no code implementations • 22 Apr 2021 • Bahareh Afhami, Mohsen Rezapour, Mohsen Madadi, Vahed Maroufy
In this paper, we are concerned with the optimization of a dynamic investment portfolio when the securities which follow a multivariate Merton model with dependent jumps are periodically invested and proceed by approximating the Condition-Value-at-Risk (CVaR) by comonotonic bounds and maximize the expected terminal wealth.
no code implementations • 29 Mar 2016 • Zachary Friggstad, Mohsen Rezapour, Mohammad R. Salavatipour
The most well known and ubiquitous clustering problem encountered in nearly every branch of science is undoubtedly $k$-means: given a set of data points and a parameter $k$, select $k$ centres and partition the data points into $k$ clusters around these centres so that the sum of squares of distances of the points to their cluster centre is minimized.