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Displaying results 26 to 42 of 42.

  1. Complexity in Factor Pricing Models
    Author: Didisheim, Antoine; Ke, Shikun; Kelly, Bryan T.; Malamud, Semyon
    Published: 2023
    Publisher:  SSRN, [S.l.]

    We theoretically characterize the behavior of machine learning asset pricing models. We prove that expected out-of-sample model performance—in terms of SDF Sharpe ratio and average pricing errors—is improving in model parameterization (or... more

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    We theoretically characterize the behavior of machine learning asset pricing models. We prove that expected out-of-sample model performance—in terms of SDF Sharpe ratio and average pricing errors—is improving in model parameterization (or “complexity”). Our results predict that the best asset pricing models (in terms of expected out-of-sample performance) have an extremely large number of factors (more than the number of training observations or base assets). Our empirical findings verify the theoretically predicted “virtue of complexity” in the cross-section of stock returns and find that the best model combines tens of thousands of factors. We also derive the feasible Hansen- Jagannathan (HJ) bound: The maximal Sharpe ratio achievable by a feasible portfolio strategy. The infeasible HJ bound massively overstates the achievable maximal Sharpe ratio due to a complexity wedge that we characterize

     
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    Source: Union catalogues
    Language: English
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    Series: Swiss Finance Institute Research Paper ; No. 23-19
    Subjects: Portfolio choice; asset pricing tests; optimization; expected returns; predictability
    Other subjects: Array
    Scope: 1 Online-Ressource (148 p)
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    Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 13, 2023 erstellt
  2. The performance of time series forecasting based on classical and machine learning methods for S&P 500 index
    Author: Uzzal, Maudud Hassan; Ślepaczuk, Robert
    Published: 2023
    Publisher:  University of Warsaw, Faculty of Economic Sciences, Warsaw

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    Series: Working papers / University of Warsaw, Faculty of Economic Sciences ; no. 2023, 5 = 412
    Subjects: deep learning; recurrent neural networks; ARIMA; algorithmic investment strategies; trading systems; LSTM; walk-forward process; optimization
    Scope: 1 Online-Ressource (circa 36 Seiten), Illustrationen
  3. Optimal forecast combination with mean absolute error loss
    Author: Chan, Felix; Pauwels, Laurent
    Published: 2023
    Publisher:  Australian National University, Crawford School of Public Policy, Canberra

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    Series: CAMA working paper series ; 2023, 59 (November 2023)
    Subjects: Forecasting; forecast combination; optimization; mean absolute error; optimal weights
    Scope: 1 Online-Ressource (circa 32 Seiten), Illustrationen
  4. Optimierung versus Koordinierung
    zur ordonomischen Klärung des wirtschaftsethischen Problems
    Author: Pies, Ingo
    Published: 2012
    Publisher:  Martin-Luther-Univ. Halle-Wittenberg, Lehrstuhl für Wirtschaftsethik, Halle

    Aus einer Gegenüberstellung von Optimierungs- und Koordinierungsproblem entwickelt dieser ordonomische Beitrag die zentrale Fragestellung der Wirtschaftsethik. Sie fokussiert die Perspektive auf institutionelle Reformen zur Verwirklichung moralischer... more

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    Aus einer Gegenüberstellung von Optimierungs- und Koordinierungsproblem entwickelt dieser ordonomische Beitrag die zentrale Fragestellung der Wirtschaftsethik. Sie fokussiert die Perspektive auf institutionelle Reformen zur Verwirklichung moralischer Anliegen. Die traditionelle Ethik ist gewohnt, ganz andere Fragen zu stellen. So kann der Eindruck entstehen, als gäbe es einen Widerspruch zwischen Individualethik und Institutionenethik. Dieser Widerspruch lässt sich auflösen, wenn man sorgsam darauf achtet, auf welche Problemstruktur der jeweilige Argumentationsmodus passt und auf welche eben nicht. Die Kernthese lautet, dass sich Individualethik und Institutionenethik wechselseitig ergänzen und stärken können. This article juxtaposes problems of optimization and coordination. It thus develops from an ordonomic point of view the central question that is asked by economic ethics. This question focuses the perspective on institutional reforms that actualize moral desiderata. Traditional ethics is used to asking quite different questions. Therefore, one might have the impression that there is a contradiction between individual ethics and institutional ethics. However, such a contradiction can be overcome if care is taken in observing that different kinds of argumentation fit different kinds of problem structures. The core insight is that individual ethics and institutional ethics can mutually complement and strengthen each other.

