Portfolio theory has been extensively studied and applied in finance.To determine the optimal portfolio weight under the global minimum variance strategy,it is necessary to estimate both the covariance matrix and its ...Portfolio theory has been extensively studied and applied in finance.To determine the optimal portfolio weight under the global minimum variance strategy,it is necessary to estimate both the covariance matrix and its inverse.However,the high dimensionality and heavy-tailed nature of financial data pose significant challenges to this estimation.In this study,we propose a method to estimate the Gini covariance matrix by introducing a low-rank and sparse correlation structure,as an alternative to the traditional sample covariance matrix.Our approach employs a factor model to capture the low-rank structure,combined with thresholding rules to achieve the final estimation.We demonstrate the consistency of our estimators and validate our approach through simulation experiments and empirical portfolio analyses.Simulation results show that our method is highly applicable across a variety of distributional scenarios.Furthermore,empirical portfolio analysis indicates that our method can construct portfolios with superior performance.展开更多
Data serves as the foundation for training and testing machine learning and artificial intelligencemodels.The most fundamental part of data is its attributes or features.The feature set size changes from one dataset t...Data serves as the foundation for training and testing machine learning and artificial intelligencemodels.The most fundamental part of data is its attributes or features.The feature set size changes from one dataset to another.Only the relevant features contributemeaningfully to classificationaccuracy.The presence of irrelevant features reduces the system’s effectiveness.Classification performance often deteriorates on high-dimensional datasets due to the large search space.Thus,one of the significant obstacles affecting the performance of the learning process in the majority of machine learning and data mining techniques is the dimensionality of the datasets.Feature selection(FS)is an effective preprocessing step in classification tasks.The aim of applying FS is to exclude redundant and unrelated features while retaining the most informative ones to optimize classification capability and compress computational complexity.In this paper,a novel hybrid binary metaheuristic algorithm,termed hSC-FPA,is proposed by hybridizing the Flower Pollination Algorithm(FPA)and the Sine Cosine Algorithm(SCA).Hybridization controls the exploration capacity of SCA and the exploitation behavior of FPA to maintain a balanced search process.SCA guides the global search in the early iterations,while FPA’s local pollination refines promising solutions in later stages.A binary conversion mechanism using a threshold function is implemented to handle the discrete nature of the feature selection problem.The functionality of the proposed hSC-FPA is authenticated on fourteen standard datasets from the UCI repository using the K-Nearest Neighbors(K-NN)classifier.Experimental results are benchmarked against the standalone SCA and FPA algorithms.The hSC-FPA consistently achieves higher classification accuracy,selects a more compact feature subset,and demonstrates superior convergence behavior.These findings support the stability and outperformance of the hybrid feature selection method presented.展开更多
Portfolio selection based on the global minimum variance(GMV)model remains a significant focus in financial research.The covariance matrix,central to the GMV model,determines portfolio weights,and its accurate estimat...Portfolio selection based on the global minimum variance(GMV)model remains a significant focus in financial research.The covariance matrix,central to the GMV model,determines portfolio weights,and its accurate estimation is key to effective strategies.Based on the decomposition form of the covariance matrix.This paper introduces semi-variance for improved financial asymmetric risk measurement;addresses asymmetry in financial asset correlations using distance,asymmetric,and Chatterjee correlations to refine covariance matrices;and proposes three new covariance matrix models to enhance risk assessment and portfolio selection strategies.Testing with data from 30 stocks across various sectors of the Chinese market confirms the strong performance of the proposed strategies.展开更多
