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Journal articles on the topic 'State finance optimization'

Author: Grafiati

Published: 28 May 2022

Last updated: 31 July 2025

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1

Shevchenko, Maria N. "AREAS OF OPTIMISATION OF PUBLIC FINANCES." EKONOMIKA I UPRAVLENIE: PROBLEMY, RESHENIYA 12/17, no. 153 (2024): 167–73. https://doi.org/10.36871/ek.up.p.r.2024.12.17.021.

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The article studies the structure of public finances, presents their principles, functions and content of the process and interrelations between the cycles of their accumulation, formation and distribution. The levels of public finance are presented taking into account the principles of client-oriented state. The priority directions of optimization of public finances and change of their role in the issue of development of social sphere of economy are formulated. The conducted research gives grounds to assert that in modern conditions the public finance system is based on decentralization, dele

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Gamukin, V. "Novations in Budgetary Process: Budgeting Focused on Result." Voprosy Ekonomiki, no. 2 (February 20, 2005): 4–22. http://dx.doi.org/10.32609/0042-8736-2005-2-4-22.

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In the article the starting condition of applicating the new method of organization of the budgetary process - the budgeting focused on result is estimated. The importance of specification of the conceptual and methodical device of budgeting with reference to the public finance is underlined. It is conditioned by the fact that rich foreign and domestic practice of budgeting in commercial sector cannot be directly used for optimization of a trajectory of movement of state and municipal finances.

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Wang, Huanhuan, and Limei Fu. "Green Finance Promotes High-Quality Development of Regional Economy." Proceedings of Business and Economic Studies 7, no. 2 (2024): 157–62. http://dx.doi.org/10.26689/pbes.v7i2.6782.

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With the rapid development of the social economy, the role of green finance in promoting the high-quality development of regional economies is increasing day by day. The advancement of green finance not only aids in fostering the green transformation and upgrading of regional economies but also helps mitigate the risks of environmental damage stemming from traditional economic activities. In this new era, it is imperative to embrace the concept of green finance development and innovate green finance practices to further drive high-quality regional economic development. This paper will analyze

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BOUVERET, GÉRALDINE. "PORTFOLIO OPTIMIZATION UNDER A QUANTILE HEDGING CONSTRAINT." International Journal of Theoretical and Applied Finance 21, no. 07 (2018): 1850048. http://dx.doi.org/10.1142/s0219024918500486.

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We study a problem of portfolio optimization under a European quantile hedging constraint. More precisely, we consider a class of Markovian optimal stochastic control problems in which two controlled processes must meet a probabilistic shortfall constraint at some terminal date. We denote by [Formula: see text] the corresponding value function. Following the arguments introduced in the literature on stochastic target problems, we convert this problem into a state constraint one in which the constraint is defined by means of an auxiliary value function [Formula: see text] characterizing the rea

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SHARDIN, ANTON A., and MICHAELA SZÖLGYENYI. "OPTIMAL CONTROL OF AN ENERGY STORAGE FACILITY UNDER A CHANGING ECONOMIC ENVIRONMENT AND PARTIAL INFORMATION." International Journal of Theoretical and Applied Finance 19, no. 04 (2016): 1650026. http://dx.doi.org/10.1142/s0219024916500266.

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In this paper, we consider an energy storage optimization problem in finite time in a model with partial information that allows for a changing economic environment. The state process consists of the storage level controlled by the storage manager and the energy price process, which is a diffusion process the drift of which is assumed to be unobservable. We apply filtering theory to find an alternative state process which is adapted to our observation filtration. For this alternative state process, we derive the associated Hamilton–Jacobi–Bellman equation and solve the optimization problem num

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Jiao, Yifei. "Research on Supply Chain Finance Financing Mode in China under Digitalization." Frontiers in Business, Economics and Management 17, no. 2 (2024): 165–70. https://doi.org/10.54097/fbdq7w90.

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Digital empowerment may help businesses manage their supply networks more effectively, improve the efficiency and quality of supply chain financing, broaden equity financing channels, and encourage sustainable and healthy growth. Against this backdrop, new requirements have been raised for supply chain finance, making the transformation to digital empowerment in supply chain finance imperative. The effective application of supply chain finance financing methods aids enterprises in achieving innovative development and improving their core competitiveness. Based on this, the article studies the

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Calvo-Pardo, Hector F., Tullio Mancini, and Jose Olmo. "Neural Network Models for Empirical Finance." Journal of Risk and Financial Management 13, no. 11 (2020): 265. http://dx.doi.org/10.3390/jrfm13110265.

