For many clustering algorithms,it is very important to determine an appropriate number of clusters,which is called cluster validity problem.In this paper,a new clustering validity assessment index is proposed based on...For many clustering algorithms,it is very important to determine an appropriate number of clusters,which is called cluster validity problem.In this paper,a new clustering validity assessment index is proposed based on a novel method to select the margin point between two clusters for in-ter-cluster similarity more accurately,and provides an improved scatter function for intra-cluster similarity.Simulation results show the effectiveness of the proposed index on the data sets under consideration regardless of the choice of a clustering algorithm.展开更多
In this paper, a tractable solution is proposed to integrate, to a certain extent, market liquidity risk in the portfolio selection process. It is shown how an investor may take advantage of this additional risk sourc...In this paper, a tractable solution is proposed to integrate, to a certain extent, market liquidity risk in the portfolio selection process. It is shown how an investor may take advantage of this additional risk source within the standard mean-variance optimization framework, by in certain circumstances overcoming the pitfalls of illiquidity and in others seizing a liquidity premium. Bid prices appear effective to capture liquidity risk. The efficient frontier conceived with bid prices consists of mean-variance optimal allocations that cover more liquid stocks （large caps） under stressed market conditions and less liquid stocks （small caps） under normal conditions.展开更多
文摘For many clustering algorithms,it is very important to determine an appropriate number of clusters,which is called cluster validity problem.In this paper,a new clustering validity assessment index is proposed based on a novel method to select the margin point between two clusters for in-ter-cluster similarity more accurately,and provides an improved scatter function for intra-cluster similarity.Simulation results show the effectiveness of the proposed index on the data sets under consideration regardless of the choice of a clustering algorithm.
文摘In this paper, a tractable solution is proposed to integrate, to a certain extent, market liquidity risk in the portfolio selection process. It is shown how an investor may take advantage of this additional risk source within the standard mean-variance optimization framework, by in certain circumstances overcoming the pitfalls of illiquidity and in others seizing a liquidity premium. Bid prices appear effective to capture liquidity risk. The efficient frontier conceived with bid prices consists of mean-variance optimal allocations that cover more liquid stocks （large caps） under stressed market conditions and less liquid stocks （small caps） under normal conditions.
