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rafatnezhad--ramtin
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Optimal Distance Calculation Method for Portfolio Optimization using
Nested Cluster Optimization
,
M.Sc. Thesis
Sharif University of Technology
;
Arian, Hamid Reza
(Supervisor)
;
Zamani, Shiva
(Supervisor)
Abstract
In the basic model of this thesis, which is called nested cluster optimization, only one distance function is used for clustering to form clusters with similar characteristics, while depending on whether the optimization model is long-only or long-short, different functions can be used. The aim of this thesis is to find the optimal distance function between assets in the simple nested cluster optimization so that during three different and separate strategies, based on three criteria of the lowest risk, the highest Sharpe ratio, and the highest return, the optimal distance function of assets is selected and clustering and finally weighting the portfolio to be done. The optimal distance...
Short-run process control based on non-conformity degree
, Article World Congress on Engineering 2010, WCE 2010, London, 30 June 2010 through 2 July 2010 ; Volume 3 , 2010 , Pages 2273-2276 ; 20780966(Online ISSN) ; 9789881821089 (ISBN) ; Torkamani, E. A ; Davodi, M ; Ramtin, F ; IAENG Society of Artificial Intelligence ; Sharif University of Technology
2010
Abstract
Statistical Process Control (SPC) is an approach that uses statistical techniques to monitor the process. The techniques of quality control are widely used in controlling any kinds of processes. One of these processes is the short processes. In short run processes often do not have enough data in each run to produce good estimates of the process parameters. This will cause the reduction of the performance and efficiency of control charts. A common solution to this problem is considering a single machine or process to produce many different parts, or different products. In this paper a new method based on non-conformity degree and fuzzy membership functions has been developed for controlling...