Search results

  1. 1.
    0489264 - ÚTIA 2019 RIV US eng J - Journal Article
    Branda, Martin - Bucher, M. - Červinka, Michal - Schwartz, A.
    Convergence of a Scholtes-type regularization method for cardinality-constrained optimization problems with an application in sparse robust portfolio optimization.
    Computational Optimization and Applications. Roč. 70, č. 2 (2018), s. 503-530. ISSN 0926-6003. E-ISSN 1573-2894
    R&D Projects: GA ČR GA15-00735S
    Institutional support: RVO:67985556
    Keywords : Cardinality constraints * Regularization method * Scholtes regularization * Strong stationarity * Sparse portfolio optimization * Robust portfolio optimization
    OECD category: Statistics and probability
    Impact factor: 1.906, year: 2018
    http://library.utia.cas.cz/separaty/2018/MTR/branda-0489264.pdf
    Permanent Link: http://hdl.handle.net/11104/0283708
     
     
  2. 2.
    0434510 - ÚTIA 2016 RIV US eng J - Journal Article
    Hlubinka, D. - Šiman, Miroslav
    On generalized elliptical quantiles in the nonlinear quantile regression setup.
    Test. Roč. 24, č. 2 (2015), s. 249-264. ISSN 1133-0686. E-ISSN 1863-8260
    R&D Projects: GA ČR GA14-07234S
    Institutional support: RVO:67985556
    Keywords : multivariate quantile * elliptical quantile * quantile regression * multivariate statistical inference * portfolio optimization
    Subject RIV: BA - General Mathematics
    Impact factor: 1.207, year: 2015
    http://library.utia.cas.cz/separaty/2014/SI/siman-0434510.pdf
    Permanent Link: http://hdl.handle.net/11104/0239351
     
     
  3. 3.
    0364128 - ÚTIA 2012 RIV US eng J - Journal Article
    Paindaveine, D. - Šiman, Miroslav
    On directional multiple-output quantile regression.
    Journal of Multivariate Analysis. Roč. 102, č. 2 (2011), s. 193-212. ISSN 0047-259X
    R&D Projects: GA MŠMT(CZ) 1M06047
    Grant - others:Commision EC(BE) Fonds National de la Recherche Scientifique
    Institutional research plan: CEZ:AV0Z10750506
    Keywords : multivariate quantile * quantile regression * multiple-output regression * halfspace depth * portfolio optimization * value-at risk
    Subject RIV: BA - General Mathematics
    Impact factor: 0.879, year: 2011
    http://library.utia.cas.cz/separaty/2011/SI/siman-0364128.pdf
    Permanent Link: http://hdl.handle.net/11104/0199690
     
     
  4. 4.
    0087701 - ÚTIA 2008 RIV FR eng C - Conference Paper (international conference)
    Šindelář, Jan - Kárný, Miroslav
    Adaptive Control Applied to Financial Market Data.
    [Adaptivní řízení aplikované na data z finančních trhů.]
    Advanced Mathematical Methods for Finance 2007. Strasbourg cedex: European Science Foundation, 2007, s. 1-6.
    [Advanced Mathematical Methods for Finance. Vídeň (AT), 17.09.2007-22.09.2007]
    R&D Projects: GA MŠMT(CZ) 2C06001
    Institutional research plan: CEZ:AV0Z10750506
    Keywords : bayesian statistics * portfolio optimization * finance * adaptive control
    Subject RIV: BB - Applied Statistics, Operational Research
    http://library.utia.cas.cz/separaty/2007/si/sindelar-adaptive control applied to financial market data.pdf
    Permanent Link: http://hdl.handle.net/11104/0149488
     
     


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