scholarly journals An Incremental-Hybrid-Yager’s Entropy Model for Dynamic Portfolio Selection with Fuzzy Variable

2018 ◽  
Vol 2018 ◽  
pp. 1-15
Author(s):  
Yin Li ◽  
Jian Tao ◽  
Yazhi Song
Keyword(s):  
Markov Chain ◽  
Asset Price ◽  
Fuzzy Variable ◽  
Time Interval ◽  
Entropy Model ◽  
Fuzzy Variables ◽  
Proposed Model ◽  
Dynamic Portfolio ◽  
The Relationship ◽  
Mean Variance

To settle down the resolutional uncertainty in optimum portfolio strategy, this paper addresses an incremental-hybrid-Yager’s entropy model to newly describe the relationship between return and risk. Different from the traditional multiperiod portfolio, we design the ratio threshold to divide asset price into different time interval and use state instead of time point to model the dynamic portfolio process. In addition, fuzzy variables are utilized to represent prices of assets, while historical data based on Markov chain is exploited to estimate membership functions of fuzzy prices. At last, a compromised genetic algorithm is designed, and the numerical example shows that the proposed model achieves solid returns compared against the mean-variance model and Markov chain Monte Carlo method.

scholarly journals An Artificial Bee Colony Algorithm for Uncertain Portfolio Selection

2014 ◽  
Vol 2014 ◽  
pp. 1-12 ◽  
Author(s):  
Wei Chen
Keyword(s):  
Portfolio Selection ◽  
Artificial Bee Colony ◽  
Mean Value ◽  
Investment Risk ◽  
Entropy Model ◽  
Uncertain Variables ◽  
Bee Colony ◽  
Proposed Model ◽  
Security Returns ◽  
Mean Variance

Portfolio selection is an important issue for researchers and practitioners. In this paper, under the assumption that security returns are given by experts’ evaluations rather than historical data, we discuss the portfolio adjusting problem which takes transaction costs and diversification degree of portfolio into consideration. Uncertain variables are employed to describe the security returns. In the proposed mean-variance-entropy model, the uncertain mean value of the return is used to measure investment return, the uncertain variance of the return is used to measure investment risk, and the entropy is used to measure diversification degree of portfolio. In order to solve the proposed model, a modified artificial bee colony (ABC) algorithm is designed. Finally, a numerical example is given to illustrate the modelling idea and the effectiveness of the proposed algorithm.

scholarly journals Optimal Decisions for Prepositioning Emergency Supplies Problem with Type-2 Fuzzy Variables

2016 ◽  
Vol 2016 ◽  
pp. 1-17 ◽  
Author(s):  
Xuejie Bai
Keyword(s):  
Value At Risk ◽  
Fuzzy Variable ◽  
General Purpose ◽  
Mixed Integer ◽  
Fuzzy Variables ◽  
Logistics Network ◽  
Disaster Relief Operations ◽  
Proposed Model ◽  
Relief Operations

Prepositioning emergency supplies serves an important function in disaster relief operations. This paper presents a new class of fuzzy prepositioning emergency supplies model for three-echelon humanitarian logistics network, in which the postdisaster acquisition and transportation costs, the suppliers’ supply, and affected areas’ demand are uncertain and characterized by type-2 fuzzy variables with known possibility distributions. Since the inherent complexity of fuzzy prepositioning problem may be troublesome, the existing methods are no longer effective in dealing with the proposed model directly. We first derive the optimistic and pessimistic values formula for credibility value-at-risk (CVaR) reduced fuzzy variable of type-2 trapezoidal fuzzy variable. On the basis of formula obtained, we can convert original fuzzy prepositioning model into its equivalent parametric mixed integer programming form, which can be solved by conventional algorithms or general-purpose software. Finally, some numerical experiments have been performed to illustrate the effectiveness of the proposed model and solution strategy.

scholarly journals Uncertain portfolio optimization problem with liquidity and diversification

2020 ◽  
Author(s):  
Ranran Zhang ◽  
Bo Li
Keyword(s):  
Portfolio Selection ◽  
Selection Problem ◽  
Investment Risk ◽  
Deterministic Models ◽  
Entropy Model ◽  
Portfolio Selection Problem ◽  
Uncertain Variables ◽  
Proposed Model ◽  
Portfolio Optimization Problem ◽  
Mean Variance

This paper deals with a portfolio selection problem with uncertain returns. Here, the returns of the assets are regarded as uncertain variables which are estimated by experienced experts. First, an uncertain mean-variance-entropy model for portfolio selection problem is presented by taking into account four criteria viz., return, risk, liquidity and diversification degree of portfolio. In the proposed model, the investment return is quantified by uncertain expected value, the investment risk is characterized by uncertain variance and entropy is used to measure the diversification degree of portfolio. Moreover, different from the previous bi-objective optimization model, our model achieves both the maximum return and the minimum risk in a single objective form by introducing a risk aversion factor and the dimensional influence caused by different units is eliminated by normalization. Then, two auxiliary portfolio selection models are transformed into different equivalent deterministic models. Finally, a numerical simulation is given to verify the practicability of our model.

