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Dohyoung Kwon
This study developed an investment framework to implement dynamic factor rotation strategies according to changes in economic conditions. I constructed a useful macro indicator that tracked real-time business cycles of the US economy and applied a trend-...
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Guido Abate, Tommaso Bonafini and Pierpaolo Ferrari
Mean-variance optimization often leads to unreasonable asset allocations. This problem has forced scholars and practitioners alike to introduce portfolio constraints. The scope of our study is to verify which type of constraint is more suitable for achie...
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Olga Rumyantseva, Andrey Sarantsev and Nikolay Strigul
Forecasting of forest dynamics at a large scale is essential for land use management, global climate change and biogeochemistry modeling. We develop time series models of the forest dynamics in the conterminous United States based on forest inventory dat...
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Michael H. Daly,Gary van Vuuren
AbstractOrientation: Active portfolio managers must simultaneously maximise excess returns (over benchmarks), limit risk and observe constraints on, for example, tracking errors (TRs), betas and asset weights.Research purpose: Determining the range of po...
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Mostafa Majidpour, Hamidreza Nazaripouya, Peter Chu, Hemanshu R. Pota and Rajit Gadh
In this paper, super-short-term prediction of solar power generation for applications in dynamic control of energy system has been investigated. In order to follow and satisfy the dynamics of the controller, the deployed prediction method should have a f...
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