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In this paper, we investigate the dynamic optimal portfolio selection. In a Black-Scholes setting, a conditional capital at risk constraint is imposed continuously over time. Making use of conditional information, the risk of trading portfolio is reevaluated dynamically to influence the investment decision. We apply the dynamic programming technique and optimal theory to obtain the optimal constrained...
This paper advances and evaluates a recently proposed progressively interactive evolutionary multi-objective optimization algorithm. The algorithm uses preference information from the decision maker during the intermediate generations of the EMO and produces the most preferred solution on the Pareto-optimal front. The progress towards the Pareto-optimal front is made by approximating decision maker's...
The traditional methodology on risk analysis in construction project feasibility research has remained for a long time in the atmosphere of qualitative analysis. A thorough quantitative analysis approach in the same field has been carried out in this paper based on the properties and mechanisms of value mining. Taking advantages of value mining theory, the practical evaluation on potential revenue...
From the point of view of changing the economic growth mode, under the guidance of system theory “The whole is greater than the sum of its parts”, this paper sets up a grey situation decision model. By analyzing the general effect measure, countermeasures affect measures and event effect measures of output, we find that the whole-scale agriculture structure of Ningxia Hui Autonomous Region is reasonable...
Under the electricity market, there are some new changes for provincial grid companies to purchase power. Besides most fixed contract of purchasing power, some free purchase room is existed in certain condition. At first overall thinking of purchase optimization in provincial grid corporation is discussed in this paper. Then a system of discriminated process is puts forward, which helps to establish...
This paper suggests a preference-based methodology, which is embedded in an evolutionary multiobjective optimization algorithm to lead a decision maker (DM) to the most preferred solution of her or his choice. The progress toward the most preferred solution is made by accepting preference based information progressively from the DM after every few generations of an evolutionary multiobjective optimization...
This study probes into a large-scale retail chain store in the central business district (CBD) and discusses how chain stores avoid competitors and its own market fields to explore availabilities of commercial opportunity and economic development. This study adapts Voronoi diagram technique, which is applied as a new method in the field of technology management, in order to optimize the selection...
In this work, multi-objective optimization for design of a benchmark cogeneration system known as CGAM cogeneration system is performed. In optimization approach, the exergetic and economic aspects are considered, simultaneously. The thermoeconomic objective is minimized while the exergetic objective is maximized. A multi-objective particle swarm optimization (MOPSO) algorithm is used to find a set...
The dynamical process of choice optimization is the realistic starting point of constructing dynamical economics or evolutionary economics. Rationality model is the logical basis for choice optimization. But in fact, as the common theoretical base in modern economics, rationality modeling is a complex problem unsolved. In this paper, a model of natural rationality (R) is introduced, and R is defined...
According to the relationship of coordinated interaction between unit output and electricity price, an economic/risk/environmental generation optimal model for maximizing total profits in the dealing day and minimizing both risk and emissions was formulated in this paper. A new multi-objective differential evolution optimization algorithm, which integrated Pareto non-dominant sorting and differential...
The multi-attribute decision making problem of uncertain three-point linguistic information is studied in this paper. The weight vector of indicators can be obtained through establishing linear goal programming in views of how to calculate the weight of indicators. Then according to the method of TOPSIS, the calculation steps of multi-attribute decision making problem of uncertain three-point linguistic...
Based on the data of 1978-2007, the relationship between financial support and the industrial structure optimization in the northeast China is discussed by Co-integration analysis and Granger Causality Test. We can conclude from the results of the empirical analysis that there exists long-term dynamic equilibrium interrelation, and that there is one-way Granger Causality between the two, namely financial...
An elitist genetic algorithm was used to find Pareto-optimal solutions for land use allocation with multiple objectives and constraints from the concepts of sustainable development. Plans were judged with regard to economic development, the environment and the social equality. A multi-objective fitness function was used. The genetic algorithm offers the possibility of efficiently searching over tens...
This paper focuses on fuzzy multiple-attribute decision making with weights unknown and fuzzy information. After discussing the structural feature of fuzzy information, we propose the compound quantification description mode for fuzzy information based on centralized quantification value, and establish a method of fuzzy information comparison based on synthesizing effect. And then we put forward the...
By simultaneously considering the financial risk and longevity risk, this paper develops a discrete multi-period framework that integrates annuity purchase decisions with consumption-investment selections in retirement planning, so as to discuss the optimal allocation of wealth in consumption, annuity and traditional assets. Computational results are provided to demonstrate the construction of consumption...
In this paper, the combination forecast method is presented by using minimizing the Theil-coefficient of the ARCH and GARCH and ARIMA method. The prices of cash and futures are forecasted combination forecast method. The optimal minimum variance hedging ratio is obtained by using the combination forecast results. The contribution is that combination forecast method combines the advantages of the single...
Collaborative decision-making optimization of intelligent information service alliances is the important support in modern economic transformation. At first, here the logos model and strategy of the collaborative decision-making optimization for a chance in the harmony game are applied to discuss the theory and method of intelligent information Service alliances and to explain the new characters of...
In procurement, a buyer who wants to obtain some goods at the lowest possible cost can hold a reverse auction to try to obtain the goods from a set of sellers who can provide the goods. If there is complementarity or substitutability between the goods, a combinatorial reverse auction can be beneficial. Each seller places bids for each bundle of goods he can provide. The problem is to determine the...
Multistage optimization problems are common occurrence in the economic literature. Scenario aggregation method is a widely used in solving dynamic programming problems. It is adopted as an alternative to describe the decision making process of an optimizing agent in economic models. Decisions made by scenario aggregation provide more accuracy and less risk in multistage stochastic optimization than...
To deal with subjective artificial and uncertain factor problem of six sigma projects selection, fuzzy synthetic evaluation method on project selection referring to the characteristics of six sigma projects selection was presented. Firstly, in order to provide a better reference for decision-makers, a evaluation index set of six sigma project selection has been set down; Secondly, Taking the five...
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