The Influence of Cognitive and Affective Reactions to Feedback on Subsequent Goals

2010 ◽  
Vol 15 (2) ◽  
pp. 121-131 ◽  
Author(s):  
Remus Ilies ◽  
Timothy A. Judge ◽  
David T. Wagner
Keyword(s):  
Performance Feedback ◽  
Business School ◽  
Structural Equation ◽  
Emotional Reactions ◽  
Equation Model ◽  
Proposed Model ◽  
And Performance ◽  
Dispositional Measure ◽  
The Relationship ◽  
Reactions To Feedback

This paper focuses on explaining how individuals set goals on multiple performance episodes, in the context of performance feedback comparing their performance on each episode with their respective goal. The proposed model was tested through a longitudinal study of 493 university students’ actual goals and performance on business school exams. Results of a structural equation model supported the proposed conceptual model in which self-efficacy and emotional reactions to feedback mediate the relationship between feedback and subsequent goals. In addition, as expected, participants’ standing on a dispositional measure of behavioral inhibition influenced the strength of their emotional reactions to negative feedback.

scholarly journals Neural Network Approach for Global Solar Irradiance Prediction at Extremely Short-Time-Intervals Using Particle Swarm Optimization Algorithm

Energies ◽  
2021 ◽  
Vol 14 (4) ◽  
pp. 1213
Author(s):  
Ahmed Aljanad ◽  
Nadia M. L. Tan ◽  
Vassilios G. Agelidis ◽  
Hussain Shareef
Keyword(s):  
Neural Networks ◽  
Particle Swarm Optimization ◽  
Solar Irradiance ◽  
Particle Swarm ◽  
Time Interval ◽  
Time Intervals ◽  
Swarm Optimization ◽  
Backpropagation Neural Networks ◽  
Proposed Model ◽  
Short Time

Hourly global solar irradiance (GSR) data are required for sizing, planning, and modeling of solar photovoltaic farms. However, operating and controlling such farms exposed to varying environmental conditions, such as fast passing clouds, necessitates GSR data to be available for very short time intervals. Classical backpropagation neural networks do not perform satisfactorily when predicting parameters within short intervals. This paper proposes a hybrid backpropagation neural networks based on particle swarm optimization. The particle swarm algorithm is used as an optimization algorithm within the backpropagation neural networks to optimize the number of hidden layers and neurons used and its learning rate. The proposed model can be used as a reliable model in predicting changes in the solar irradiance during short time interval in tropical regions such as Malaysia and other regions. Actual global solar irradiance data of 5-s and 1-min intervals, recorded by weather stations, are applied to train and test the proposed algorithm. Moreover, to ensure the adaptability and robustness of the proposed technique, two different cases are evaluated using 1-day and 3-days profiles, for two different time intervals of 1-min and 5-s each. A set of statistical error indices have been introduced to evaluate the performance of the proposed algorithm. From the results obtained, the 3-days profile’s performance evaluation of the BPNN-PSO are 1.7078 of RMSE, 0.7537 of MAE, 0.0292 of MSE, and 31.4348 of MAPE (%), at 5-s time interval, where the obtained results of 1-min interval are 0.6566 of RMSE, 0.2754 of MAE, 0.0043 of MSE, and 1.4732 of MAPE (%). The results revealed that proposed model outperformed the standalone backpropagation neural networks method in predicting global solar irradiance values for extremely short-time intervals. In addition to that, the proposed model exhibited high level of predictability compared to other existing models.

scholarly journals Context-Aware Neural Machine Translation for Korean Honorific Expressions

Electronics ◽  
2021 ◽  
Vol 10 (13) ◽  
pp. 1589
Author(s):  
Yongkeun Hwang ◽  
Yanghoon Kim ◽  
Kyomin Jung
Keyword(s):  
Machine Translation ◽  
Deep Neural Networks ◽  
Contextual Information ◽  
Context Aware ◽  
Neural Machine Translation ◽  
Translation Quality ◽  
Sentence Level ◽  
Proposed Model ◽  
The Given ◽  
The Relationship

Neural machine translation (NMT) is one of the text generation tasks which has achieved significant improvement with the rise of deep neural networks. However, language-specific problems such as handling the translation of honorifics received little attention. In this paper, we propose a context-aware NMT to promote translation improvements of Korean honorifics. By exploiting the information such as the relationship between speakers from the surrounding sentences, our proposed model effectively manages the use of honorific expressions. Specifically, we utilize a novel encoder architecture that can represent the contextual information of the given input sentences. Furthermore, a context-aware post-editing (CAPE) technique is adopted to refine a set of inconsistent sentence-level honorific translations. To demonstrate the efficacy of the proposed method, honorific-labeled test data is required. Thus, we also design a heuristic that labels Korean sentences to distinguish between honorific and non-honorific styles. Experimental results show that our proposed method outperforms sentence-level NMT baselines both in overall translation quality and honorific translations.

