A nonlinear programming model approach to bank asset and liability management

Gökbayrak, Hakan


A stochastic programming approach to multicriteria portfolio optimization
Sakar, Ceren Tuncer; Köksalan, Mustafa Murat (2013-10-01)
We study a stochastic programming approach to multicriteria multi-period portfolio optimization problem. We use a Single Index Model to estimate the returns of stocks from a market-representative index and a random walk model to generate scenarios on the possible values of the index return. We consider expected return, Conditional Value at Risk and liquidity as our criteria. With stocks from Istanbul Stock Exchange, we make computational studies for the two and three-criteria cases. We demonstrate the trade...
A dynamic programming approach to optimal control of robotic manipulators
Balkan, Raif Tuna (1998-03-01)
A continuous path planning approach on Voronoi diagrams for robotics and manufacturing applications
Özcan, Melih; Yaman, Ulaş (2019-01-01)
Coverage of an area is required for a large variety of robotics and manufacturing applications, such as environment monitoring, home cleaning, search and rescue operations, machining, delivery, additive manufacturing and even for 3D terrain reconstruction. In this work, we present highly flexible algorithms that can be used for coverage and graph traversal. Although our methods take advantage of variable-sized Voronoi cells, by which regular, irregular and complex geometries can be easily composed, it is no...
A computation-implementation parallelization approach to the vehicle loading and routing problem
Çavdar, Bahar; Sokol, Joel (Wiley, 2019-01-01)
In this article, we address a version of the capacitated vehicle routing problem where there is a constraint on the total time that can be spent on computing delivery routes and loading the vehicles. This problem, which we call the vehicle loading and routing problem (VLRP), can arise, for example, in the delivery of small, quick-turnaround orders from a warehouse. We propose a computation-implementation parallelization (CIP) approach to solving large VLRP instances, and present computational results showin...
A Quantum Graph Network Approach to Particle Track Reconstruction
Tüysüz, Cenk; Carminati, Federico; Demirköz, Melahat Bilge; Dobos, Daniel; Fracas, Fabio; Novotny, Kristiane; Potamianos, Karolos; Vallecorsa, Sofia; Vlimant, JeanRoch (2020-04-20)
The unprecedented increase of complexity and scale of data is expected in the necessary computation for tracking detectors of the High Luminosity Large Hadron Collider (HL-LHC) experiments. While currently used Kalman filter based algorithms are reaching their limits in terms of ambiguities from increasing number of simultaneous collisions, occupancy, and scalability (worse than quadratic), a variety of machine learning approaches to particle track reconstruction are explored. It has been demonstrated previ...
Citation Formats
H. Gökbayrak, “A nonlinear programming model approach to bank asset and liability management,” Middle East Technical University, 1996.