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Comparing SSD-Efficient Portfolios with a Skewed Reference Distribution
Mathematics. 2023. Vol. 11. No. 1. Article 50.
Cesarone F., Cesetti R., Orlando G., Martino M. L., Ricci J. M.
Portfolio selection models based on second-order stochastic dominance (SSD) have the advantage of providing portfolios that reflect the behavior of risk-averse investors without the need to specify the utility function. Several scholars apply SSD conditions with respect to a reference distribution, typically that of the market index, to find its dominant SSD portfolio. However, since the reference distribution could strongly influence asset allocation, in this article, we compare two SSD-based portfolio selection strategies with a reshaping of the reference distribution in terms of its skewness and, consequently, its variance. Through an extensive empirical analysis based on multiasset investment universes, we empirically show that the SSD portfolios dominating the new skewed benchmark index generally perform better.
Lysenok N., International Journal of Computer Information Systems and Industrial Management Applications 2026 Vol. 18 No. 17s P. 533–549
This paper asks which families of volatility forecasting models create economic value in active trading, and through which integration channel that value is transmitted. Seven models drawn from four families — econometric (GJR-GARCH, HAR-J), gradient boosting (XGBoost, LightGBM), recurrent neural networks (LSTM, GRU) and a hybrid combining HAR-J with boosting — are compared on the ...
Added: August 18, 2026
Alena Bernyukevich, / Series WP BRP "Basic research program". 2025.
This essay explores the complex issue of determining the appropriate level of risk when implementing innovations within organizations. While innovation is widely recognized as a cornerstone of competitiveness, growth, and sustainability, excessive or poorly managed risk can lead to significant challenges. The discussion highlights key factors influencing acceptable risk levels, including alignment with corporate goals, ...
Added: August 17, 2026
Shaposhnikov S., Asia and Africa today 2025
Digital transformation of small and medium enterprises (SMEs) in India is critical to enhancing competitiveness and improving economic performance. It also helps address unemployment and regional inequality. However, SMEs face financial constraints, a digital skills shortage, resistance to change, and cybersecurity challenges. The authors analyze the impact of government initiatives such as Digital India, CGTMSE, ...
Added: August 14, 2026
Богатырев А. Б., Математический сборник 2023 Т. 214 № 3 С. 106–119
Рассматривается клеточное разбиение пространства модулей вещественных кривых рода 2 с отмеченной точкой на единственном вещественном овале. Клетки перечисляются определенными графами, веса которых описывают комплексную структуру на кривой. Показано, что стягивание ребра графа приводит к корневой особенности естественного отображения из весов графа в пространство модулей кривых. ...
Added: August 14, 2026
Богатырев А. Б., Gendron Q., Успехи математических наук 2023 Т. 78 № 1 С. 209–210
Уравнение Пелля-Абеля — это функциональное уравнение вида P²-DQ² = 1, с заданным многочленом D, свободным от квадратов, и неизвестными многочленами P и Q. Мы показываем, что пространство уравнений Пелля-Абеля с фиксированными степенями D и примитивным решением P является комплексным многообразием. Мы описываем его связные компоненты с помощью эффективно вычислимого инварианта. ...
Added: August 14, 2026
Богатырев А. Б., Transactions of the Moscow Mathematical Society 2024 Vol. 85 No. 2 P. 323–337
The best uniform rational approximation of the Sign function on two intervals separated by zero was explicitly found by E. I. Zolotarëv in 1877. The natural extension of this problem to three bands was solved by E. Stiefel in 1961. We indicate the solutions overlooked by the prominent geometer and study their properties. ...
Added: August 14, 2026
Богатырев А. Б., Успехи математических наук 2026 Т. 81 № 3(489) С. 159–160
Предложена простая и эффективно реализуемая формула для изменения абелевых интегралов (включая их периоды) при вариации образующих классической группы Шоттки, представляющей риманову поврехность. ...
