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Search results for: PORTFOLIO THEORY
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Markowitz’s portfolio theory – optimal length of estimation window for gold and the biggests companies on the Warsaw Stock Exchange
PublicationThe following article is dedicated to the construction of an investment portfolio consisting of 3 investments from the Polish capital market found in the WIG20 index and from investment in gold. The purpose of the study was to determine the optimal length of the estimation window for building a portfolio with minimal risk and maximum efficiency. The length of the estimation window was also assessed in terms of the rate of return...
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Winterthur Portfolio
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ASSESSMENT OF GOLD AND/OR CRUDE OIL AS INVESTMENTS FOR PORTFOLIO DIVERSIFICATION. A WARSAW STOCK EXCHANGE CASE STUDY
PublicationThe purpose of the study is to assess whether the inclusion of investments in gold and/or crude oil improves an investment portfolio consisting of shares of enterprises included in the WIG20 index (traditional invest-ments). All possible combinations of investment portfolios with minimal risk and maximum efficiency were tested. The portfolios were determined based on Markowitz’s portfolio theory. All results were compared...
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JOURNAL OF PORTFOLIO MANAGEMENT
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Downside Risk Approach for Multi-Objective Portfolio Optimization
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Multi-Objective Portfolio Optimization by Mixed Integer Programming
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A Bi-Objective Portfolio Optimization with Conditional Value-at-Risk
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A Reference Point Approach to Bi-Objective Dynamic Portfolio Optimization
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Financial Markets and Portfolio Management
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Rational portfolio manager - środowisko do wspomagania zarządzania przedsięwzięciami informatycznymi
PublicationW rozdziale omówiono zastosowanie aplikacji Rational Portfolio Manager, oferowanej przez firmę IBM, do zarządzania grupą przedsięwzięć informatycznych. Rozdział obejmuje 5 głównych części: w pierwszej przedstawiono charakterystykę aplikacji a w następnej omówiono szkolenia, jakim poddany był autor. W kolejnych częściach przedstawiono zastosowanie RPM w zarządzaniu pięcioma rzeczywistymi projektami, ocenę jego przydatności do zarządzania...
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Selected multiobjective methods for multiperiod portfolio optimization by mixed integer programming
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Survey of multi-objective portfolio optimization by linear and mixed integer programming
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Triple-objective models for portfolio optimisation with symmetric and percentile risk measures
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A Biased-Randomized Iterated Local Search Algorithm for Rich Portfolio Optimization
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Discussiones Mathematicae Graph Theory
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Victor Eremeev prof. dr hab.
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Conditional Value-at-Risk Vs. Value-at-Risk to Multi-Objective Portfolio Optimization
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Electricity Portfolio Optimization for Large Consumers: Iberian Electricity Market Case Study
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Lexicographic and weighting approach to multi-criteria portfolio optimization by mixed integer programming
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Theory of systems & cybernetics as a bridge between theory and practice. .
PublicationW pracy przedstawiono sposoby posługiwania się Teorią Systemów i Cybernetyką celem identyfikacji efektu synergii między nauką i działalnością praktyczną.
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A rough cut cybersecurity investment using portfolio of security controls with maximum cybersecurity value
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Workshop on Graph Theory
EventsThe Gdańsk Workshop on Graph Theory (GWGT) is an annual, informal workshop whose goal is to provide a forum for scientists to meet, present their work, interact, and establish collaborations in the field of Graph Theory
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Journal of Real Estate Portfolio Management
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Theory of industrial clusters
PublicationW niniejszym rozdziale zostały przedstawione podstawy teoretyczne klastrów, a w szczególności stosowane definicje i klasyfikacje gron oraz determinanty ich rozwoju. Autorka wyjaśnia również zjawisko powstawania klastrów i przedstawia korzyści płynące ze współpracy w gronie. Obszerną część artykułu stanowi przegląd metod stosowanych w badaniach struktur klastrowych. Autorka zamieściła również charakterystyki wybranych regionów opartych...
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Theoria. Historical Aspects of Music Theory
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Balkan Stock Exchanges – Consideration of the Length of the Estimation Window in Similar Markets
PublicationPurpose: We study if capital markets in the Balkan are closely and positively related in terms of rate of return, risk, efficiency, and maximum cumulative loss in relation to different lengths of the estimation window. Design/Methodology/Approach: The research was carried out for the period from 01/01/2017 to 31/12/2019 using portfolio analysis. It was divided into an estimation window (01/01/2019 to 31/12/2019) and another with...
