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Many real-world optimization problems have to be solved under the presence of uncertainties. A significant number of these uncertainty problems falls into the dynamic optimization category in which the fitness function varies through time. For this class of problems, an evolutionary algorithm is expected to perform satisfactorily in spite of different degrees and frequencies of change in the fitness...
The paper introduces health into a representative agent's preference who cares about her social status, and based on this new preference structure, we have reached a closed-form solution to the agent's optimal consumption-portfolio question. Consistent with the expectation, the optimal ratio of the risky asset the agent holds is influenced by the covariance of the return of the risky asset and health...
We present the main elements for a decision support system for portfolio optimization in the Mexican market, including the financial investments consideration for a database, the uncertainty representation in scenario trees and the requirements for a portfolio optimization model. We used a stochastic programming approach to formulate the multistage optimization model, modified with new constraints...
There are many kinds of real options in each phase of MIS project lifecycle. First, the process of MIS project decision and implementation is deeply analyzed and the real options that may be embedded in a MIS project are identified. Second, the MIS project decision target and contents are analyzed and discussed in evaluation of MIS investment project. Third, a new investment decision criterion is...
The purpose of this study is to investigate the trade-off relationship between value creation (characterized by EVA) and attendant risks for R&D portfolios. The empirical data include 485 manufacturing and high tech Taiwanese firms during the years 2004 to 2007. Empirical results indicate that the percentage changes of EVA are sensitive to the time horizons used in amortized R&D capital and...
Portfolio recommendation in stock market is complex, especially when the required data are vague. In order to evaluate the stocks and recommend the high priority of them to the customers, it is necessary to rank the stocks based on the criteria which is obtained from literature. Since in this paper the stocks score were presented by fuzzy number, fuzzy entropy method is used to calculate the stock...
To understand the potential value of a technology a wide range of techniques is available. Examples are quantitative techniques such as discounted cash-flow, real options and decision trees and qualitative techniques such as roadmaps and scoring cards. However, very little has been written about their integrated use and more particularly over the life cycle of a technology. Whereas many companies...
Generation companies operating in a competitive market face price and volume risks that affect their return. Being able to identify and quantify these risks for each type of generation asset and how they interact is fundamental when making investment decisions regarding the portfolio of generation assets. This paper proposes a set of tools to support the decision of investment in a portfolio of generation...
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