This research develops two new models for project portfolio selection, in which the candidate projects are composed of multiple repetitive units. To reflect some real situations, the learning effect is considered in t...This research develops two new models for project portfolio selection, in which the candidate projects are composed of multiple repetitive units. To reflect some real situations, the learning effect is considered in the project portfolio selection problem for the first time. The mathematical representations of the relationship between learning experience and investment cost are provided. One numerical example under different scenarios is demonstrated and the impact of considering learning effect is then discussed.展开更多
The hesitant fuzzy set(HFS) is an important tool to deal with uncertain and vague information.In equipment system portfolio selection, the index attribute of the equipment system may not be expressed by precise data;i...The hesitant fuzzy set(HFS) is an important tool to deal with uncertain and vague information.In equipment system portfolio selection, the index attribute of the equipment system may not be expressed by precise data;it is usually described by qualitative information and expressed as multiple possible values.We propose a method of equipment system portfolio selection under hesitant fuzzy environment.The hesitant fuzzy element(HFE) is used to describe the index and attribute values of the equipment system.The hesitation degree of HFEs measures the uncertainty of the criterion data of the equipment system.The hesitant fuzzy grey relational analysis(GRA) method is used to evaluate the score of the equipment system, and the improved HFE distance measure is used to fully consider the influence of hesitation degree on the grey correlation degree.Based on the score and hesitation degree of the equipment system,two portfolio selection models of the equipment system and an equipment system portfolio selection case is given to illustrate the application process and effectiveness of the method.展开更多
Weapon system portfolio selection is an important combinatorial problem that arises in various applications,such as weapons development planning and equipment procurement,which are of concern to military decision make...Weapon system portfolio selection is an important combinatorial problem that arises in various applications,such as weapons development planning and equipment procurement,which are of concern to military decision makers.However,the existing weapon system-of-systems(SoS)is tightly coupled.Because of the diversity and connectivity of mission requirements,it is difficult to describe the direct mapping relationship from the mission to the weapon system.In the latest service-oriented research,the introduction of service modules to build a service-oriented,flexible,and combinable structure is an important trend.This paper proposes a service-oriented weapon system portfolio selection method,by introducing service to serve as an intermediary to connect missions and system selection,and transferring the weapon system selection into the service portfolio selection.Specifically,the relation between the service and the task is described through the service-task mapping matrix;and the relation between the service and the weapon system is constructed through the servicesystem mapping matrix.The service collaboration network to calculate the flexibility and connectivity of each service portfolio is then established.Through multi-objective programming,the optimal service portfolios are generated,which are further decoded into weapon system portfolios.展开更多
In this paper,we study the global optimality of polynomial portfolio optimization(PPO).The PPO is a kind of portfolio selection model with high-order moments and flexible risk preference parameters.We introduce a pert...In this paper,we study the global optimality of polynomial portfolio optimization(PPO).The PPO is a kind of portfolio selection model with high-order moments and flexible risk preference parameters.We introduce a perturbation sample average approximation method,which can give a robust approximation of the PPO in form of linear conic optimization.The approximated problem can be solved globally with Moment-SOS relaxations.We summarize a semidefinite algorithm,which can be used to find reliable approximations of the optimal value and optimizer set of the PPO.Numerical examples are given to show the efficiency of the algorithm.展开更多
