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In this paper, we study the dual control approach for the optimal asset allocation problem in a continuous-time regime-switching market.
One of the challenges for water utilities is the optimal asset design (i.e. maximum power of pump systems, tank volumes and pipe diameters) of water distribution networks (WDN) while optimizing operational efficiency (i.e. energy consumption and cost).
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Do individuals have the ability to develop an optimal asset allocation or analyze the small-cap and international stocks necessary to create such a portfolio?
Using the posterior market distribution, we obtain optimal asset weights applying classical mean variance optimization and computing the Maximum Sharpe ratio portfolio.
(To learn more, see "The Importance of Diversification" and "Achieving Optimal Asset Allocation").
One may use a multi-period portfolio optimization model in order to determine an optimal asset mix.
A hybrid simulation/tree multi-period stochastic programming model for optimal asset allocation.
The idea behind target-date retirement funds is to keep things simple by providing an optimal asset allocation, given an investor's age, in just one fund.
Recently, an alternative stochastic programming model with simulated paths was proposed by Hibiki [N. Hibiki, A hybrid simulation/tree multi-period stochastic programming model for optimal asset allocation, in: H. Takahashi, (Ed).
By relying on a set of complicated equations, Markowitz was able to calculate the optimal mix of financial assets.
Using an enhanced formulation of the maximal covering location problem along with a new criticality index analysis metric (derived from the severity, frequency and dwell time of the critical medical assets) the optimal placement of the limited number of RFID readers is determined.
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