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This paper presents an overview of the procedures that are involved in prediction with machine learning models with special emphasis on deep learning. We study suitable objective functions for prediction in high-dimensional settings and discuss the role of regularization methods in order to alleviate the problem of overfitting. We also review other features of machine learning methods, such as the selection of hyperparameters, the role of the architecture of a deep neural network for model prediction, or the importance of using different optimization routines for model selection. The review al

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Kevin Ramadhany Sukmana. "Implementasi dan Optimalisasi Digitalisasi Pembukuan Ekspedisi pada Corporate Finance PT PLN Nusantara Power Services." MENAWAN : Jurnal Riset dan Publikasi Ilmu Ekonomi 3, no. 1 (2024): 178–85. https://doi.org/10.61132/menawan.v3i1.1169.

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The budget division has responsibility for tasks that are usually carried out including financial management, analysis and budget control in the company The aim of this research is to determine the implementation and optimization of digitalization of expedition bookkeeping in the budget division by employees of the State Electricity Company Nusantara Power Services (PT. PLN-NPS) at the Sidoarjo head office, East Java. This research uses field research methods by collecting data through reviewing internship activities and using previous research regarding the budget division. The research resul

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Harmanto, Rudi, and Khairul Khairul. "Pengaruh Potensi Pajak Daerah , Optimalisasi Pajak dan Insentif Pajak terhadap Realisasi Penerimaan Pendapatan Asli Daerah pada Badan Keuangan Kota Bukittinggi." Jurnal Ekonomika Dan Bisnis (JEBS) 2, no. 1 (2022): 302–13. http://dx.doi.org/10.47233/jebs.v2i1.102.

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This study aims to determine and analyze the effect of analyzing the potential effect of local taxes, analyzing the effect of tax optimization and analyzing the effect of tax incentives on the realization of local revenue receipts at the Bukittinggi City Finance Agency.This type of research is quantitative descriptive with the object of research being taxpayers and state civil servants at the Bukittinggi City Finance Agency. The data used are primary and secondary data. The population of this study is taxpayers and employees of the Financial Agency in the Bukittinggi City Financial Agency whic

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Steffensen, Mogens. "Quadratic Optimization of Life and Pension Insurance Payments." ASTIN Bulletin 36, no. 01 (2006): 245–67. http://dx.doi.org/10.2143/ast.36.1.2014151.

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Quadratic optimization is the classical approach to optimal control of pension funds. Usually the payment stream is approximated by a diffusion process. Here we obtain semiexplicit solutions for quadratic optimization in the case where the payment process is driven by a finite state Markov chain model commonly used in life insurance mathematics. The optimal payments are affine in the surplus with state dependent coefficients. Also constraints on payments and surplus are studied.

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Curin, Nicolas, Michael Kettler, Xi Kleisinger-Yu, et al. "A deep learning model for gas storage optimization." Decisions in Economics and Finance 44, no. 2 (2021): 1021–37. http://dx.doi.org/10.1007/s10203-021-00363-6.

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AbstractTo the best of our knowledge, the application of deep learning in the field of quantitative risk management is still a relatively recent phenomenon. In this article, we utilize techniques inspired by reinforcement learning in order to optimize the operation plans of underground natural gas storage facilities. We provide a theoretical framework and assess the performance of the proposed method numerically in comparison to a state-of-the-art least-squares Monte-Carlo approach. Due to the inherent intricacy originating from the high-dimensional forward market as well as the numerous const

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Miao, Fenghao. "Research on the Realistic Dilemma and Path of Rural Supply Chain Financial Policy Implementation." International Journal of Education and Humanities 7, no. 2 (2023): 4–8. http://dx.doi.org/10.54097/ijeh.v7i2.5250.

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With the proposal of rural revitalization strategy, rural inclusive finance plays an increasingly important role in the economic development of rural areas. Under the support and guidance of relevant national policies, China has vigorously developed rural supply chain finance in recent years, and issued a series of policies to promote the development of supply chain finance from the state to the provinces and cities at all levels. However, due to the lack of service awareness of financial institutions, insufficient policy publicity and the low level of modernization of agriculture and rural ar

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Badylevich, Roman V. "FEATURES OF IMPLEMENTATION AND DIRECTIONS OF OPTIMIZATION OF THE STATE FINANCIAL POLICY FOR THE DEVELOPMENT OF THE RUSSIAN ARCTIC." EKONOMIKA I UPRAVLENIE: PROBLEMY, RESHENIYA 9/1, no. 129 (2022): 90–100. http://dx.doi.org/10.36871/ek.up.p.r.2022.09.01.009.