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Green Geotechnics in practice and theory
PublicationW artykule przedstawiono analizę wykorzystania materiałów antropogenicznych (głównie ubocznych produktów spalania) w drogownictwie na przykładzie Polski. Główny nacisk położono na analizę technologii w aspekcie emisyjności CO2. Zdaniem autorów technologie niskoemisyjne powinny mieć priorytet ''stosowalności'' - zwłaszcza w świetle ustaleń tzw. Protokołu z Kioto 2005. Geotechnika przyjazna środowisku, czyli tzw. Zielona Geotechnika,...
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Trim Optimisation - Theory and Practice
PublicationForce Technology has been working intensively with trim optimisation tests for almost last 10 years. Focus has primarily been put on the possible power savings and exhaust gases reduction. This paper describes the trim optimisation process for a large cargo vessel. The physics behind changed propulsive power is described and the analyses in order to elaborate the optimum trimmed conditions are presented. Different methods for prediction...
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Quantum security and theory of decoherence
PublicationWe sketch a relation between two crucial, yet independent, fields in quantum information research, viz. quantum decoherence and quantum cryptography. We investigate here how the standard cryptographic assumption of shielded laboratory, stating that data generated by a secure quantum device remain private unless explicitly published, is disturbed by the einselection mechanism of quantum Darwinism explaining the measurement process...
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Kriging-assisted hybrid reliability design and optimization of offshore wind turbine support structure based on a portfolio allocation strategy
PublicationIn recent years, offshore wind power generation technology has developed rapidly around the world, making important contributions to the further development of renewable energy. When designing an Offshore Wind Turbine (OWT) system, the uncertainties in parameters and different types of constraints need to be considered to find the optimal design of these systems. Therefore, the Reliability-Based Design Optimization (RBDO) method...
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Grand Challenges on the Theory of Modeling and Simulation
PublicationModeling & Simulation (M&S) is used in many different fields and has made many significant contributions. As a field in its own right, there have been many advances in methodologies and technologies. In 2002 a workshop was held in Dagstuhl, Germany, to reflect on the grand challenges facing M&S. Ten years on, a series of M& S Grand Challenge activities are marking a decade of progress and are providing an opportunity to reflect...
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Theory and application of Near-infrared spectroscopy
PublicationIn recent years one can observe a significant increase in the requirements on quality control in all industrial sectors. The growing number of involved analyses makes the traditional, time consuming, requiring use of large quantities of reagents, thus expansive methods inconvenient especially for industrial applications. Fortunately, there is a very fast, cheap and not invasive analytical method that is increasingly used in qualitative...
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Green analytical chemistry : theory and practice
PublicationThis tutorial review summarises the current state of green analytical chemistry with special emphasis on environmentally friendly sample preparation techniques. Green analytical chemistry is a part of the sustainable development concept; its history and origins are described. Miniaturisation of analytical devices and shortening the time elapsing between performing analysis and obtaining reliable analytical results are important...
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Spectral splittings in the Conley index theory
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Note on universal algoritms for learning theory
PublicationW 2001 Cucker i Smale zaproponowali nowe podejście do teorii uczenia się w oparciu o problematykę teorii aproksymacji.W 2005 i 2007 Bivev, Cohen, Dahmen, DeVore i Temlyakov opublikowali dwie prace z teorii uczenia się. W omawianej publikacji uogólniliśmy ich rezultaty jednocześnie upraszczając dowody.
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Selected aspects of system design theory.
PublicationPrzedstawiono wybrane zagadnienia z teorii projektowania systemów. Szczgólną uwagę zwrócono na problemy występujące w systemach o dużej złożoności, które charakteryzują się skomplikowaną funkcją globalną, jak również dużą ilością elementów należących do takich systemów. Omówiono także niektóre cechy elementów wynikające z różnych procesów wytwarzania oraz ich wpływ na funkcję, strukturę i eksploatację systemu, powstałego ze skojarzenia...