To expedite the large-scale deployment of driverless taxis and advance the autonomous driving industry,research on the location of integrated parking and charging facilities for driverless taxis has emerged as a signi...To expedite the large-scale deployment of driverless taxis and advance the autonomous driving industry,research on the location of integrated parking and charging facilities for driverless taxis has emerged as a significant issue in urban traffic.This study employs a progressive"preliminary selection-screening-optimal selection"approach for site selec-tion.First,the preliminary selection of parking sites is conducted by clustering various point-of-interest types.Subsequently,a multi-objective site selection model is developed to maximize the coverage of demand points,minimize construction costs,address the lar-gest population demands,and minimize the distance between demand points and candi-date sites.The non-dominated sorting genetic algorithmⅡ(NSGA-Ⅱ)is adopted to obtain several Pareto optimal solutions.The evaluation indexes are selected according to opera-tors,users,and the public transport system to estimate the Pareto optimal solutions,and then the final location solution can be obtained.The calculation methods for several key parameters are improved during the modeling process.Location potential and location influence coefficient are selected to adjust the number of driverless taxi parking spaces.Additionally,isochrones drawn based on the actual road network and path planning repre-sent the service range of candidate points.Meanwhile,distance based on actual road net-work rather than Euclidean distance is introduced to calculate the distance between candidate points.Finally,a case study shows that the method proposed in this study could reduce the total initial travel time to reach the demand points by 64%,which is indepen-dent of operational scheduling.展开更多
Optimization problem of cardinality constrained mean-variance(CCMV)model for sparse portfolio selection is considered.To overcome the difficulties caused by cardinality constraint,an exact penalty approach is employed...Optimization problem of cardinality constrained mean-variance(CCMV)model for sparse portfolio selection is considered.To overcome the difficulties caused by cardinality constraint,an exact penalty approach is employed,then CCMV problem is transferred into a difference-of-convex-functions(DC)problem.By exploiting the DC structure of the gained problem and the superlinear convergence of semismooth Newton(ssN)method,an inexact proximal DC algorithm with sieving strategy based on a majorized ssN method(siPDCA-mssN)is proposed.For solving the inner problems of siPDCA-mssN from dual,the second-order information is wisely incorporated and an efficient mssN method is employed.The global convergence of the sequence generated by siPDCA-mssN is proved.To solve large-scale CCMV problem,a decomposed siPDCA-mssN(DsiPDCA-mssN)is introduced.To demonstrate the efficiency of proposed algorithms,siPDCA-mssN and DsiPDCA-mssN are compared with the penalty proximal alternating linearized minimization method and the CPLEX(12.9)solver by performing numerical experiments on realword market data and large-scale simulated data.The numerical results demonstrate that siPDCA-mssN and DsiPDCA-mssN outperform the other methods from computation time and optimal value.The out-of-sample experiments results display that the solutions of CCMV model are better than those of other portfolio selection models in terms of Sharp ratio and sparsity.展开更多
This paper proposed a multi-period dynamic optimal portfolio selection model. Assumptions were made to assure the strictness of reasoning. This Approach depicted the developments and changing of the real stock market ...This paper proposed a multi-period dynamic optimal portfolio selection model. Assumptions were made to assure the strictness of reasoning. This Approach depicted the developments and changing of the real stock market and is an attempt to remedy some of the deficiencies of recent researches. The model is a standard form of quadratic programming. Furthermore, this paper presented a numerical example in real stock market.展开更多
基金supported by the Postdoctoral Fellowship Program of CPSF(GZC20241651)the National Natural Science Foundation of China(12501391)the Natural Science Foundation of Anhui Province(2408085QA005).
文摘Portfolio theory has been extensively studied and applied in finance.To determine the optimal portfolio weight under the global minimum variance strategy,it is necessary to estimate both the covariance matrix and its inverse.However,the high dimensionality and heavy-tailed nature of financial data pose significant challenges to this estimation.In this study,we propose a method to estimate the Gini covariance matrix by introducing a low-rank and sparse correlation structure,as an alternative to the traditional sample covariance matrix.Our approach employs a factor model to capture the low-rank structure,combined with thresholding rules to achieve the final estimation.We demonstrate the consistency of our estimators and validate our approach through simulation experiments and empirical portfolio analyses.Simulation results show that our method is highly applicable across a variety of distributional scenarios.Furthermore,empirical portfolio analysis indicates that our method can construct portfolios with superior performance.
基金supported by a research grant from Lahore College for Women University(LCWU),Lahore,Pakistan.