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The article is devoted to the issues of attracting the necessary financial resources for the economic development of the Russian Arctic. An assessment of the need to attract finance was carried out, the specifics of state support for Arctic investment projects in modern conditions were revealed, the main directions for improving the effectiveness of state financial Arctic policy in the context of growing geopolitical tensions were determined.

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Wang, Mengna, and Xingchao Ma. "The Impact of Digital Financial Inclusion on Regional Green Innovation Research." Frontiers in Business, Economics and Management 13, no. 1 (2024): 93–103. http://dx.doi.org/10.54097/8vm40q23.

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Relying on green technological innovation and developing green technology is an important support for the green transformation of society. This paper empirically analyzes the impact and mechanism of digital finance on green innovation by comprehensively applying fixed effect model, multiple linear regression and mediation effect model. The results show that digital inclusive finance can significantly incentivize green innovation, and the conclusions remain robust after multiple robustness tests. The mediation effect analysis shows that digital inclusive finance can enhance entrepreneurial acti

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Petyk, Liubov O., Olena V. Kozachuk, and Iryna S. Sebestyanovych. "Public Debt Management in Ukraine: The Problems and Directions of Optimization." Business Inform 11, no. 538 (2022): 183–89. http://dx.doi.org/10.32983/2222-4459-2022-11-183-189.

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The article analyzes the current state of Ukraine’s debt in unstable conditions. The economic essence of the term «public debt management», as well as regulatory and legal support for the implementation of debt policy in the State, is given. It is noted that the management of both the public and the State-guaranteed debt is carried out by the Ministry of Finance of Ukraine. A dynamic analysis of Ukraine’s public debt for 2017-2021 was carried out. The structure of the total amount of the public debt and the State-guaranteed debt of Ukraine for 2017-2021 is examined in terms of internal and ext

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Pan, Heping. "A BASIC THEORY OF INTELLIGENT FINANCE." New Mathematics and Natural Computation 07, no. 02 (2011): 197–227. http://dx.doi.org/10.1142/s1793005711001895.

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This paper presents a basic theory of intelligent finance as a new paradigm of financial investment. It is assumed that the financial market is always in a state of swing between efficient and inefficient modes on multiple levels of time scale; it is possible to go beyond the efficient market theory to study the dynamic evolving process of the market between equilibrium and far-from-equilibrium; there are robust dynamic patterns in this evolving process, which may be exploitable via intelligent trading systems. On the foundation of the four principles — comprehensive, predictive, dynamic and s

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Khosravi, Arman, Seyed Jafar Sadjadi, and Hossein Ghanbari. "A bibliometric analysis and visualization of the scientific publications on multi-period portfolio optimization: From the current status to future directions." Accounting 10, no. 3 (2024): 107–20. http://dx.doi.org/10.5267/j.ac.2024.6.001.

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Portfolio optimization is a widely recognized strategy for investing that involves selecting a combination of assets that offers the optimal balance between potential gains and volatility. Traditional portfolio optimization typically focuses on a single period, considering only the current market conditions. However, multi-period portfolio optimization takes a more comprehensive approach by incorporating the dynamic nature of financial markets over multiple periods. Hence in this study, we focus on multi-period portfolio optimization. We conduct a bibliometric analysis of articles on multi-per

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T, Trimulato. "Optimalisasi Fintech Syariah Sebagai Agen Investasi Sukuk Negara." Jurnal BAABU AL-ILMI: Ekonomi dan Perbankan Syariah 7, no. 1 (2022): 1. http://dx.doi.org/10.29300/ba.v6i2.5230.

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The development of the Islamic finance industry has provided a variety of Islamic financial products. Islamic finance is not only limited to products in Islamic banks. Currently, Islamic financial products have developed, including the presence of Sukuk Investment products. The existing Sukuk consist of state Sukuk and corporate Sukuk. In the marketing process, state Sukuk is still dominated by conventional financial institutions, even though Sukuk itself is a product of Islamic finance. one of the Islamic financial institutions as a Sukuk agent can go through sharia fintech. The purpose of th

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HERZOG, FLORIAN, GABRIEL DONDI, and HANS P. GEERING. "STOCHASTIC MODEL PREDICTIVE CONTROL AND PORTFOLIO OPTIMIZATION." International Journal of Theoretical and Applied Finance 10, no. 02 (2007): 203–33. http://dx.doi.org/10.1142/s0219024907004196.