     
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    Source: Union catalogues
    Language: German
    Media type: Ebook
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    ISBN: 9783868295382
    Other identifier:
    hdl: 10419/170379
    Series: Diskussionspapier / Lehrstuhl für Wirtschaftsethik, Martin-Luther-Universität Halle-Wittenberg ; Nr. 2012, 21
    Subjects: Wirtschaftsethik; Institutioneller Wandel; Mathematische Optimierung; Koordination; Theorie; Ordonomik; Optimierung; Koordinierung; Ordonomik; Individualethik; Institutionenethik; Pathologien der Moderne; Zynismus; Moralismus; optimization; coordination; ordonomics; individual ethics; institutional ethics; pathologies of modernity; cynism; moralism
    Scope: Online-Ressource (PDF-Datei: III, 25 S., 0,24 MB), graph. Darst.
  5. Economic valuation of biodiversity-oriented forest management strategies under uncertainty
    Author: Augustynczik, Andrey L.D.
    Published: [2021]
    Publisher:  Albert-Ludwigs-Universität Freiburg, Professur für Forstökonomie und Forstplanung, Freiburg

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  6. Economic valuation of biodiversity-oriented forest management strategies under uncertainty
    Author: Augustynczik, Andrey L.D.
    Published: 2019

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  7. Compressing over-the-counter markets
    Author: D'Errico, Marco; Roukny, Tarik
    Published: [2017]
    Publisher:  European Systemic Risk Board, Frankfurt am Main, Germany

    In this paper, we show both theoretically and empirically that the size of over-the-counter (OTC) markets can be reduced without affecting individual net positions. First, we find that the networked nature of these markets generates an excess of... more

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    In this paper, we show both theoretically and empirically that the size of over-the-counter (OTC) markets can be reduced without affecting individual net positions. First, we find that the networked nature of these markets generates an excess of notional obligations between the aggregate gross amount and the minimum amount required to satisfy each individual net position. Second, we show conditions under which such excess can be removed. We refer to this netting operation as compression and identify feasibility and efficiency criteria, highlighting intermediation as the key element for excess levels. We show that a tradeoff exists between the amount of notional that can be eliminated from the system and the conservation of original trading relationships. Third, we apply our framework to a unique and comprehensive transaction-level dataset on OTC derivatives including all firms based in the European Union. On average, we find that around 75% of market gross notional relates to excess. While around 50% can in general be removed via bilateral compression, more sophisticated multilateral compression approaches are substantially more efficient. In particular, we find that even the most conservative multilateral approach which satisfies relationship constraints can eliminate up to 98% of excess in the markets.

     
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    Language: English
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    ISBN: 9789295081932
    Other identifier:
    hdl: 10419/193551
    Series: Working paper series / ESRB, European Systemic Risk Board, European System of Financial Supervision ; no 44 (May 2017)
    Subjects: financial market; information network; financial policy; econometrics; prices; OTC markets; compression; intermediation; derivatives; networks; optimization
    Scope: 1 Online-Ressource (circa 75 Seiten), Illustrationen
  8. Designing wearables for use in the workplace
    the role of solution developers = Wearable Computing im Betrieb gestalten
    Author: Evers, Maren; Krzywdzinski, Martin; Pfeiffer, Sabine
    Published: [2018]
    Publisher:  Wissenschaftszentrum Berlin für Sozialforschung, Berlin, Germany

    Wearables (such as data glasses and smartwatches) are a particularly visible element of Industrie 4.0 applications. They aim at providing situation-specific information to workers, but at the same time they can also be used for surveillance and... more