文摘Data serves as the foundation for training and testing machine learning and artificial intelligencemodels.The most fundamental part of data is its attributes or features.The feature set size changes from one dataset to another.Only the relevant features contributemeaningfully to classificationaccuracy.The presence of irrelevant features reduces the system’s effectiveness.Classification performance often deteriorates on high-dimensional datasets due to the large search space.Thus,one of the significant obstacles affecting the performance of the learning process in the majority of machine learning and data mining techniques is the dimensionality of the datasets.Feature selection(FS)is an effective preprocessing step in classification tasks.The aim of applying FS is to exclude redundant and unrelated features while retaining the most informative ones to optimize classification capability and compress computational complexity.In this paper,a novel hybrid binary metaheuristic algorithm,termed hSC-FPA,is proposed by hybridizing the Flower Pollination Algorithm(FPA)and the Sine Cosine Algorithm(SCA).Hybridization controls the exploration capacity of SCA and the exploitation behavior of FPA to maintain a balanced search process.SCA guides the global search in the early iterations,while FPA’s local pollination refines promising solutions in later stages.A binary conversion mechanism using a threshold function is implemented to handle the discrete nature of the feature selection problem.The functionality of the proposed hSC-FPA is authenticated on fourteen standard datasets from the UCI repository using the K-Nearest Neighbors(K-NN)classifier.Experimental results are benchmarked against the standalone SCA and FPA algorithms.The hSC-FPA consistently achieves higher classification accuracy,selects a more compact feature subset,and demonstrates superior convergence behavior.These findings support the stability and outperformance of the hybrid feature selection method presented.
基金National Natural Science Foundation of China(Project No.:12201579)。
文摘Portfolio selection based on the global minimum variance(GMV)model remains a significant focus in financial research.The covariance matrix,central to the GMV model,determines portfolio weights,and its accurate estimation is key to effective strategies.Based on the decomposition form of the covariance matrix.This paper introduces semi-variance for improved financial asymmetric risk measurement;addresses asymmetry in financial asset correlations using distance,asymmetric,and Chatterjee correlations to refine covariance matrices;and proposes three new covariance matrix models to enhance risk assessment and portfolio selection strategies.Testing with data from 30 stocks across various sectors of the Chinese market confirms the strong performance of the proposed strategies.
基金supported by the National Natural Science Foundation of China (71772060).
文摘This research develops two new models for project portfolio selection, in which the candidate projects are composed of multiple repetitive units. To reflect some real situations, the learning effect is considered in the project portfolio selection problem for the first time. The mathematical representations of the relationship between learning experience and investment cost are provided. One numerical example under different scenarios is demonstrated and the impact of considering learning effect is then discussed.
基金supported by the National Natural Science Foundation of China (7190121471690233)。
文摘The hesitant fuzzy set(HFS) is an important tool to deal with uncertain and vague information.In equipment system portfolio selection, the index attribute of the equipment system may not be expressed by precise data;it is usually described by qualitative information and expressed as multiple possible values.We propose a method of equipment system portfolio selection under hesitant fuzzy environment.The hesitant fuzzy element(HFE) is used to describe the index and attribute values of the equipment system.The hesitation degree of HFEs measures the uncertainty of the criterion data of the equipment system.The hesitant fuzzy grey relational analysis(GRA) method is used to evaluate the score of the equipment system, and the improved HFE distance measure is used to fully consider the influence of hesitation degree on the grey correlation degree.Based on the score and hesitation degree of the equipment system,two portfolio selection models of the equipment system and an equipment system portfolio selection case is given to illustrate the application process and effectiveness of the method.
基金the National Key R&D Program of China(2017YFC1405005)the National Natural Science Foundation of China(71901214,71690233).
文摘Weapon system portfolio selection is an important combinatorial problem that arises in various applications,such as weapons development planning and equipment procurement,which are of concern to military decision makers.However,the existing weapon system-of-systems(SoS)is tightly coupled.Because of the diversity and connectivity of mission requirements,it is difficult to describe the direct mapping relationship from the mission to the weapon system.In the latest service-oriented research,the introduction of service modules to build a service-oriented,flexible,and combinable structure is an important trend.This paper proposes a service-oriented weapon system portfolio selection method,by introducing service to serve as an intermediary to connect missions and system selection,and transferring the weapon system selection into the service portfolio selection.Specifically,the relation between the service and the task is described through the service-task mapping matrix;and the relation between the service and the weapon system is constructed through the servicesystem mapping matrix.The service collaboration network to calculate the flexibility and connectivity of each service portfolio is then established.Through multi-objective programming,the optimal service portfolios are generated,which are further decoded into weapon system portfolios.