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This paper proposes a solution method for the discrete-time long-term dynamic portfolio optimization problem with state and asset allocation constraints. We use the ideas of Model Predictive Control (MPC) to solve the constrained stochastic control problem. MPC is a solution technique which was developed to solve constrained optimal control problems for deterministic control applications. MPC solves the optimal control problem with a receding horizon where a series of consecutive open-loop optimal control problems is solved. The aim of this paper is to develop an MPC approach to the problem of

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Rumyantseva, H. I. "Stabilizing of the Finance State of an Enterprise in the Context of Optimization of Investment Risk Management." Scientific Bulletin of UNFU 26, no. 2 (2016): 236–41. http://dx.doi.org/10.15421/40260235.

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de Keijzer, R. J. P. T., V. E. Colussi, B. Škorić, and S. J. J. M. F. Kokkelmans. "Optimization of the variational quantum eigensolver for quantum chemistry applications." AVS Quantum Science 4, no. 1 (2022): 013803. http://dx.doi.org/10.1116/5.0076435.

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This work studies the variational quantum eigensolver (VQE) algorithm, which is designed to determine the ground state of a quantum mechanical system by combining classical and quantum hardware. Two methods of reducing the number of required qubit manipulations, prone to induce errors, for the variational quantum eigensolver are studied. First, we formally justify the multiple [Formula: see text] symmetry qubit reduction scheme first sketched by Bravyi et al. [arXiv:1701.08213 (2017)]. Second, we show that even in small, but non-trivial systems such as H2, LiH, and H2O, the choice of entanglin

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Zeng, Yiting, Feng Wang, and Jun Wu. "The Impact of Green Finance on Urban Haze Pollution in China: A Technological Innovation Perspective." Energies 15, no. 3 (2022): 801. http://dx.doi.org/10.3390/en15030801.

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Green finance integrates the concept of environmental governance into the financial industry, which is conducive to sustainable development. Applying the mediating effect model, this paper investigates the effect of green finance on urban haze pollution and explores the mediating role of technological innovation of enterprises between them. Based on a sample of 639 enterprises in China over 2016–2019, a significantly negative effect of green finance on urban haze pollution is found. An increase of one standard deviation in green finance decreases PM2.5 concentration by 8.8 μg/m3, ceteris parib

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Kabir, Irfanul, and Md Mokshud Ali. "Housebuilding Finance in the United States: From Budgeting to Funding." Global Mainstream Journal 3, no. 5 (2024): 15–24. http://dx.doi.org/10.62304/jbedpm.v3i05.183.

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This article precisely identifies housebuilding finance in the United States as a complex procedure of primary concern to those who wish to become homeowners or builders, susceptible to the state of the economy and shifts in policies. Therefore, the purpose of this research will be to provide extensive coverage of the processes involved in budgeting right through to obtaining and directing funds. This study adopts a qualitative research method to ascertain budgeting techniques, sources of finance, means of obtaining loans, financial controls during construction through literature, industry, an

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Zotikov, N. Z. "Ways to optimize income tax and their impact on income budgets of the constituent entities of the Russian Federation." UPRAVLENIE / MANAGEMENT (Russia) 12, no. 1 (2024): 70–80. http://dx.doi.org/10.26425/2309-3633-2024-12-1-70-80.

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The relevance of the study is conditioned by the role and place of profit tax in the regional budgets revenues. Unlike other taxes, the profit tax provides for many methods of tax optimization, the use of which will reduce the tax burden on a taxpayer and at the same time reduce regional budgets tax revenues. The state recognizes and accepts tax optimization if it is based on the current tax legislation provisions. Tax optimization means a taxpayer’s activity aimed at reducing tax payments and leading to an increase in the financial result, including the use of all tax benefits, tax exemptions

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Wang, Zhiyuan, Zepeng Shen, Jiajia Chew, Yong Wang, and Ke Hu. "Intelligent Construction of a Supply Chain Finance Decision Support System and Financial Benefit Analysis Based on Deep Reinforcement Learning and Particle Swarm Optimization Algorithm." International Journal of Management Science Research 8, no. 3 (2025): 28–41. https://doi.org/10.53469/ijomsr.2025.08(03).03.

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With the continuous development of global supply chain finance, leveraging advanced artificial intelligence technologies to enhance the intelligence of decision support systems has become a key focus in both academia and industry. This paper aims to construct a supply chain finance decision support system based on deep reinforcement learning and the particle swarm optimization (PSO) algorithm. By effectively capturing the dynamic characteristics of supply chain finance data, optimizing model parameters, and improving decision-making accuracy and response speed, this study further evaluates the

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Jaharuddin, Jaharuddin. "STRATEGIC OPTIMIZATION OF CASH WAQF IN INDONESIA, A PRODUCTION FUNCTION AND GOVERNANCE-BASED APPROACH." Multidisciplinary Research Studies in Social Sciences 1, no. 1 (2025): 30–41. https://doi.org/10.71312/mrscholar.v1i1.337.