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    Wearables (such as data glasses and smartwatches) are a particularly visible element of Industrie 4.0 applications. They aim at providing situation-specific information to workers, but at the same time they can also be used for surveillance and control because they generate data on the work process and sometimes even on movement patterns and vital data of the employees. Wearables technology is at an early stage of development, in which the interests and perspectives of relevant stakeholders, especially technology developers and the management, are of particular importance. This article explores the role of solution developers and their understanding of work processes in which wearables are to be used. It is based on expert interviews with solution developers, academic and company experts. The analysis shows an ambivalent understanding of work: On the one hand, it is characterized by the perception of workers as potential sources of error. It focuses on the optimization of individual workplaces and their ergonomics, while broader questions of work design and work organization are ignored. On the other hand, the technology developers see and discuss the potentials and dangers of wearables technologies with regard to individualization, data protection and control in a differentiated manner. Wearables (beispielsweise Datenbrillen und Smartwatches) sind ein besonders sichtbares Element von Industrie-4.0-Anwendungen. Sie sollten situationsgerechte Informationen zur Verfügung stellen, können aber zugleich auch Daten über den Arbeitsprozess - und teils sogar über Bewegungsmuster und Vitaldaten der Beschäftigten - generieren. Die Wearables-Technologie ist in einem frühen Entwicklungsstadium, in dem die Interessen und Sichtweisen der relevanten Akteure, vor allem der Technikentwickler und des Managements möglicher Anwendungsunternehmen von besonderer Bedeutung sind. Der vorliegende Artikel untersucht die Rolle der Lösungsentwickler und ihr Verständnis von Arbeit und den Arbeitsprozessen, in denen Wearables eingesetzt werden sollen. Er beruht auf leitfadengestützten Interviews mit Lösungsentwicklern. Gezeigt wird ein ambivalentes Verständnis von Arbeit: auf der einen Seite dominiert die Wahrnehmung menschlicher Arbeitskräfte als potentielle Fehlerquellen und die Fokussierung auf die Optimierung einzelner Arbeitsplätze und ihrer Ergonomie, während übergreifende Fragen der Arbeitsgestaltung und Arbeitsorganisation ausgeblendet werden. Auf der anderen Seite werden die Potentiale und Gefahren der Wearables-Technologien im Hinblick auf Individualisierung, Datenschutz und Kontrolle differenziert gesehen und diskutiert.

     
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    hdl: 10419/183604
    Series: Discussion paper / WZB Berlin Social Science Center, research area: digitalization and societal transformation, project group: globalization, work, and production ; SP III 2018, 301 (August 2018)
    Subjects: technology; developers; labor process; optimization; Industrie 4.0; Technologie; Technologieentwicklung; Arbeitsprozess; Optimierung
    Scope: 1 Online-Ressource (circa 28 Seiten)
  9. Risk management for sovereign financing within a debt sustainability framework
    Author: Athanasopoulou, Marialena; Consiglio, Andrea; Erce, Aitor; Gavilán, Ángel; Moshammer, Edmund; Zenios, Stauros Andrea
    Published: 2018
    Publisher:  ESM, Luxembourg

    The mix of instruments used to finance a sovereign is a key determinant of debt sustainability through its effect on funding costs and risks. We extend standard debt sustainability analysis to incorporate debt-financing decisions in the presence of... more

