| | SLO | ENG | Cookies and privacy

Bigger font | Smaller font

Show document Help

Title:Organization in finance prepared by stohastic differential equations with additive and nonlinear models and continuous optimization
Authors:ID Taylan, Pakize (Author)
ID Weber, Gerhard-Wilhelm (Author)
Files:.pdf Organizacija_2008_Taylan,_Weber_Organization_in_Finance_Prepared_by_Stochastic_Differential_Equations_with_Additive_and_Nonlinear_Models.pdf (364,34 KB)
MD5: FF162421F47C609BF94DA4CA4B341318
PID: 20.500.12556/dkum/0e6dae32-c9fd-4269-91b8-f77c62bf0bd4
 
URL http://www.degruyter.com/view/j/orga.2008.41.issue-5/v10051-008-0020-8/v10051-008-0020-8.xml
 
Language:English
Work type:Scientific work
Typology:1.01 - Original Scientific Article
Organization:FOV - Faculty of Organizational Sciences in Kranj
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
Publication status:Published
Publication version:Version of Record
Year of publishing:2008
Number of pages:str. 185-193
Numbering:Letn. 41, št. 5
PID:20.500.12556/DKUM-69347 New window
ISSN:1318-5454
UDC:005.591.1:519.863
ISSN on article:1318-5454
COBISS.SI-ID:244516864 New window
DOI:10.2478/v10051-008-0020-8 New window
NUK URN:URN:SI:UM:DK:4CF9QOSN
Publication date in DKUM:10.01.2018
Views:1232
Downloads:137
Metadata:XML RDF-CHPDL DC-XML DC-RDF
Categories:Misc.
:
Copy citation
  
Average score:(0 votes)
Your score:Voting is allowed only for logged in users.
Share:Bookmark and Share


Hover the mouse pointer over a document title to show the abstract or click on the title to get all document metadata.

Record is a part of a journal

Title:Organizacija. revija za management, informatiko in kadre
Shortened title:Organizacija
Publisher:Moderna organizacija
ISSN:1318-5454
COBISS.SI-ID:610909 New window

Licences

License:CC BY-NC-ND 4.0, Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International
Link:http://creativecommons.org/licenses/by-nc-nd/4.0/
Description:The most restrictive Creative Commons license. This only allows people to download and share the work for no commercial gain and for no other purposes.
Licensing start date:10.01.2018

Secondary language

Language:Slovenian
Title:Organizacija v financah izhajajoč iz stohasticnih diferencialnih enačb in nelinearnih modelov zvezne optimizacije
Abstract:Osrednji element v organizaciji finančnih sredstev, tako sredstev posameznika kot tudi podjetja ali družbene skupine, je oblikovanje, analiza in optimizacija portfelja. To zahteva modeliranje časovno spremenljivih procesov. Tako kot na mnoge procese v naravi, tehniki ali gospodarstvu tudi na finančne procese vplivajo naključne fluktuacije. Zato smo uporabili stohastične diferencialne enačbe, saj v realnosti, še posebej v finančnem sektorju, na mnoge procese vpliva naključni šum. Pomanjkljivost tega načina pa je, da je te enačbe težko predstaviti v obliki primerni za računalnik, in jih je težko reševati. V tem članku smo jih izrazili na poenostavljen način, tako, da smo uporabili aproksimacijo tako z diskretizacijo in kot tudi aditivnimi modeli, ki temeljijo na zlepkih. Določanje parametrov se nanaša na linearne koeficiente zlepkov in delno nelinearne probabilistične parametre. Izgradili smo penalizirano residualno vsoto kvadratov za ta model in obravnavali nelinearnosti, ki os se pojavljale, z Gauss-Newtonovo in Levenberg-Marquardt-ovo metodo za določanje iteracijskih korakov. Raziskovali smo tudi kdaj je s tem povezani program za minimizacijo lahko napisan kot Tikhonov problem regularizacije , in ga obravnavamo z uporabo zveznih optimizacijskih tehnik. Bolj natančno, pripravimo dostop do elegantnega okvirja koničnega kvadratnega programiranja. Ti konveksni optimizacijski problemi so zelo dobro strukturirani, zato so podobni linearnim programom, torej omogočajo uporabo metod interne točke.
Keywords:podjetje, poslovne finance, optimiranje, matematični modeli, stohastični modeli, operacijsko raziskovanje


Collection

This document is a part of these collections:
  1. Organizacija

Comments

Leave comment

You must log in to leave a comment.

Comments (0)
0 - 0 / 0
 
There are no comments!

Back
Logos of partners University of Maribor University of Ljubljana University of Primorska University of Nova Gorica