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Cash waqf (waqf al-nuqud) has emerged as a dynamic instrument within the broader framework of Islamic social finance, offering a flexible, inclusive, and potentially high-impact mechanism for sustainable development in Muslim-majority societies. Despite its significant potential—particularly in countries like Indonesia, where the annual estimated cash waqf capacity exceeds IDR 180 trillion—its realization remains suboptimal due to limitations in governance, institutional professionalism, and public trust. This study aims to develop a conceptual model for optimizing cash waqf management in Indo

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Bunescu, Liliana, and Andreea Mădălina Vârtei. "Modern finance through quantum computing—A systematic literature review." PLOS ONE 19, no. 7 (2024): e0304317. http://dx.doi.org/10.1371/journal.pone.0304317.

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Human intellectual restlessness originates from the need for knowledge of the modern world. The financial world is struggling to prototype accurate and fast data at low risk. The quantum approach to finance can support this desire. The goal of this paper is to provide a comprehensive review of the literature on how quantum computing can be used in finance. This research aims to expose an architecture of the state of the art in quantum finance. In terms of methodology, the PSALSAR framework was used to conduct this systematic literature review. The selection procedure followed the PRISMA guidel

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Sigova, M. V., I. K. Klyuchnikov, and O. I. Klyuchnikov. "Sustainability and Security of Green Finance from the Multi-agent Games Perspective." Financial Journal 16, no. 1 (2024): 78–95. http://dx.doi.org/10.31107/2075-1990-2024-1-78-95.

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Green finance increases the innovation potential of green transformation, helps to address climate change, the environmental crisis and energy security. It is important for green finance to achieve sustainable and balanced development, which will increase the security of both finance itself and many processes in the real economy that depend on it. The purpose of this study was to develop approaches to the ontological design of green finance and multi-agent modeling of the behavior of green finance actors, considering their sustainable and safe interaction. To achieve this goal it was necessary

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MT Siringoringo, Naek. "Optimization of Artificial Intelligence to Address Injustice in Bankruptcy Requirements between State-Owned." Journal Research of Social Science, Economics, and Management 4, no. 4 (2024): 538–52. http://dx.doi.org/10.59141/jrssem.v4i4.746.

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Injustice in bankruptcy requirements between State-Owned Enterprises and private companies creates legal uncertainty and unfair treatment in restructuring processes. State-Owned Enterprises often receive more protection compared to private companies, even though both are subject to Law No. 37 of 2004 on Bankruptcy and Suspension of Debt Payment Obligations. Article 2 paragraph (5) of this law stipulates that bankruptcy petitions against State-Owned Enterprises operating in the public interest can only be filed by the Minister of Finance, resulting in unequal legal treatment and raising questio

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Sysoiev, Volodymyr. "Optimization models of the supply of power structures’ organizational units with centralized procurement." Ekonomski anali 58, no. 198 (2013): 137–64. http://dx.doi.org/10.2298/eka1398137s.

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Management of the state power structures? organizational units for materiel and technical support requires the use of effective tools for supporting decisions, due to the complexity, interdependence, and dynamism of supply in the market economy. The corporate nature of power structures is of particular interest to centralized procurement management, as it provides significant advantages through coordination, eliminating duplication, and economy of scale. This article presents optimization models of the supply of state power structures? organizational units with centralized procurement, for dif

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Albelbaisi, Mohammed Ibrahim. "Performance Optimization Through Business Process Re-engineering (BPR) in a Post Covid19 Environment." International Journal of Advanced Engineering Research and Applications 8, no. 01 (2022): 1–10. http://dx.doi.org/10.46593/ijaera.2022.v08i01.001.

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Business process re-engineering allows organizations to transform their business processes to enhance their performance in terms of customers satisfaction and long-term strategies. In this research, business process re-engineering will be applied in shipping in one of the leading oil and gas companies. It all started when company has started to receive several complaints internally and externally during COVID-19. All types of complaints were related to one main root cause which is delay of ships, which were impacting customer’s supply chain in terms of supply shortage which has led to several

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Samudra, Azhari Aziz, Veithzal Rival Zainal, Eryus Amran Koto, Aziz Hakim, Ainun Nazriah, and Iwan Kurniawan Subagja. "Branch Leadership Optimization Performance in Improving The Performance of Government Banks In West Java." Archives of Business Research 7, no. 9 (2019): 5–18. http://dx.doi.org/10.14738/abr.79.7029.