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    The mix of instruments used to finance a sovereign is a key determinant of debt sustainability through its effect on funding costs and risks. We extend standard debt sustainability analysis to incorporate debt-financing decisions in the presence of macroeconomic, financial, and fiscal risks. We optimize the maturity of debt instruments to trade off borrowing costs with refinancing risk. Risk is quantified with a coherent measure of tail risk of financing needs, conditional Flow-at-Risk. A constraint on the pace of reduction of debt stocks is also imposed, and we model the effect of debt stocks on the yield curve through endogenous risk and term premia. On a simulated economy, we show that the cost-risk and flow-stock trade-offs embedded in issuance decisions are key determinants of the evolution of debt dynamics and are economically significant. Comparing three alternative optimizing strategies and some simple fixed-issuance rules, we also draw lessons on when and why optimizing matters the most. This depends on the risk tolerance level, the size, cost, and maturity of legacy debt, and the sensitivity of interest rates to debt. Our model quantifies thresholds for the minimum level of refinancing risks and the maximum pace of debt reduction that a sovereign could reach given its economic fundamentals. Going beyond those thresholds is only feasible through adjustments of gross financing needs, and an extension of the baseline model identifies the hot spots for these adjustments, computing their minimum size and optimal timing. Our findings inform policy decisions concerning both official sector borrowing and public finance, with a focus not only on minimizing interest payments but also on managing refinancing risks and increasing debt dynamics.

     
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    ISBN: 9789295085534
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    Series: Working paper series / European Stability Mechanism ; 31
    Subjects: sovereign debt; sustainability; debt financing; optimization; stochastic programming,scenario analysis; conditional Value-at-Risk; risk measures; EU financing; financial solvency; debt; balance-sheet analysis; cost of borrowing; macroeconomics; EU financial instrument
    Scope: 1 Online-Ressource (circa 45 Seiten), Illustrationen
  10. The profitability of energy storage in European electricity markets
    Author: Spodniak, Petr; Bertsch, Valentin; Devine, Mel
    Published: December 3, 2018
    Publisher:  ESRI, Dublin

    In this work, we study the profitability of energy storage operated in the Nordic, German, and UK electricity day-ahead markets during 2006-2016. We build a linear optimization model which maximizes profits from arbitraging hourly prices and use the... more

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    In this work, we study the profitability of energy storage operated in the Nordic, German, and UK electricity day-ahead markets during 2006-2016. We build a linear optimization model which maximizes profits from arbitraging hourly prices and use the model output of profits and storage cycles in further econometric analyses. We quantify and disentangle the effects of electricity spot price volatility, electricity demand, carbon emission price, wind and solar generation, and spread between gas and coal prices on profits and operation of 1-13MWh energy storages. Among others we find that solar generation is associated with lower profits but higher operating frequency of energy storages in Germany. Wind power generation is associated with positive effects on profits in the UK and Germany. vRES does not affect profits or operation of the Nordic energy storages.

     
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    hdl: 10419/193942
    Series: Working paper / ESRI ; no. 605 (December 2018)
    Subjects: Energy storage; optimization; profitability; risk analysis
    Scope: 1 Online-Ressource (circa 27 Seiten), Illustrationen
  11. Energy technology expert elicitations for policy
    workshops, modeling, and meta-analysis
    Published: 2014
    Publisher:  Harvard Univ., John F. Kennedy School of Government, Cambridge, Mass.

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    Series: Faculty research working paper series / John F. Kennedy School of Government, Harvard University ; 14-054
    Subjects: Expert elicitations; energy technology innovation; public R&D; meta-analysis; optimization
    Scope: Online-Ressource (33 S.), graph. Darst
  12. Design and analysis of simulation experiments
    tutorial
    Author: Kleijnen, Jack P. C.
    Published: 21 March 2017
    Publisher:  CentER, Center for Economic Research, Tilburg

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    Series: Discussion paper / CentER, Center for Economic Research ; no. 2017, 018
    Subjects: regression; Kriging; Gaussian process; factor screening; optimization; risk analysis
    Scope: 1 Online-Ressource (circa 26 Seiten)
  13. Response surface methodology
    Author: Kleijnen, Jack P. C.
    Published: 2014
    Publisher:  Center for Economic Research, Tilburg

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    Series: Discussion Paper / CentER for Economic Research ; 2014-013
    Subjects: simulation; optimization; regression; robustness; risk
    Scope: Online-Ressource (25 S.)
  14. Planning for large-scale wind and solar power in South Africa
    identifying cost-effective deployment strategies through spatiotemporal modelling
    Author: Ummel, Kevin; Fant, Charles
    Published: 2014
    Publisher:  WIDER, Helsinki

