In this paper we examine the usefulness of multivariate semi-parametric GARCH models for portfolio selection under a Value-at-Risk (VaR) constraint. First, we specify and estimate several alternative multivariate GARCH models for daily returns on the S&P 500 and Nasdaq indexes. Examining the within sample VaRs of a set of given portfolios shows that the semi-parametric model performs uniformly ...

The problem of reconfiguring power distribution system to reduce power losses has been extensively studied because of its significant economic impact. A variety of approximation computational models have recently been proposed. We describe a constraint programming model for this problem, using the MOzArt system. To handle real world reconfiguration systems we implemented and integrated into MOz...

This research demonstrates a solution for the DICE 2007 integrated assessment model in the continuous domain through the use of a Runge-Kutta sampling technique for solving differential transcendental equations. The use of a savings ratio helper constraint was not required. It is shown that the introduction of a savings ratio constraint leads to a 12% underestimation of maximum atmospheric temp...

This paper develops a regional hydrologic-ecologic-economic model of groundwater use and a nearshore ecosystem. Particularly, we model coastal groundwater management and its effects on discharge, nearshore water quality, and marine biota (e.g., indigenous marine algae). We show that incorporating the external effects on nearshore resources increases the optimal steady-state head level. Numerica...

For people to entrust their private information to modern collaborative tools, they will want some assurance of the extent to which this information will be protected. Accurately measuring the amount of privacy lost by different collaborative technologies is a critical step in providing such assurances. Unfortunately, the identification of intuitive and useful metrics for privacy loss has prove...

background: despite some successful dynamic simulation of self-impact double pendulum (sidp)-as humanoid robots legs or arms- studies, there is limited information available about the control of one leg locomotion. objective   : the main goal of this research is to improve the reliability of the mammalians leg locomotion and building more elaborated models close to the natural movements, by mod...

yard crane is an important resource in container terminals. efficient utilization of the yard crane significantly improves the productivity and the profitability of the container terminal. this paper presents a mixed integer programming model for the yard crane scheduling problem with non- interference constraint that is nphard in nature. in other words, one of the most important constraints in...

zinc is the first modelling language which supports solver and technique independence. this means that a high level conceptual model can be automatically mapped into an appropriate low level design model for a specific solver or technique. to date, zinc uses three different techniques to solve a model: constraint programming (cp), local search (ls), and mixed integer programming (mip). in this ...

While firms have increasingly adopted environmentally and socially sustainable management strategies, little is known about how these organizations react during times of economic constraint. On the one hand, conventional wisdom suggests that firms' sustainability strategy would be de-emphasized. However, emerging scholarship suggests that many firms may increase their sustainability investments...

Abstract:   The theory of optimization has improved remarkably during the last four decades. The main part of optimizing investigations has been focused on enhancing buckling resistance which does not violate the economic feasibility of final design. The finite element analysis which is called ESO (Evolutionary Structural Optimization) is presented for optimum (or most ideal) design of c...