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As part of finance, every bank, mostly from the government, has an important role in supporting the country's economic recovery from the crisis. The facts show that bank branches are the spearhead of bank operations which are very important in achieving bank goals. That is why every bank branch manager plays an important role in the overall success of the bank's business. The purpose of this study is to analyze several factors that support the optimization of the performance of branch managers of government banks. The results showed that the work of branch managers of state-owned banks affecte

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Tunçel, Kaya. "Advanced Applications and Methodologies in Mathematical Optimization and Operations Research: Insights into Linear Programming, Nonlinear Programming, and Decision-Making Frameworks." Human Computer Interaction 8, no. 1 (2024): 5. http://dx.doi.org/10.62802/b0ec2q73.

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Mathematical optimization and operations research are pivotal disciplines in solving complex decision-making problems across industries. This research delves into advanced methodologies within these fields, with a focus on linear programming (LP), nonlinear programming (NLP), and their applications in optimizing processes and resource allocation. Linear programming, with its capacity to model and solve large-scale problems, remains a cornerstone for optimization, particularly in logistics, finance, and manufacturing. Nonlinear programming, characterized by its ability to handle complex, real-w

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Benovska, L. "Optimization tools of education network." Galic'kij ekonomičnij visnik 70, no. 3 (2021): 7–15. http://dx.doi.org/10.33108/galicianvisnyk_tntu2021.03.007.

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It is determined that school as a center of human capital formation, and as an institution requiring effective funding and management is the asset of the territorial community development. The main problems of the development of educational network of territorial communities in Lviv region related to the inconsistency of the educational network development to the demographic situation in the region, as well as the inefficient management system of educational institutions are identified in this paper. Non-optimized educational network is a burden on the development of the local community, as th

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Derlytsia, Andrii. "THE CONCEPTUAL FOUNDATIONS OF TRANSACTIONAL ANALYSIS OF PUBLIC FINANCE." Economic Analysis, no. 30(3) (2020): 72–80. http://dx.doi.org/10.35774/econa2020.03.072.

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Introduction. One of the least developed areas of the theory of economic institutionalism is transactional analysis of public finance. Its component – the theory of transaction costs, is mainly applied to the sphere of functioning of economic entities and the financial market. This necessitates the study of transactions in public finance as an economic phenomenon that requires an integrated approach and goes beyond purely transaction costs. The purpose of the article. The aim is to study the conceptual foundations, method and key areas of transactional analysis of public finance as a scientifi

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KONNO, HIROSHI, and REI YAMAMOTO. "A MEAN-VARIANCE-SKEWNESS MODEL: ALGORITHM AND APPLICATIONS." International Journal of Theoretical and Applied Finance 08, no. 04 (2005): 409–23. http://dx.doi.org/10.1142/s0219024905003116.

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We will show that a mean-variance-skewness portfolio optimization model, a direct extension of the classical mean-variance model can be solved exactly and fast by using the state-of-the-art integer programming approach. This implies that we can now calculate a portfolio with maximal expected utility for any decreasing risk averse utility function. Also, we will show that this model can be used as a practical tool for constructing a portfolio when the asset returns follow skewed distribution. As an example, we apply this model to construct an index plus alpha portfolio.

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Semmouri, Abdellatif, Mostafa Jourhmane, and Bahaa Eddine Elbaghazaoui. "Discounted Markov Decision Processes with Constrained Costs: the decomposition approach." E3S Web of Conferences 229 (2021): 01047. http://dx.doi.org/10.1051/e3sconf/202122901047.

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In this paper we consider a constrained optimization of discrete time Markov Decision Processes (MDPs) with finite state and action spaces, which accumulate both a reward and costs at each decision epoch. We will study the problem of finding a policy that maximizes the expected total discounted reward subject to the constraints that the expected total discounted costs are not greater than given values. Thus, we will investigate the decomposition method of the state space into the strongly communicating classes for computing an optimal or a nearly optimal stationary policy. The discounted crite

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Yan, Chaosong, Jun Zhu, Yinglong Ouyang, and Xingyu Zeng. "Marketing Method and System Optimization Based on the Financial Blockchain of the Internet of Things." Wireless Communications and Mobile Computing 2021 (June 9, 2021): 1–11. http://dx.doi.org/10.1155/2021/9354569.

