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Frontier: A graphical interface for portfolio optimization in a piecewise linear-quadratic risk framework

D. L. Jensen, A. J. King
1992 IBM Systems Journal  
Frontier" is a pilot graphical user interface for portfolio optimization built for the new IBM workstation, the RlSC System/SOOO", out of basic X-windows and OSL utilities.  ...  The program asks the user to select a piecewise linear-quadratic risk measure, draws a risWreward efficient frontier, and permits the user to examine the efficient frontier using zoom and histogram display  ...  It is also a state-of-the-art implementation of the piecewise linear-quadratic risk framework-the user can select a risk function, draw a frontier, and examine the results of investing in any one of the  ... 
doi:10.1147/sj.311.0062 fatcat:jhff3u3swnht5cvgcrbwumxwgq

Preface

Gene F. Hoffnagle
1992 IBM Systems Journal  
A par- ticular feature of this interface is its new imple- mentation of the piecewise linear-quadratic risk framework, which allows a user to choose and test various portfolios under a user-supplied risk  ...  Jensen and King provide a second paper on OSL, presenting their pilot graphic user interface for portfolio optimization, known as Frontier.  ... 
doi:10.1147/sj.311.0002 fatcat:muv6swuizvfhjcscdwcg6z5pru

Page 62 of IBM Systems Journal Vol. 31, Issue 1 [page]

IBM Systems Journal  
Frontier: A graphical interface for portfolio optimization in a piecewise linear- quadratic risk frameworkFrontier” is a pilot graphical user interface for portfolio optimization built for the new IBM  ...  The program asks the user to select a piecewise linear-quadratic risk measure, draws a risk/reward efficient frontier, and permits the user to examine the efficient frontier using zoom and histogram display  ... 

Global Asset Liability Management

M. A. H. Dempster, M. Germano, E. A. Medova, M. Villaverde
2003 British Actuarial Journal  
Dynamic optimization is perceived to be too difficult ... It would be nice to have a generic 'sledge hammer' approach for attacking this sort of problem.  ...  The new approach is described in terms of an illustrative case study of a joint university/industry project to create a decision support system for strategic asset liability management involving global  ...  Quadratic programing, what is needed to solve the Markowitz portfolio selection problem, maximises a quadratic function subject to linear constraints, and so on.  ... 
doi:10.1017/s1357321700004153 fatcat:eyiapssa3fcubh5bts5mhaetie

Page 364 of IBM Systems Journal Vol. 32, Issue 2 [page]

IBM Systems Journal  
Frontier: A graphical interface for portfolio opti- mization in a_ piecewise linear-quadratic risk framework by D. L. Jensen and A. J. King, p. 62.  ...  “Frontier” is a pilot graphical user interface for portfolio optimization built for the new IBM work- station, the RISC System/6000™, out of basic X- windows and OSL utilities.  ... 

Frameworks and Results in Distributionally Robust Optimization

Hamed Rahimian, Sanjay Mehrotra
2022 Open Journal of Mathematical Optimization  
A modeling framework, called distributionally robust optimization (DRO), has recently received significant attention in both the operations research and statistical learning communities.  ...  The concepts of risk aversion, chance-constrained optimization, and robust optimization have developed significantly over the last decade.  ...  [388] for a two-stage quadratic stochastic optimization problem and DeMiguel and Nogales [109] for a portfolio optimization problem. Bertsimas et al.  ... 
doi:10.5802/ojmo.15 fatcat:mekcrfo4fvez3fdjnaietptg6y

14th International Symposium on Mathematical Programming

1990 Mathematical programming  
If we use a decomposition approach in order to solve a minimization problem we often get an objective function in such a w a y that its domain dom 6 = n is not given explicitely to us.  ...  It is shown that for the success of the variant dom must ful ll a regularity property and that the choice of the normal vectors must meet some demands.Both requirements are ful lled if dom is polyhedral  ...  Derivatives are powerful instruments to adjust the risk pro le of a portfolio, but they make it virtually impossible to intuitively assess the market-risks inherent in the portfolio due to their non-linear  ... 
doi:10.1007/bf01580875 fatcat:3jtclwmntzgjxkqs5uecombdaa

P4 [chapter]

2013 Encyclopedia of Operations Research and Management Science  
Such an arrangement helps in maintaining a sparse inverse, given that the original data set for the associated linear-programming problem is sparse.  ...  A procedure for arranging the basis matrix of a linear-programming problem into as near a lower triangular form as possible.  ...  The set of quadratic programming problems to find the efficient frontier when short sales are ruled out can be formulated as either minimizing the portfolio risk for a specified sequence of portfolio returns  ... 
doi:10.1007/978-1-4419-1153-7_200569 fatcat:aqo3msrrzree3aiyv36fsh3afe