    South Africa hopes to expand wind and solar power. Success depends on how and where to deploy the technologies. This study develops a 10-year database of expected power generation for these technologies across South Africa. A power system model... more

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    South Africa hopes to expand wind and solar power. Success depends on how and where to deploy the technologies. This study develops a 10-year database of expected power generation for these technologies across South Africa. A power system model simulates the performance of different spatial deployment strategies in 2040. The results suggest that optimization of the location and quantities of the technologies could significantly reduce the cost of greenhouse gas abatement compared to conventional approaches. The data and techniques utilize open-source satellite data and software to minimize the cost of analysis, an approach that could be translated to other contexts.

     
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    hdl: 10419/107983
    Series: Working paper / World Institute for Development Economics Research ; 2014/121
    Subjects: abatement cost; greenhouse gas emissions; low-carbon development; optimization; renewable energy; spatiotemporal modelling
    Scope: Online-Ressource (30 S.), graph. Darst., Kt.
  15. Portfolio Optimization in Electricity Trading with Limited Liquidity
    Author: Weber, Christoph; Woll, Oliver
    Published: 2007
    Publisher:  University of Duisburg-Essen, Chair for Management Science and Energy Economics, Essen

    In principle, portfolio optimization in electricity markets can make use of the standard mean-variance model going back to Markowitz. Yet a key restriction in most electricity markets is the limited liquidity. Therefore the standard model has to be... more

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    In principle, portfolio optimization in electricity markets can make use of the standard mean-variance model going back to Markowitz. Yet a key restriction in most electricity markets is the limited liquidity. Therefore the standard model has to be adapted to cope with limited liquidity. An application of this model shows that the optimal hedging strategy for generation portfolios is strongly dependent on the size of the portfolio considered as well as on the variance-covariancematrix used and the liquidity function assumed.

     
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    hdl: 10419/103270
    Series: EWL Working Paper ; 2 [02/07]
    Subjects: optimization; electricity; liquidity; electricity trading; mean-variance-model
    Scope: Online-Ressource ([1], 18 S.), graph. Darst.
  16. Variables selection in observational and experimental studies
    Author: Kunert, Joachim; Weihs, Claus
    Published: 2000
    Publisher:  SFB 475, Universität Dortmund, Dortmund

    This paper discusses whether differences in the data structure of observational and experimental studies should lead to different strategies for variable selection. On the one hand, it is argued that outliers in the predictor variables have to be... more

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    This paper discusses whether differences in the data structure of observational and experimental studies should lead to different strategies for variable selection. On the one hand, it is argued that outliers in the predictor variables have to be treated differently in the two kinds of studies. In experimental studies this results in philosophical problems with the applicability of cross validation. On the other hand, it is shown, however, that a well designed experiment might lead to a factor structure very appropriate for cross validation, namely a certain balance in the observations together with orthogonality of the factors. This might be the reason why in practice cross validation has proven to be a valuable tool for variable selection also in experimental studies. In contrast, however, it is shown that variables selection based on cross validation is not appropriate for saturated orthogonal designs. After this fundamental argumentation, we illustrate by a number of examples that the same methods for variable selection can be successfully applied in observational as well as experimental studies.

     
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    hdl: 10419/77095
    Series: [Technical Report, SFB 475: Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund ; 2000,22]
    Subjects: variables selection; stepwise regression; cross validation; principal components; screening; optimization
    Scope: Online-Ressource (28 S.), graph. Darst.
  17. Simulation-optimization via kriging and bootstrapping
    a survey
    Author: Kleijnen, Jack P. C.
    Published: 2013
    Publisher:  Center for Economic Research, Tilburg

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    Edition: Revision of CentER DP 2011-064
    Series: Discussion Paper / CentER for Economic Research ; 2013-064
    Subjects: simulation; optimization; stochastic process; non-linear programming; risk
    Scope: Online-Ressource (21 S.)