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This article makes relevant research and analysis from theory and practice, respectively. At the same time, with reference to the current state of the Internet, relative analysis was used to focus on the state of commercial banks. The analysis mainly focuses on the problems encountered in the current Internet development in various forms such as the bank’s sales status and customer products. In addition, it really made a reasonable opinion about the relevant sales status of this bank. It systematically studied the development history of marketing products of financial blockchain in China’s fin

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39

Steffensen, Mogens. "On Merton’s Problem for Life Insurers." ASTIN Bulletin 34, no. 01 (2004): 5–25. http://dx.doi.org/10.2143/ast.34.1.504952.

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This paper deals with optimal investment and redistribution of the free reserves connected to life and pension insurance contracts in form of dividends and bonus. Formulated appropriately this problem can be viewed as a modification of Merton’s problem of optimal consumption and investment with a very particular form of consumption and utility hereof. Both are linked to a finite state Markov chain. We distinguish between utility optimization of dividends, where a semi-explicit result is obtained, and utility optimization of bonus payments. The latter connects to the financial notion of durable

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Liu, Meijuan, Xiangrong Wang, and Hong Huang. "Maximum Principle for Forward-Backward Control System Driven by Itô-Lévy Processes under Initial-Terminal Constraints." Mathematical Problems in Engineering 2017 (2017): 1–13. http://dx.doi.org/10.1155/2017/1868560.

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This paper investigates a stochastic optimal control problem where the control system is driven by Itô-Lévy process. We prove the necessary condition about existence of optimal control for stochastic system by using traditional variational technique under the assumption that control domain is convex. We require that forward-backward stochastic differential equations (FBSDE) be fully coupled, and the control variable is allowed to enter both diffusion and jump coefficient. Moreover, we also require that the initial-terminal state be constrained. Finally, as an application to finance, we show an

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Rhouas, Sara, Anas El Attaoui, and Norelislam El Hami. "Enhancing currency prediction in international e-commerce: Bayesian-optimized random forest approach using the Klarna dataset." International Journal of Electrical and Computer Engineering (IJECE) 14, no. 3 (2024): 3177. http://dx.doi.org/10.11591/ijece.v14i3.pp3177-3186.

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In the ever-evolving landscape of global commerce, marked by the convergence of digital transformation and borderless markets, this research addresses the intricate challenges of currency exchange and risk management. Leveraging Bayesian optimization, the study fine-tunes the random forest algorithm using the extensive Klarna E-commerce dataset. Through systematic analysis, the research uncovers insights into managing currency prediction amid dynamic global markets. Emphasizing the role of Bayesian optimization parameters, the study reveals nuanced trade-offs in model performance. Notably, the

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Yemets, Kyrylo, and Michal Greguš. "Schedule-free optimization of the transformers-based time series forecasting model." IAES International Journal of Artificial Intelligence (IJ-AI) 14, no. 2 (2025): 1067. https://doi.org/10.11591/ijai.v14.i2.pp1067-1076.

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The task of time series forecasting is important for many scientific, technical, and applied fields, such as finance, economics, meteorology, medicine, transportation, and telecommunications. Existing methods, such as autoregressive models and moving average models, have their limitations, especially when working with non-stationary and seasonal data. In this work, the basic architecture of transformers was modified to solve time series forecasting problems. Additionally, state-of-the-art optimizers were investigated and experimentally compared, including AdamW, stochastic gradient descent (SG

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Kyrylo, Yemets, and Gregus Michal. "Schedule-free optimization of the transformers-based time series forecasting model." IAES International Journal of Artificial Intelligence (IJ-AI) 14, no. 2 (2025): 1067–76. https://doi.org/10.11591/ijai.v14.i2.pp1067-1076.

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The task of time series forecasting is important for many scientific, technical, and applied fields, such as finance, economics, meteorology, medicine, transportation, and telecommunications. Existing methods, such as autoregressive models and moving average models, have their limitations, especially when working with non-stationary and seasonal data. In this work, the basic architecture of transformers was modified to solve time series forecasting problems. Additionally, state-of-the-art optimizers were investigated and experimentally compared, including AdamW, stochastic gradient descent (SG

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ALTAY, SÜHAN, KATIA COLANERI, and ZEHRA EKSI. "PAIRS TRADING UNDER DRIFT UNCERTAINTY AND RISK PENALIZATION." International Journal of Theoretical and Applied Finance 21, no. 07 (2018): 1850046. http://dx.doi.org/10.1142/s0219024918500462.

