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Organization in finance prepared by stohastic differential equations with additive and nonlinear models and continuous optimization
Pakize Taylan, Gerhard-Wilhelm Weber, 2008, original scientific article

Abstract: A central element in organization of financal means by a person, a company or societal group consists in the constitution, analysis and optimization of portfolios. This requests the time-depending modeling of processes. Likewise many processes in nature, technology and economy, financial processes suffer from stochastic fluctuations. Therefore, we consider stochastic differential equations (Kloeden, Platen and Schurz, 1994) since in reality, especially, in the financial sector, many processes are affected with noise. As a drawback, these equations are hard to represent by a computer and hard to resolve. In our paper, we express them in simplified manner of approximation by both a discretization and additive models based on splines. Our parameter estimation refers to the linearly involved spline coefficients as prepared in (Taylan and Weber, 2007) and the partially nonlinearly involved probabilistic parameters. We construct a penalized residual sum of square for this model and face occuring nonlinearities by Gauss-Newton's and Levenberg-Marquardt's method on determining the iteration step. We also investigate when the related minimization program can be written as a Tikhonov regularization problem (sometimes called ridge regression), and we treat it using continuous optimization techniques. In particular, we prepare access to the elegant framework of conic quadratic programming. These convex optimation problems are very well-structured, herewith resembling linear programs and, hence, permitting the use of interior point methods (Nesterov and Nemirovskii, 1993).
Keywords: stochastic differential equations, regression, statistical learning, parameter estimation, splines, Gauss-Newton method, Levenberg-Marquardt's method, smoothing, stability, penalty methods, Tikhonov regularization, continuous optimization, conic quadratic programming
Published: 10.01.2018; Views: 465; Downloads: 53
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Fuzzy optimization for portfolio selection based on embedding theorem in fuzzy normed linear spaces
Farnaz Solatikia, Erdem Kiliç, Gerhard-Wilhelm Weber, 2014, original scientific article

Abstract: Background: This paper generalizes the results of Embedding problem of Fuzzy Number Space and its extension into a Fuzzy Banach Space C(Ω) × C(Ω), where C(Ω) is the set of all real-valued continuous functions on an open set Ω. Objectives: The main idea behind our approach consists of taking advantage of interplays between fuzzy normed spaces and normed spaces in a way to get an equivalent stochastic program. This helps avoiding pitfalls due to severe oversimplification of the reality. Method: The embedding theorem shows that the set of all fuzzy numbers can be embedded into a Fuzzy Banach space. Inspired by this embedding theorem, we propose a solution concept of fuzzy optimization problem which is obtained by applying the embedding function to the original fuzzy optimization problem. Results: The proposed method is used to extend the classical Mean-Variance portfolio selection model into Mean Variance-Skewness model in fuzzy environment under the criteria on short and long term returns, liquidity and dividends. Conclusion: A fuzzy optimization problem can be transformed into a multiobjective optimization problem which can be solved by using interactive fuzzy decision making procedure. Investor preferences determine the optimal multiobjective solution according to alternative scenarios.
Keywords: investiranje, dobiček, portfelj, optimiranje, metode
Published: 30.11.2017; Views: 347; Downloads: 291
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Mirjana Kljajić Borštnar, Davorin Kofjač, Andrej Škraba, Gerhard-Wilhelm Weber, Andreja Pucihar, 2017, preface, afterword

Keywords: simulation, modeling, system dynamics, decision making
Published: 29.11.2017; Views: 562; Downloads: 66
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Miroljub Kljajić, Gerhard-Wilhelm Weber, 2014, preface, afterword

Keywords: education, research, systems, modeling, group decision making
Published: 29.11.2017; Views: 425; Downloads: 67
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Miroljub Kljajić, Gerhard-Wilhelm Weber, 2012, preface, afterword

Keywords: education, research, systems, modeling, group decision making
Published: 29.11.2017; Views: 457; Downloads: 61
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Contribution to the collaborative work in virtual organization
Fernando Crespo, Chandra Sekhar Pedamallu, Linet Ozdamar, Gerhard-Wilhelm Weber, 2012, original scientific article

Abstract: A virtual organization is a community of people who interact together socially on a technical platform. These kinds of communities are built on a common interest, a common problem or a common task of its members that is pursued on the basis of implicit and explicit codes of behavior. The six dimensions that are normally used to analyze virtual organizations are the use of technologies, sense of belonging, success factors, level of trust from members, virtual community management, and contents of the virtual community. The virtual organizations defined in the literature are not defined separately for non-profit research virtual organization. Here we present analysis of non-profit research virtual organization, European Working Group on Operational Research for Development (EGW ORD). This paper provides a summary of achievements and challenges faced in building a virtual organization. This kind of analysis plays a vital role in establishing new non-profit virtual organizations to serve the research community in their field of interest. It is also helpful to the group in broadening its presence and involving more researchers, practitioners and students in the field of operational research.
Keywords: virtual organization, virtual community, operational research, societies, EURO
Published: 29.11.2017; Views: 483; Downloads: 57
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A system dynamics model for improving primary education enrollment in a developing country
Chandra Sekhar Pedamallu, Linet Ozdamar, LS Ganesh, Gerhard-Wilhelm Weber, Erik Kropat, 2010, original scientific article

Abstract: The system dynamics approach is a holistic way of solving problems in real-time scenarios. This is a powerful methodology and computer simulation modeling technique for framing, analyzing, and discussing complex issues and problems. System dynamics modeling is often the background of a systemic thinking approach and has become a management and organizational development paradigm. This paper proposes a system dynamics approach for studying the importance of infrastructure facilities on the quality of primary education system in a developing nation. The model is built using the Cross Impact Analysis (CIA) method of relating entities and attributes relevant to the primary education system in any given community. The CIA model enables us to predict the effects of infrastructural facilities on the community's access of primary education. This may support policy makers to take more effective actions in campaigns that attempt to improve literacy.
Keywords: developing countries, system modeling, cross impact analysis, simulation, system dynamics, primary education
Published: 28.11.2017; Views: 507; Downloads: 238
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