A Selective Overview of Variable Selection in High Dimensional Feature Space

Jianqing Fan, Jinchi Lv
2010 Statistica sinica  
In this article, we present a brief account of the recent developments of theory, methods, and implementations for high dimensional variable selection.  ...  Variable selection plays a pivotal role in contemporary statistical learning and scientific discoveries.  ...  We sincerely thank the Co-Editor, Professor Peter Hall, for his kind invitation to write this article.  ... 
pmid:21572976 pmcid:PMC3092303 fatcat:kf3kbxcyozdaleej4i63y63phm

Bayesian binary quantile regression for the analysis of Bachelor-to-Master transition

Cristina Mollica, Lea Petrella
2016 Journal of Applied Statistics  
The working group (WG) CMStatistics comprises a number of specialized teams in various research areas of computational and methodological statistics.  ...  The teams act autonomously within the framework of the WG in order to promote their own research agenda. Their activities are endorsed by the WG.  ...  in a general framework of structured linear models.  ... 
doi:10.1080/02664763.2016.1263835 fatcat:l5eyielgxrct7hq5ljqeej5ccy

The Vessel Schedule Recovery Problem (VSRP) – A MIP model for handling disruptions in liner shipping

Berit D. Brouer, Jakob Dirksen, David Pisinger, Christian E.M. Plum, Bo Vaaben
2013 European Journal of Operational Research  
Enterprise-wide optimization (EWO) is a new emerging area that lies at the interface of chemical engineering and operations research, and has become a major goal in the process industries due to the increasing  ...  We illustrate the application of these ideas in four major problems: a) integration of planning and scheduling in batch processes that lead to large-scale mixed-integer linear programs, b) optimization  ...  -Optimal Dynamic Tax Evasion: A Portfolio Approach Francesco Menoncin, Economics, Brescia University, Via S. Faustino, 74/B, 25122, Brescia, Italy, menoncin@eco.unibs.it, Rosella Levaggi  ... 
doi:10.1016/j.ejor.2012.08.016 fatcat:c27kagfnxnhjfbil2rydhjhomm

e4clim 1.0: The Energy for a Climate Integrated Model: Description and Application to Italy

Alexis Tantet, Marc Stéfanon, Philippe Drobinski, Jordi Badosa, Silvia Concettini, Anna Cretì, Claudia D'Ambrosio, Dimitri Thomopulos, Peter Tankov
2019 Energies  
It provides a flexible and extensible tool to researchers/engineers, and for education/outreach.  ...  We develop an open-source Python software integrating flexibility needs from Variable Renewable Energies (VREs) in the development of regional energy mixes.  ...  Assuming, that all consumers behave in the same way and that a consumer switches the heater (air conditioning) for a constant temperature threshold T H (T C ), we define the functions f i as a piecewise-linear  ... 
doi:10.3390/en12224299 fatcat:bzxgdrxdsncufiieiqawgzt7uy

Philosophy of Education

Michael Taylor
1977 Social Theory and Practice  
To accomplish this, our students must develop and utilize: ▪ intellectual curiosity and eagerness for lifelong learning ▪ a positive self-image based on a realistic acceptance of self ▪ the knowledge,  ...  Without a doubt, the most common regret expressed by our alumni is, "I wish I had challenged myself more in high school." A great majority of John Jay, Roy C.  ...  Equations -Center-Radius Form -Graphing Circles -Graphing y = ax 2 + bx + c -Graphic Solutions of Quadratic Equations -Graphic Solutions of a Quadratic/Linear System • Locus -Fundamental Loci  ... 
doi:10.5840/soctheorpract1977437 fatcat:ly7e6vjrirckrdmrqgowitmesa

A Selective Overview of Variable Selection in High Dimensional Feature Space (Invited Review Article) [article]

Jianqing Fan, Jinchi Lv
2009 arXiv   pre-print
In this article, we present a brief account of the recent developments of theory, methods, and implementations for high dimensional variable selection.  ...  Variable selection plays a pivotal role in contemporary statistical learning and scientific discoveries.  ...  The computation is based on the fact that the LASSO solution path is piecewise linear in λ.  ... 
arXiv:0910.1122v1 fatcat:elzacdq7ircbjepok7bbkk5zyi

A sequential distance-based approach for imputing missing data: Forward Imputation

Nadia Solaro, Alessandro Barbiero, Giancarlo Manzi, Pier Alda Ferrari
2016 Advances in Data Analysis and Classification  
Moreover, we find the efficient portfolio minimizing the risk, that is to say analyzing the efficient frontier.  ...  a standard framework for risk measurement.  ... 
doi:10.1007/s11634-016-0243-0 fatcat:yvrqlgllsbesbnvnzzci2egpl4
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