Added: August 14, 2026
Gendron Q., Compositio Mathematica 2025 Vol. 161 No. 7 P. 1483–1511
A Pell–Abel equation is a functional equation of the form P^2-DQ^2=1 , with a given polynomial D free of squares and unknown polynomials P and Q. We show that the space of Pell–Abel equations with the degrees of D and of the primitive solution P fixed is a complex manifold. We describe its connected components ...
Added: August 14, 2026
Yu Z., Wang J., Wang Z. et al., Philosophical Transactions of the Royal Society A: Mathematical, Physical and Engineering Sciences 2026 Vol. 384 P. 1–16
The integration of data-driven and knowledge-driven approaches in generative geospatial modelling (GGM) is often hindered by their mathematical incompatibilities. Here, we propose a geometric algebra (GA)-based framework that employs a unified multi-vector representation to fuse heterogeneous data and diverse knowledge. The framework facilitates structured reasoning and hypothesis generation through a task-adaptable, five-stage cycle: representation, reasoning, ...
Added: August 13, 2026
Bessonova E., Мякишева С. М., Новиков С. В., Вопросы экономики 2026 № 8 С. 95–124
This paper examines total factor productivity (TFP) dynamics among Russian enterprises from 2018 to 2024, using translogarithmic production function estimates for 290 industries. To address endogeneity and functional dependence issues, we employ the Ackerberg—Caves—Frazer methodology with a control function approach. Our findings reveal distinct sectoral patterns. In mining, both simple average and value-added-weighted TFP rose ...
Added: August 13, 2026
BRICS Journal of Economics 2026 Vol. 7 No. 2 P. 185–209
This study provides an empirical analysis of the relationship between trade and the environment in Singapore. It offers valuable insights into reconciling economic growth and environmental sustainability in this globally significant trade center and contributes significantly to policy formulation for trade-oriented economies. The paper examines empirical trends in trade openness, foreign direct investment (FDI), economic ...
Added: August 13, 2026
Gokhberg L., Kutsenko E., Lebedeva S. et al., М.: ИСИЭЗ ВШЭ, 2025.
This publication prepared by the Russian Cluster Observatory of the National Research University Higher School of Economics Institute for Statistical Studies and Economics of Knowledge is a followup of the 2021 publication dedicated to the statistical measurement of the creative economy of Moscow.
It provides the basic economic indicators of Moscow’s creative industries, assessment of the ...
Added: August 13, 2026
Evgeniia K., Cardoni A., Makeeva E. Y. et al., Business Strategy and the Environment 2026 P. 1–17
This study investigates the relevance of sustainable governance (SG) and its impactful elements in the context of the Russian market, a unique case of an isolated economy, using market value as a proxy for concept relevance. Adopting stakeholder and institutional approaches, this study uses panel data from 152 firms listed on the Moscow Exchange from ...
Added: August 12, 2026
Speranski S. O., Математические заметки 2026 Т. 120 № 3 С. 470–483
We show that, in terms of closure ordinals, many infinitary calculi for ‘first-order’ logics of probability (i.e., for languages similar to those in [Abadi & Halpern 1994]) are as hard as possible: the corresponding closure ordinals coincide with the least non-constructive ordinal, denoted by $\omega_1^{\mathrm{CK}}$. ...
Added: August 12, 2026
Ali S., Bocharnikov V., Ratnikov F. et al., Sensors 2026 Vol. 26 No. 16 Article 5024
Large distributed sensor arrays require repeated recalibration as radiation damage, material aging, gain variation, and readout drift alter channel responses. We studied a high-granularity calorimeter as a large sensor array and addressed unsupervised recalibration from two unpaired datasets: a nominal reference response and an aged response with attenuated cell-wise signals. Aging was modeled by a ...
Added: August 11, 2026
Saraev V., Medovnikov D., Розмирович С. Д. et al., М.: Иннопрактика, 2020.
This report presents a brief summary of the results of a study devoted to the analysis of innovation practices in large Russian companies, their comparison with the most successful international experience, and the identification of opportunities to improve the effectiveness of innovation development tools. ...