基金supported by the National Natural Science Foundation of China(Nos.12071399 and 12171145)Project of Scientific Research Fund of Hunan Provincial Science and Technology Department(No.2018WK4006)Project of Hunan National Center for Applied Mathematics(No.2020ZYT003).
文摘In this paper,we study the global optimality of polynomial portfolio optimization(PPO).The PPO is a kind of portfolio selection model with high-order moments and flexible risk preference parameters.We introduce a perturbation sample average approximation method,which can give a robust approximation of the PPO in form of linear conic optimization.The approximated problem can be solved globally with Moment-SOS relaxations.We summarize a semidefinite algorithm,which can be used to find reliable approximations of the optimal value and optimizer set of the PPO.Numerical examples are given to show the efficiency of the algorithm.
基金supported by the Natural Science Foundation of Hubei Province(No.2024AFB826)the National Natural Science Foundation of China(No.52472329)the Research Project of Philosophy and Social Sciences of Hubei Provincial Education Department(No.22Y030).
文摘To expedite the large-scale deployment of driverless taxis and advance the autonomous driving industry,research on the location of integrated parking and charging facilities for driverless taxis has emerged as a significant issue in urban traffic.This study employs a progressive"preliminary selection-screening-optimal selection"approach for site selec-tion.First,the preliminary selection of parking sites is conducted by clustering various point-of-interest types.Subsequently,a multi-objective site selection model is developed to maximize the coverage of demand points,minimize construction costs,address the lar-gest population demands,and minimize the distance between demand points and candi-date sites.The non-dominated sorting genetic algorithmⅡ(NSGA-Ⅱ)is adopted to obtain several Pareto optimal solutions.The evaluation indexes are selected according to opera-tors,users,and the public transport system to estimate the Pareto optimal solutions,and then the final location solution can be obtained.The calculation methods for several key parameters are improved during the modeling process.Location potential and location influence coefficient are selected to adjust the number of driverless taxi parking spaces.Additionally,isochrones drawn based on the actual road network and path planning repre-sent the service range of candidate points.Meanwhile,distance based on actual road net-work rather than Euclidean distance is introduced to calculate the distance between candidate points.Finally,a case study shows that the method proposed in this study could reduce the total initial travel time to reach the demand points by 64%,which is indepen-dent of operational scheduling.
基金supported by the National Natural Science Foundation of China(Grant No.11971092)supported by the Fundamental Research Funds for the Central Universities(Grant No.DUT20RC(3)079)。
文摘Optimization problem of cardinality constrained mean-variance(CCMV)model for sparse portfolio selection is considered.To overcome the difficulties caused by cardinality constraint,an exact penalty approach is employed,then CCMV problem is transferred into a difference-of-convex-functions(DC)problem.By exploiting the DC structure of the gained problem and the superlinear convergence of semismooth Newton(ssN)method,an inexact proximal DC algorithm with sieving strategy based on a majorized ssN method(siPDCA-mssN)is proposed.For solving the inner problems of siPDCA-mssN from dual,the second-order information is wisely incorporated and an efficient mssN method is employed.The global convergence of the sequence generated by siPDCA-mssN is proved.To solve large-scale CCMV problem,a decomposed siPDCA-mssN(DsiPDCA-mssN)is introduced.To demonstrate the efficiency of proposed algorithms,siPDCA-mssN and DsiPDCA-mssN are compared with the penalty proximal alternating linearized minimization method and the CPLEX(12.9)solver by performing numerical experiments on realword market data and large-scale simulated data.The numerical results demonstrate that siPDCA-mssN and DsiPDCA-mssN outperform the other methods from computation time and optimal value.The out-of-sample experiments results display that the solutions of CCMV model are better than those of other portfolio selection models in terms of Sharp ratio and sparsity.
文摘This paper proposed a multi-period dynamic optimal portfolio selection model. Assumptions were made to assure the strictness of reasoning. This Approach depicted the developments and changing of the real stock market and is an attempt to remedy some of the deficiencies of recent researches. The model is a standard form of quadratic programming. Furthermore, this paper presented a numerical example in real stock market.