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On dynamically and kinematically exact theory of shells
PublicationW rozważanej dynamicznie i kinematycznie ścisłej teorii powłok, powłokę reprezentuje materialna powierzchnia podstawowa wyposażona w tzw. tensor struktury. Nieograniczoną deformację włókien materialnych przekroju poprzecznego powłoki opisuje wektor przesunięć powierzchni podstawowej i tensor obrotów, wyrażający energetycznie uśrednioną po grubości rotację przekroju. Dyskutowane są relacje między trójwymiarowymi polami w ciele typu...
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Selected aspects of system design theory.
PublicationPrzedstawiono wybrane fragmenty z teorii i techniki projektowania złożonych systemów technicznych. Zwrócono szczególną uwagę na tworzenie schematów strukturalnych i funkcjonalnych systemów, a także występujących tam relacji między elementami takiego systemu. Opisano kolejne kroki postępowania dla doboru cech elementów systemu wg macierzy ich przewidywanych właściwości oraz przykłady podziału dla istniejących składników systemów...
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Engineering theory and practice: wisdom of thinking
PublicationOmówiono wzajemny związek teorii i praktyki w rozwijaniu zawodowych umiejętności inżynierów. Teorię rozumie się tu jako zdolność do kreatywnego myślenia - źródła wszelkiej działalności człowieka. Dlatego należy kłaść nacisk na wysoki poziom kształcenia ogólnego w szkole średniej i na samej uczelni aby w wyniku otrzymać intelektualnie dojrzałych inżynierów-humanistów
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KOALA Graph Theory Internet Service
PublicationKOALA has been created with the idea of C++ library templates, implementing a broad set of procedures in the fields of algorithmic graph theory and network problems in discreate optimization. During the C2NIWA project, a library has been greatly ectended, the code refactored and enclosed with the internet service available in the public repository of thr project. Today it contains interconnected educational materials in the form...
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Structure of the Resource Theory of Quantum Coherence
PublicationQuantum coherence is an essential feature of quantum mechanics which is responsible for the departure between the classical and quantum world. The recently established resource theory of quantum coherence studies possible quantum technological applications of quantum coherence, and limitations that arise if one is lacking the ability to establish superpositions. An important open problem in this context is a simple characterization...
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On Applications of Fractional Derivatives in Circuit Theory
PublicationIn this paper, concepts of fractional-order (FO) derivatives are discussed from the point of view of applications in the circuit theory. The properties of FO derivatives required for the circuit-level modelling are formulated. Potential problems related to the generalization of transmission line equations with the use of FO derivatives are presented. It is demonstrated that some of formulations of the FO derivatives have limited...
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On Applications of Fractional Derivatives in Electromagnetic Theory
PublicationIn this paper, concepts of fractional-order (FO) derivatives are analysed from the point of view of applications in the electromagnetic theory. The mathematical problems related to the FO generalization of Maxwell's equations are investigated. The most popular formulations of the fractional derivatives, i.e., Riemann-Liouville, Caputo, Grünwald-Letnikov and Marchaud definitions, are considered. Properties of these derivatives are...
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Regenarative tourism – between theory and practice
PublicationPurpose: The aim of this article is to present a shift in thinking in terms of implementing the systems and practices needed to transition to a regenerative approach in tourism. The article aims to provide concrete ways to change thinking and move towards a regenerative paradigm in the tourism industry. Design/methodology/approach: This viewpoint paper defines regenerative tourism and explores its principles and the possibilities...
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Game Theory Analysis of Bidding for a Construction Contract
PublicationThe authors are concerned with a bidding problem. There are two companies (P1 and P2) bidding for a highway construction project. In order to be more competitive, P1 considers buying a new gravel pit near the construction site. The basic cost of the pit is known to both companies. However, there is also an additional, hidden, cost (C) known only to P1. P2 is uncertain whether the hidden cost is C = 0 or C = x. P1 plans to bid for...
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Scenarios in regional planning – theory and practice in Poland
PublicationAbstract. It is important to recognise future conditions in planning because it primes future actions. Scenarios are useful prognostic tools, especially when the social and institutional behaviour plays a crucial role. The aims of the paper are: (1) to indicate the roles and the place of scenarios in the strategic plan building process; (2) to analyse and evaluate the application of scenarios in regional planning in Poland; (3)...
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Module structure in Conley theory with some applications
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On the Nielsen fixed point theory for multivalued mappings
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Connection matrix theory for discrete dynamical systems
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Direct laser interference patterning: theory and application
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