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Full-Text Articles in Operations Research, Systems Engineering and Industrial Engineering
Hedge Fund Replication Using Strategy Specific Factors, Sujit Subhash, David Lee Enke
Hedge Fund Replication Using Strategy Specific Factors, Sujit Subhash, David Lee Enke
Engineering Management and Systems Engineering Faculty Research & Creative Works
Hedge funds have traditionally served wealthy individuals and institutional investors with the promise of delivering protection of capital and uncorrelated positive returns irrespective of market direction, allowing them to better manage portfolio risk. However, the financial crisis of 2008 has heightened investor sensitivity to the high fees, illiquidity, lack of transparency, and lockup periods typically associated with hedge funds. Hedge fund replication products, or clones, seek to answer these challenges by providing daily liquidity, transparency, and immediate exposure to a desired hedge fund strategy. Nonetheless, although lowering cost and adding simplicity by using a common set of factors, traditional replication …
Mars Knot Positioning And Global Optimization, Xinglong Ju
Mars Knot Positioning And Global Optimization, Xinglong Ju
Industrial, Manufacturing, and Systems Engineering Dissertations
Multivariate adaptive regression splines (MARS) is a statistical modeling approach with wide real-world applications. In the MARS model building process, knot positioning is a critical step that potentially affects the accuracy of the final MARS model. Identifying well-positioned knots entails assessing the quality of many knots in each model building iteration, which requires much computation efforts. By exploring the change in the residual sum of squares (RSS) within MARS, we find that local optima from previous iterations can be very close to those of the current iteration. In our approach, the prior change in RSS information is used to “warm …
Application Of Artificial Neural Networks To Assess Student Happiness, Gokhan Egilmez, Nadiye O. Erdil, Omid Mohammadi Arani, Mana Vahid
Application Of Artificial Neural Networks To Assess Student Happiness, Gokhan Egilmez, Nadiye O. Erdil, Omid Mohammadi Arani, Mana Vahid
Mechanical and Industrial Engineering Faculty Publications
The purpose of this study is to develop an analytical assessment approach to identify the main factors that affect graduate students' happiness level. The two methods, multiple linear regression (MLR) and artificial neural networks (ANN), were employed for analytical modelling. A sample of 118 students at a small non-profit private university constituted the survey pool. Various factors including education, school facilities, health, social activities, and family were taken into consideration as a result of literature review in happiness assessment. A total of 32 inputs and one output variables were identified during survey design phase. The following survey conduction, data collection, …