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Displaying results 1 to 5 of 5.

  1. Imposing economic constraints in nonparametric regression
    survey, implementation and extension
    Author: Henderson, Daniel J.; Parmeter, Christopher F.
    Published: 2009
    Publisher:  IZA, Bonn

    Economic conditions such as convexity, homogeneity, homotheticity, and monotonicity are all important assumptions or consequences of assumptions of economic functionals to be estimated. Recent research has seen a renewed interest in imposing... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 4 (4103)
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    Economic conditions such as convexity, homogeneity, homotheticity, and monotonicity are all important assumptions or consequences of assumptions of economic functionals to be estimated. Recent research has seen a renewed interest in imposing constraints in nonparametric regression. We survey the available methods in the literature, discuss the challenges that present themselves when empirically implementing these methods and extend an existing method to handle general nonlinear constraints. A heuristic discussion on the empirical implementation for methods that use sequential quadratic programming is provided for the reader and simulated and empirical evidence on the distinction between constrained and unconstrained nonparametric regression surfaces is covered. -- Constraint weighted bootstrapping ; Hessian ; concavity ; identification ; earnings function

     
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/35524
    Series: IZA discussion papers ; 4103
    Subjects: Regressionsanalyse; Nichtparametrisches Verfahren; Nichtlineare Optimierung; Bildungsertrag; Monte-Carlo-Simulation; Theorie
    Scope: Online-Ressource (PDF-Datei: 30 S.), graph. Darst.
  2. Design and operations of gas transmission networks
    Author: Babonneau, Frédéric; Nesterov, Jurij Evgenʹevič; Vial, Jean-Philippe
    Published: 2009
    Publisher:  CORE, Louvain-la-Neuve

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 159 (2009,48)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: CORE discussion paper ; 2009,48
    Subjects: Gasversorgung; Netzinfrastruktur; Nichtlineare Optimierung; Duales Optimierungsproblem
    Scope: 29 S., graph. Darst.
  3. Robust optimization of the equity momentum strategy
    Author: Oord, Arco van; Martens, Martin; Dijk, Herman K. van
    Published: 2009

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 899 (2009.011)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Array ; 2009,011
    Subjects: Portfolio-Management; Nichtlineare Optimierung; Anlageverhalten; Schätzung; USA
    Scope: 15 S.
  4. Eine Fallstudie zur Produktionsprogrammplanung unter Einbeziehung von Preis-Absatz-Funktionen und Lernkurveneffekten unter Verwendung der Modellierungssprache CMPL
    Published: 2009
    Publisher:  Univ., Halle (Saale)

    Location:
    Universitäts- und Landesbibliothek Sachsen-Anhalt / Zentrale
    Signature:
    08 C 3, Kapsel (34)
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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    HW 21 (21)
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    Source: Union catalogues
    Language: German
    Media type: Book
    Format: Print
    ISBN: 9783868290776
    Series: Diskussionsbeiträge zu Wirtschaftsinformatik und Operations Research ; 21
    Subjects: Fertigungsprogramm; Preis-Absatz-Funktion; Lernprozess; Prozessmanagement; Nichtlineare Optimierung; Ganzzahlige Optimierung
    Scope: 79 S., graph. Darst.
  5. Robust optimization of the equity momentum strategy
    Author: Oord, Arco van; Martens, Martin; Dijk, Herman K. van
    Published: 2009
    Publisher:  Tinbergen Inst., Rotterdam [u.a.]

    Quadratic optimization for asset portfolios often leads to error maximization, with optimizers zooming in on large errors in the predicted inputs, that is, expected returns and risks. The consequence in most cases is a poor real-time performance. In... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 432 (2009,11)
    Inter-library loan:
    No inter-library loan

     

    Quadratic optimization for asset portfolios often leads to error maximization, with optimizers zooming in on large errors in the predicted inputs, that is, expected returns and risks. The consequence in most cases is a poor real-time performance. In this paper we show how to improve real-time performance of the popular equity momentum strategy with robust optimization in an empirical application involving 1500-2500 US stocks over the period 1963-2006. We also show that popular procedures like Bayes-Stein estimated expected returns, shrinking the covariance matrix and adding weight constraints fail in such a practical case.

     
    Export to reference management software   RIS file
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/87034
    Series: Array ; 2009,011
    Subjects: Portfolio-Management; Nichtlineare Optimierung; Anlageverhalten; Schätzung; USA
    Scope: Online-Ressource (15 S.), graph. Darst.