Documents disponibles écrits par cet auteur

Heuristics for feature selection in mathematical programming discriminant analysis models / K. Falangis in Journal of the operational research society (JORS), Vol. 61 N° 5 (Mai 2010) 

Public ISBD [article]  in Journal of the operational research society (JORS) > Vol. 61 N° 5 (Mai 2010) . - pp. 804–812 Titre : Heuristics for feature selection in mathematical programming discriminant analysis models Type de document : texte imprimé Auteurs : K. Falangis, Auteur ; Glen, J. J., Auteur Année de publication : 2010 Article en page(s) : pp. 804–812 Note générale : Recherche opérationnelle Langues : Anglais (eng) Mots-clés : Discriminant  analysi  Mmathematical  programming  Credit  scoring Index. décimale : 001.424 Résumé : In developing a classification model for assigning observations of unknown class to one of a number of specified classes using the values of a set of features associated with each observation, it is often desirable to base the classifier on a limited number of features. Mathematical programming discriminant analysis methods for developing classification models can be extended for feature selection. Classification accuracy can be used as the feature selection criterion by using a mixed integer programming (MIP) model in which a binary variable is associated with each training sample observation, but the binary variable requirements limit the size of problems to which this approach can be applied. Heuristic feature selection methods for problems with large numbers of observations are developed in this paper. These heuristic procedures, which are based on the MIP model for maximizing classification accuracy, are then applied to three credit scoring data sets. DEWEY : 001.424 ISSN : 0361-5682 En ligne : http://www.palgrave-journals.com/jors/journal/v61/n5/abs/jors200924a.html [article] Heuristics for feature selection in mathematical programming discriminant analysis models [texte imprimé] / K. Falangis, Auteur ; Glen, J. J., Auteur . - 2010 . - pp. 804–812. Recherche opérationnelle Langues : Anglais (eng) in Journal of the operational research society (JORS) > Vol. 61 N° 5 (Mai 2010) . - pp. 804–812 Mots-clés : Discriminant  analysi  Mmathematical  programming  Credit  scoring Index. décimale : 001.424 Résumé : In developing a classification model for assigning observations of unknown class to one of a number of specified classes using the values of a set of features associated with each observation, it is often desirable to base the classifier on a limited number of features. Mathematical programming discriminant analysis methods for developing classification models can be extended for feature selection. Classification accuracy can be used as the feature selection criterion by using a mixed integer programming (MIP) model in which a binary variable is associated with each training sample observation, but the binary variable requirements limit the size of problems to which this approach can be applied. Heuristic feature selection methods for problems with large numbers of observations are developed in this paper. These heuristic procedures, which are based on the MIP model for maximizing classification accuracy, are then applied to three credit scoring data sets. DEWEY : 001.424 ISSN : 0361-5682 En ligne : http://www.palgrave-journals.com/jors/journal/v61/n5/abs/jors200924a.html

Mean-variance portfolio rebalancing with transaction costs and funding changes / Glen, J. J. in Journal of the operational research society (JORS), Vol. 62 N° 4 (Avril 2011) 

Public ISBD [article]  in Journal of the operational research society (JORS) > Vol. 62 N° 4 (Avril 2011) . - pp. 667–676 Titre : Mean-variance portfolio rebalancing with transaction costs and funding changes Type de document : texte imprimé Auteurs : Glen, J. J., Auteur Année de publication : 2011 Article en page(s) : pp. 667–676 Note générale : Recherche opérationnelle Langues : Anglais (eng) Mots-clés : Finance  Portfolio  rebalancing  Quadratic  programming Index. décimale : 001.424 Résumé : Investment portfolios should be rebalanced to take account of changing market conditions and changes in funding. Standard mean-variance (MV) portfolio selection methods are not appropriate for portfolio rebalancing, as the initial portfolio, change in funding and transaction costs are not considered. A quadratic mixed integer programming portfolio rebalancing model, which takes account of these factors is developed in this paper. The transaction costs in this portfolio rebalancing model are composed of fixed charges and variable costs, including the market impact costs associated with large market trades of individual securities, where these variable transaction costs are assumed to be non-linear functions of traded value. The use of this model is demonstrated and it is shown that when initial portfolio, funding changes and transaction costs are taken into account in portfolio construction and rebalancing, MV efficient portfolios that include risk-free lending do not have the structure expected from portfolio theory. DEWEY : 001.424 ISSN : 0160-5682 En ligne : http://www.palgrave-journals.com/jors/journal/v62/n4/abs/jors2009148a.html [article] Mean-variance portfolio rebalancing with transaction costs and funding changes [texte imprimé] / Glen, J. J., Auteur . - 2011 . - pp. 667–676. Recherche opérationnelle Langues : Anglais (eng) in Journal of the operational research society (JORS) > Vol. 62 N° 4 (Avril 2011) . - pp. 667–676 Mots-clés : Finance  Portfolio  rebalancing  Quadratic  programming Index. décimale : 001.424 Résumé : Investment portfolios should be rebalanced to take account of changing market conditions and changes in funding. Standard mean-variance (MV) portfolio selection methods are not appropriate for portfolio rebalancing, as the initial portfolio, change in funding and transaction costs are not considered. A quadratic mixed integer programming portfolio rebalancing model, which takes account of these factors is developed in this paper. The transaction costs in this portfolio rebalancing model are composed of fixed charges and variable costs, including the market impact costs associated with large market trades of individual securities, where these variable transaction costs are assumed to be non-linear functions of traded value. The use of this model is demonstrated and it is shown that when initial portfolio, funding changes and transaction costs are taken into account in portfolio construction and rebalancing, MV efficient portfolios that include risk-free lending do not have the structure expected from portfolio theory. DEWEY : 001.424 ISSN : 0160-5682 En ligne : http://www.palgrave-journals.com/jors/journal/v62/n4/abs/jors2009148a.html