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In this work, we study a dynamic portfolio optimization problem related to pairs trading, which is an investment strategy that matches a long position in one security with a short position in another security with similar characteristics. The relationship between pairs, called a spread, is modeled by a Gaussian mean-reverting process whose drift rate is modulated by an unobservable continuous-time, finite-state Markov chain. Using the classical stochastic filtering theory, we reduce this problem with partial information to an equivalent one with full information and solve it for the logarithmi

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Hou, Yuzhe. "Research on Financial Management of Internet Financial Enterprises Based on Big Data." Proceedings of Business and Economic Studies 7, no. 6 (2024): 24–33. https://doi.org/10.26689/pbes.v7i6.9104.

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In the context of the rapid development of big data technology, the financial management model of Internet financial enterprises is undergoing a profound transformation. This paper analyzes the key aspects of applying big data technology in Internet finance, including its basic concepts, characteristics, and current state of development in the field. It examines the current situation and primary challenges faced by financial management in Internet financial enterprises, such as risk management, cost control, and data integration. To address these challenges, optimization strategies based on bi

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Esponda, Ignacio, and Demian Pouzo. "Equilibrium in misspecified Markov decision processes." Theoretical Economics 16, no. 2 (2021): 717–57. http://dx.doi.org/10.3982/te3843.

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We provide an equilibrium framework for modeling the behavior of an agent who holds a simplified view of a dynamic optimization problem. The agent faces a Markov decision process, where a transition probability function determines the evolution of a state variable as a function of the previous state and the agent's action. The agent is uncertain about the true transition function and has a prior over a set of possible transition functions; this set reflects the agent's (possibly simplified) view of her environment and may not contain the true function. We define an equilibrium concept and prov

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Basiuk, O. P. "DIGITAL TECHNOLOGIES IN OPTIMIZATION OF THE BUDGET PROCESS: BEST INTERNATIONAL EXPERIENCE AND CONCLUSIONS FOR UKRAINE." 1, no. 1 (September 29, 2022): 116–31. http://dx.doi.org/10.26565/1684-8489-2022-1-08.

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This article is a continuation of a series of articles devoted to research on the global practice of digitalization in the field of public finance, as well as the potential for applying promising digital technologies in this area. In this article, the author conducts research on foreign experience of digital technologies in the budget process and based on the results, offers a conceptual model as the basis for the digital transformation of public finances in Ukraine. As the part of this research, the author has established that an important element of the budget process is a financial control,

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Vishwakarma, Vinod Kumar. "Quantum Computing Algorithms for Nonlinear Optimization Problems." Communications on Applied Nonlinear Analysis 30, no. 4 (2023): 01–16. http://dx.doi.org/10.52783/cana.v30.279.

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The increasing complexity of real-world optimization problems highlights the importance of this research since classical algorithms are unable to provide efficient answers in these cases. Innovative methods for fast and scalable resolution of nonlinear optimization problems are required because these problems are prevalent in many fields. The potential for quantum computing to speed up optimization processes and overcome classical limitations is great, owing to its superposition principles and intrinsic parallelism. The integration of quantum algorithms (I-QA) into real-world applications, how

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Zvonova, E. A. "Financialization of world economy: new trends and regulatory issues." Russian Economic Journal, no. 2 (May 2020): 69–80. http://dx.doi.org/10.33983/0130-9757-2020-2-69-80.

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In the study is to analyze the current systemic problems of world finance, including the dominant changes in the architecture of world finance, the expansion of the role of central banks and states in general in the regulation of the global financial market. Structural and historical analysis methods are used in the course of the study. The paradigm of the transition from the financialization of the world economy to its definancialization is determined, in connection with which the necessity of state regulation of national financial markets and cross-border movements of capital between develop

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CHEN, ZHIPING, LIYUAN WANG, PING CHEN, and HAIXIANG YAO. "CONTINUOUS-TIME MEAN–VARIANCE OPTIMIZATION FOR DEFINED CONTRIBUTION PENSION FUNDS WITH REGIME-SWITCHING." International Journal of Theoretical and Applied Finance 22, no. 06 (2019): 1950029. http://dx.doi.org/10.1142/s0219024919500298.

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Using mean–variance (MV) criterion, this paper investigates a continuous-time defined contribution (DC) pension fund investment problem. The framework is constructed under a Markovian regime-switching market consisting of one bank account and multiple risky assets. The prices of the risky assets are governed by geometric Brownian motion while the accumulative contribution evolves according to a Brownian motion with drift and their correlation is considered. The market state is modeled by a Markovian chain and the random regime-switching is assumed to be independent of the underlying Brownian m

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