scholarly journals A Distribution for Instantaneous Failures

Stats ◽  
2019 ◽  
Vol 2 (2) ◽  
pp. 247-258 ◽  
Author(s):  
Pedro L. Ramos ◽  
Francisco Louzada
Keyword(s):  
Residual Life ◽  
Likelihood Estimation ◽  
Estimation Methods ◽  
Mean Residual Life ◽  
Parameter Distribution ◽  
Coverage Probabilities ◽  
Instantaneous Failures ◽  
The Relationship ◽  
Mean Variance ◽  
New Distribution

A new one-parameter distribution is proposed in this paper. The new distribution allows for the occurrence of instantaneous failures (inliers) that are natural in many areas. Closed-form expressions are obtained for the moments, mean, variance, a coefficient of variation, skewness, kurtosis, and mean residual life. The relationship between the new distribution with the exponential and Lindley distributions is presented. The new distribution can be viewed as a combination of a reparametrized version of the Zakerzadeh and Dolati distribution with a particular case of the gamma model and the occurrence of zero value. The parameter estimation is discussed under the method of moments and the maximum likelihood estimation. A simulation study is performed to verify the efficiency of both estimation methods by computing the bias, mean squared errors, and coverage probabilities. The superiority of the proposed distribution and some of its concurrent distributions are tested by analyzing four real lifetime datasets.

scholarly journals An Attention-Based Model Using Character Composition of Entities in Chinese Relation Extraction

Information ◽  
2020 ◽  
Vol 11 (2) ◽  
pp. 79 ◽  
Author(s):  
Xiaoyu Han ◽  
Yue Zhang ◽  
Wenkai Zhang ◽  
Tinglei Huang
Keyword(s):  
Language Processing ◽  
Large Scale ◽  
Named Entity Recognition ◽  
Relation Extraction ◽  
Entity Recognition ◽  
Additional Information ◽  
Named Entity ◽  
Proposed Model ◽  
The Relationship ◽  
Crucial Part

Relation extraction is a vital task in natural language processing. It aims to identify the relationship between two specified entities in a sentence. Besides information contained in the sentence, additional information about the entities is verified to be helpful in relation extraction. Additional information such as entity type getting by NER (Named Entity Recognition) and description provided by knowledge base both have their limitations. Nevertheless, there exists another way to provide additional information which can overcome these limitations in Chinese relation extraction. As Chinese characters usually have explicit meanings and can carry more information than English letters. We suggest that characters that constitute the entities can provide additional information which is helpful for the relation extraction task, especially in large scale datasets. This assumption has never been verified before. The main obstacle is the lack of large-scale Chinese relation datasets. In this paper, first, we generate a large scale Chinese relation extraction dataset based on a Chinese encyclopedia. Second, we propose an attention-based model using the characters that compose the entities. The result on the generated dataset shows that these characters can provide useful information for the Chinese relation extraction task. By using this information, the attention mechanism we used can recognize the crucial part of the sentence that can express the relation. The proposed model outperforms other baseline models on our Chinese relation extraction dataset.

Loyalty program in Africa: risk-seeking and risk-averse adventurers

2014 ◽  
Vol 69 (2) ◽  
pp. 137-157 ◽  
Author(s):  
Shogo Mlozi
Keyword(s):  
Consumer Behavior ◽  
Consumer Products ◽  
Loyalty Programs ◽  
Risk Averse ◽  
Loyalty Program ◽  
Content Type ◽  
Risk Seeking ◽  
Proposed Model ◽  
First Time ◽  
The Relationship

Purpose – This article aims to test the relationship between expected attractiveness-satisfaction-loyalty for international adventure tourists visiting Tanzania. The proposed model is based on travel consumer behavior theoretical constructs extracted from the literature. Design/methodology/approach – This article aims to test the relationship between expected attractiveness-satisfaction-loyalty for international adventure tourists visiting Tanzania. The proposed model is based on travel consumer behavior theoretical constructs extracted from the literature. Findings – The findings for overall model differed from the moderating factors of high risk, low risk, first-time visit and repeat visit. Also, the results are interesting when satisfaction is tested as a mediator. Practical implications – Practitioners could consider the fact that repeat visits may change tourists’ perceptions toward destination and may even increase their inclination to take on risks. This may impact innovation of consumer products in tourism. Also, policy makers could benefit on how loyalty programs can be developed to increase performance. Originality/value – The study offers specific strategic recommendations toward different groups of tourists (i.e. first-time, repeat visitors, risk averse, risk seeking) and proposes logic for setting up a loyalty program as a long-term strategy for success.

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