Covariance matrix

Lecture "Investment: Chapter 3 - Asset pricing models" provide students with content about: Capital asset pricing model; Capital market line; Covariance properties; Covariance matrix;... Please refer to the detailed lecture content!

37p gaupanda031 13-05-2024 4 1   Download

In this paper, we introduce a novel simulation-based optimization method, CMAESEP, which couples the Covariance Matrix Adaptation Evolution Strategy Optimization Algorithm and the Epanet hydraulic simulator for optimal designing water distribution networks. The proposed method is applied to the published benchmark water network of Hanoi.

10p vilarry 01-04-2024 2 1   Download

Ebook "Stochastic calculus of variations in mathematical finance" demonstrating the relevance of Malliavin calculus for Mathematical Finance, starts with an exposition from scratch of this theory. Greeks (price sensitivities) are reinterpreted in terms of Malliavin calculus. Integration by parts formulae provide stable Monte Carlo schemes for numerical valuation of digital options.

148p loivantrinh 29-10-2023 6 3   Download

Continued part 1, part 2 of ebook "Bayesian methods for structural dynamics and civil engineering" provides readers with contents including: bayesian time-domain approach; model updating using eigenvalue–eigenvector measurements; bayesian model class selection; relationship between the hessian and covariance matrix for gaussian random variables; model class selection for regression problems;...

134p hanlinhchi 28-08-2023 10 3   Download

Bài giảng "Tính toán tiến hóa: Bài 5 - Evolution Strategy" được biên soạn với các nội dung chính sau đây: Tổng quan Evolution Strategy; Các loại ES: Simple Gaussian Evolution Strategies, Covariance Matrix Adaptation Evolution Strategies (CMA-ES). Mời các bạn cùng tham khảo bài giảng tại đây!

27p kimphuong1001 11-02-2023 4 3   Download

This paper proposes a method of ranking load in Microgird system based on the calculation of priority weights on the continuity of power supply of the loads. The proposed method applies the covariance matrix of the criterion layer to determine values of each criterion.

9p visusanwojcicki 28-06-2022 9 3   Download

Metaheuristic search algorithms are used to develop new protocols for optimal intravenous insulin infusion rate recommendations in scenarios involving hospital in-patients with Type 1 Diabetes. Two metaheuristic search algorithms are used, namely, Particle Swarm Optimization and Covariance Matrix Adaption Evolution Strategy.

28p redemption 20-12-2021 14 0   Download

The objective of this dissertation is to investigate that whether the investors can improve the performance of minimum – variance optimized portfolios by altering the estimators of covariance matrix input. Besides, based on the results of out – of – sample portfolio performance metrics, the dissertation is going to select the suitable estimators of covariance matrix for portfolio optimization on Vietnam stock market.

129p mmlemmlem_124 22-12-2020 11 2   Download

The research objective of the thesis is to consider how the change of covariance matrix factor will affect the results of portfolio selection and through that to find out whether investors have Is it possible to improve portfolio performance by adjusting the covariance matrix in the optimized model with the smallest variance.

55p mmlemmlem_124 22-12-2020 10 3   Download

Although Linear Discriminant Analysis (LDA) is commonly used for classification, it may not be directly applied in genomics studies due to the large p, small n problem in these studies. Different versions of sparse LDA have been proposed to address this significant challenge.

9p vikentucky2711 26-11-2020 18 0   Download

For many practical hypothesis testing (H-T) applications, the data are correlated and/or with heterogeneous variance structure. The regression t-test for weighted linear mixed-effects regression (LMER) is a legitimate choice because it accounts for complex covariance structure.

14p vijisoo2711 27-10-2020 10 1   Download

The intent of this paper is to describe the procedures used in the evaluation of the RP and RPC, the use of the RPC in benchmark calculations and to assess the impact of the 16O nuclear data uncertainties in the calculate dkeff for critical benchmark experiments.

13p christabelhuynh 30-05-2020 11 1   Download

The following will be discussed in this chapter: Zestimates, LMMSE for multivariate case, Geometric picture, applying orthogonality gives the “normal equations”, estimating mean vector and covariance matrix from data, random variable, random process,...

11p nanhankhuoctai3 25-05-2020 7 0   Download

Sensitivity and uncertainty analysis in error propagation studies are carried out based on nuclear data uncertainty information available in the basic nuclear data libraries such as ENDF, JEFF, JENDL and others.

5p christabelhuynh 29-05-2020 7 0   Download

Both the availability and the quality of covariance data improved over the last years and many recent cross-section evaluations, such as JENDL-4.0, ENDF/B-VII.1, JEFF-3.3, etc. include new covariance data compilations.

8p christabelhuynh 29-05-2020 4 1   Download

This work presents an analytic methodology to produce such a covariance matrix-associated to the water model developed at the Atomic Center of Bariloche (Centro Atomico Bariloche, CAB, Argentina).

13p christabelhuynh 29-05-2020 4 1   Download

The prior PDF of generalized data is defined by prior expectation values and a prior covariance matrix of generalized data that naturally includes covariance between any two components of generalized data.

6p christabelhuynh 29-05-2020 9 0   Download

This paper aims to analyze the intertemporal interaction between crude oil prices and the U.S. dollar trade-weighted exchange rates from January 1997 through December 2012. To this end, the study assumes that the conditional covariance matrix between crude oil and the dollar exchange rate returns follows a bivariate GARCH process. Using daily data, I find strong evidence of a time-varying conditional covariance and correlation between crude oil prices and the U.S. dollar exchange rates.

13p trinhthamhodang2 21-01-2020 50 1   Download

This paper concerns estimating uncertainties of the core neutronics design parameters of power reactors by direct sampling method (DSM) calculations based on the two-step McCARD/MASTER design system in which McCARD is used to generate the fuel assembly (FA) homogenized few group constants (FGCs) while MASTER is used to conduct the core neutronics design computation.

8p minhxaminhyeu5 30-06-2019 22 0   Download

Topic 3 - Computing portfolio risk and return. After you have mastered the material in this chapter, you will be able to: Compute correlation and covariance matrices, compute the standard deviation of a portfolio of risky assets, use matrix algebra to compute portfolio return and risk, use VBA comments and application object.

28p shiwo_ding8 25-06-2019 24 1   Download