Added: August 11, 2026
Дергилёва А. А., Добрынская В.В., Gurov S. et al., Journal of Applied Economic Research 2026 Т. 25 № 1 С. 249–282
The cryptocurrency market has been considered until recently a market for private, non-portfolio investors, and the research focus has been on volatility. However, gradual institutionalization and creation of ETFs have highlighted new characteristics, including the asymmetry of trade behavior. Our research aims to analyze the relationships between asymmetric risk indicators and the returns of portfolios ...
Added: June 14, 2026
Slunyaev A., Kokorina A., Physics of Fluids 2025 Vol. 37 No. 8 Article 087192
Nonlinear wave-induced perturbations are discussed within the framework of the second-order theory. Due to the slow attenuation of the long perturbations with depth, they modulate motions beneath surface waves down to the bottom and can strongly affect the wave statistics. The disturbance which corresponds to the second harmonic, at a sufficient depth, inverses the phase, thereby ...
Added: February 12, 2026
Liseo B., Bufalo M., Orlando G., Applied Stochastic Models in Business and Industry 2022 Vol. 38 No. 4 P. 620–650
The gist of this work is to propose a minimum tracking error portfolio that could be adopted not only as an automated alternative to ETFs but, it could also be potentially used to anticipate market changes in the target index. This goal has been achieved by adopting skew Brownian motion as a general framework. The ...
Added: February 23, 2024
Granitsa Y.V, , in: IV International Scientific Conference "Competitiveness and the Development of Socio-Economic Systems" dedicated to the memory of Alexander Tatarkin (CDSES - 2020). EpSBS - Volume 105 - CDSES 2020.: European Proceedings of Social and Behavioural Sciences EpSBS, 2021. P. 947–955.
The global pandemic provokes a new round of volatility, which is fundamentally different, so the modern stage of development actualizes the task of determining regional economic systems' trajectories. The decisive role associated with the choice of inclusive or extractive policies, the pace of escalation of state assistance, belongs to the state. As a generally risk-neutral ...
Added: November 2, 2021
Sizykh D., , in: 2020 13th International Conference "Management of large-scale system development" (MLSD).: IEEE, 2020. P. 1–5.
It is presented results of a comparative analysis of the effectiveness of various approaches in forming an investment portfolio are presented on the example of portfolios consisting of shares of the leading IT and telecommunications companies for the period 2015-2020. It is presented the modified variant of the Markowitz portfolio optimization model using the indicator ...
Added: November 26, 2020
Kalyagin V. A., Slashchinin S., , in: Learning and Intelligent Optimization: 14th International Conference, LION 14, Athens, Greece, May 24–28, 2020, Revised Selected PapersVol. 12096.: Switzerland: Springer, 2020. P. 371–376.
Portfolio optimization is a large area of investigation both in theoretical and practical setting since the seminal work by Markowitz where a mean-variance model was introduced. From optimization point of view, the problem of optimal portfolio in mean-variance setting can be formulated as convex quadratic optimization under uncertainty. In practice one needs to estimate parameters ...
Added: November 22, 2020
Kalyagin V. A., Slashchinin S., Springer Optimization and Its Applications 2019 Vol. 145 P. 151–184
Mathematical programming is often concerned with determining the optimum of some real-world objective. One of the main questions in this field is the way of addressing uncertainty. Whereas deterministic optimization models are formulated with known parameters, real life issues almost invariably include uncertain parameters which are unknown at the time when a decision should be ...
Added: November 24, 2019
Lakshina V. V., Journal of Economic Asymmetries 2020 Vol. 21 P. e00152
This paper, following (Ghalanos, 2012), uses the simple method of embedding skewness in asset allocation based on the Taylor expansion of the investor utility function up to the third term and maximizing it by portfolio weights. This approach also enables us to consider investor risk aversion. Time-dependent multivariate asset moments are obtained via the GO-GARCH ...
Added: November 14, 2019