). Respiratory gating may improve the image quality and delivery of curative doses to tumor. Respiratory-gated PET/CT is especially useful for locally advanced and inoperable non–small cell lung cancer (NSCLC). Due to the heterogeneity in patients’ respiratory patterns, questions remain regarding who will benefit from respiratory gating. The effectiveness of respiratory gating can be measured by using quantitative improvements in PET/CT images. We previously developed a patient-specific motion management (PSMM) paradigm to identify patients who benefited from respiratory-gated PET/CT based on respiratory pattern analysis. This article presents a new CEA framework to evaluate the cost-effectiveness of PSMM compared to the population-based radiation oncology practice of motion management in more than 1,500 cancer patients.","PeriodicalId":49210,"journal":{"name":"Engineering Economist","volume":"64 1","pages":"368 - 386"},"PeriodicalIF":1.2,"publicationDate":"2019-04-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/0013791X.2019.1597239","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45841922","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: 0

Correction 校正

IF 1.2 4区经济学

Engineering Economist Pub Date : 2019-04-03 DOI: 10.1080/0013791x.2019.1597240

引用次数: 0