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1

Portfolio optimization based on GARCH-EVT-Copula forecasting models

Sahamkhadam, Maziar, Stephan, Andreas, Östermark, Ralf

Journal:

International Journal of Forecasting

Year:

2018

Language:

english

File:

PDF, 593 KB

english, 2018

2

Hedging with options and cardinality constraints in multi‐period portfolio management systems

Lin, Yi, Östermark, Ralf

Journal:

Year:

2011

Language:

english

File:

PDF, 253 KB

english, 2011

3

Concurrent processing of mixed‐integer non‐linear programming problems

Östermark, Ralf

Journal:

Year:

2009

Language:

english

File:

PDF, 254 KB

english, 2009

4

Fuzzy linear constraints in the capital asset pricing model

Ralf Östermark

Journal:

Fuzzy Sets and Systems

Year:

1989

Language:

english

File:

PDF, 1.23 MB

english, 1989

5

A fuzzy control model (FCM) for dynamic portfolio management

Ralf Östermark

Journal:

Fuzzy Sets and Systems

Year:

1996

Language:

english

File:

PDF, 585 KB

english, 1996

6

Gestalt system of holistic graphics: New management support view of MCDM

Eero Kasanen, Ralf Östermark, Milan Zeleny

Journal:

Computers & Operations Research

Year:

1991

Language:

english

File:

PDF, 698 KB

english, 1991

7

VARMAX-modelling of blast furnace process variables

Ralf Östermark, Henrik Saxén

Journal:

European Journal of Operational Research

Year:

1996

Language:

english

File:

PDF, 996 KB

english, 1996

8

A hybrid genetic fuzzy neural network algorithm designed for classification problems involving several groups

Ralf Östermark

Journal:

Fuzzy Sets and Systems

Year:

2000

Language:

english

File:

PDF, 209 KB

english, 2000

9

Call option pricing and replication under economic friction

Ralf Östermark

Journal:

European Journal of Operational Research

Year:

1998

Language:

english

File:

PDF, 859 KB

english, 1998

10

State space modelling and spectral analysis of cointegrated vector processes (evidence from the U.S. and Scandinavian economies)

ÖSTERMARK, RALF, AOKI, MASANAO

Journal:

International Journal of Systems Science

Year:

1995

Language:

english

File:

PDF, 541 KB

english, 1995

11

Auditor fee dependence, auditor tenure, and auditor independence: the case of Finland

Nasution, Damai, Östermark, Ralf

Journal:

International Journal of Accounting Auditing and Performance Evaluation

Year:

2013

Language:

english

File:

PDF, 265 KB

english, 2013

12

A parallel algorithm for optimizing the capital structure contingent on maximum value at risk

Östermark, Ralf

Journal:

Year:

2015

Language:

english

File:

PDF, 784 KB

english, 2015

13

A multiperiod firm model for strategic decision support

Östermark, Ralf, Söderlund, Kenneth

Journal:

Year:

1999

Language:

english

File:

PDF, 159 KB

english, 1999

14

Multivariate EGARCHX-modelling of the international asset return signal response mechanism

Ralf Östermark, Rune Höglund

Journal:

International Journal of Finance & Economics

Year:

1997

Language:

english

File:

PDF, 367 KB

english, 1997

15

Automatic arima modelling by the cartesian search algorithm

Rune Höglund, Ralf Östermark

Journal:

Journal of Forecasting

Year:

1991

Language:

english

File:

PDF, 647 KB

english, 1991

16

Profit apportionment in concerns with mutual ownership — An application of fuzzy inequalities

Ralf Östermark

Journal:

Fuzzy Sets and Systems

Year:

1988

Language:

english

File:

PDF, 1.53 MB

english, 1988

17

Parallel implementation of a VARMAX algorithm

Ralf Östermark, Martin Saarinen

Journal:

Parallel Computing

Year:

1994

Language:

english

File:

PDF, 463 KB

english, 1994

18

The impact of information timeliness on the predictability of stock and futures returns: An application of vector models

Ralf Östermark, Hannu Hernesniemi

Journal:

European Journal of Operational Research

Year:

1995

Language:

english

File:

PDF, 1.09 MB

english, 1995

19

The economic value of stock and call options on the Swedish financial market

Ralf Östermark, Jaana Aaltonen

Journal:

European Journal of Operational Research

Year:

1994

Language:

english

File:

PDF, 1014 KB

english, 1994

20

A flexible multicomputer algorithm for artificial neural networks

Ralf Östermark

Journal:

Neural Networks

Year:

1996

Language:

english

File:

PDF, 813 KB

english, 1996

21

A fuzzy vector valued KNN-algorithm for automatic outlier detection

Ralf Östermark

Journal:

Applied Soft Computing

Year:

2009

Language:

english

File:

PDF, 443 KB

english, 2009

22

Growth and profitability in small privately held biotech firms: preliminary findings

Malin Brännback, Alan Carsrud, Maija Renko, Ralf Östermark, Jaana Aaltonen, Niklas Kiviluoto

Journal:

New Biotechnology

Year:

2009

Language:

english

File:

PDF, 287 KB

english, 2009

23

Temporal interdependence in fuzzy MCDM problems

Ralf Östermark

Journal:

Fuzzy Sets and Systems

Year:

1997

Language:

english

File:

PDF, 587 KB

english, 1997

24

A fuzzy neural network algorithm for multigroup classification

Ralf Östermark

Journal:

Fuzzy Sets and Systems

Year:

1999

Language:

english

File:

PDF, 692 KB

english, 1999

25

Using fuzzy bases to resolve nonlinear programming problems

P.Z. Wang, Ralf Östermark, Rajan Alex, S.H. Tan

Journal:

Fuzzy Sets and Systems

Year:

2001

Language:

english

File:

PDF, 191 KB

english, 2001

26

A fuzzy linear basis algorithm for nonlinear separable programming problems

P.Z. Wang, Ralf Östermark, Rajan Alex, S.H. Tan

Journal:

Fuzzy Sets and Systems

Year:

2001

Language:

english

File:

PDF, 149 KB

english, 2001

27

Genetic modelling of multivariate EGARCHX-processes: evidence on the international asset return signal response mechanism

Ralf Östermark

Journal:

Computational Statistics & Data Analysis

Year:

2001

Language:

english

File:

PDF, 407 KB

english, 2001

28

Solving a nonlinear non-convex trim loss problem with a genetic hybrid algorithm

Ralf Östermark

Journal:

Computers & Operations Research

Year:

1999

Language:

english

File:

PDF, 129 KB

english, 1999

29

A flexible multicomputer algorithm for elementary matrix operations

Ralf Östermark

Journal:

Computers & Operations Research

Year:

2000

Language:

english

File:

PDF, 407 KB

english, 2000

30

Multivariate cointegration analysis of the Finnish–Japanese stock markets

Ralf Östermark

Journal:

European Journal of Operational Research

Year:

2001

Language:

english

File:

PDF, 372 KB

english, 2001

31

A multipurpose parallel genetic hybrid algorithm for non-linear non-convex programming problems

Ralf Östermark

Journal:

European Journal of Operational Research

Year:

2004

Language:

english

File:

PDF, 315 KB

english, 2004

32

Addressing the multigroup discriminant problem using multivariate statistics and mathematical programming

Ralf Östermark, Rune Höglund

Journal:

European Journal of Operational Research

Year:

1998

Language:

english

File:

PDF, 1.12 MB

english, 1998

33

State realization with exogenous variables - A test on blast furnace data

Henrik Saxen, Ralf Östermark

Journal:

European Journal of Operational Research

Year:

1996

Language:

english

File:

PDF, 1.28 MB

english, 1996

34

Separating trend and cyclical dynamics in state space models with exogenous inputs

Ralf Östermark

Journal:

Statistics and Computing

Year:

1996

Language:

english

File:

PDF, 582 KB

english, 1996

35

Connecting expert system features to a multiple criteria programming based decision support system

Ralf Östermark, Hannu Salmela

Journal:

Computational Economics

Year:

1988

Language:

english

File:

PDF, 674 KB

english, 1988

36

Recursive portfolio management: Large-scale evidence from two Scandinavian stock markets

Ralf Östermark, Jaana Aaltonen

Journal:

Computational Economics

Year:

1992

Language:

english

File:

PDF, 1016 KB

english, 1992

37

Solving a linear multiperiod portfolio problem by interior-point methodology

Ralf Östermark

Journal:

Computational Economics

Year:

1992

Language:

english

File:

PDF, 890 KB

english, 1992

38

Portfolio efficiency of a dynamic capital asset pricing model

Ralf Östermark

Journal:

Empirical Economics

Year:

1993

Language:

english

File:

PDF, 1.14 MB

english, 1993

39

Size and power of some cointegration tests under structural breaks and heteroskedastic noise

Rune Höglund, Ralf Östermark

Journal:

Statistical Papers

Year:

2003

Language:

english

File:

PDF, 994 KB

english, 2003

40

Genetic hybrid tuning of VARMAX and state space algorithms

Ralf Östermark

Journal:

Soft Computing - A Fusion of Foundations, Methodologies and Applications

Year:

2010

Language:

english

File:

PDF, 245 KB

english, 2010

41

Geno-mathematical identification of the multi-layer perceptron

Ralf Östermark

Journal:

Neural Computing and Applications

Year:

2009

Language:

english

File:

PDF, 490 KB

english, 2009

42

Aspiration profile preserving compromising within a multicriterial conflict zone

Ralf Östermark

Journal:

European Journal of Operational Research

Year:

1988

Language:

english

File:

PDF, 602 KB

english, 1988

43

Optimal comprimising within a multicriterial conflict zone

Ralf Östermark

Journal:

European Journal of Operational Research

Year:

1988

Language:

english

File:

PDF, 615 KB

english, 1988

44

Vector forecasting and dynamic portfolio selection: Empirical efficiency of recursive multiperiod strategies

Ralf Östermark

Journal:

European Journal of Operational Research

Year:

1991

Language:

english

File:

PDF, 782 KB

english, 1991

45

A nonlinear mixed integer multiperiod firm model

Ralf Östermark, Hans Skrifvars, Tapio Westerlund

Journal:

International Journal of Production Economics

Year:

2000

Language:

english

File:

PDF, 281 KB

english, 2000

46

Solving Irregular Econometric and Mathematical Optimization Problems with a Genetic Hybrid Algorithm

Ralf Östermark

Journal:

Computational Economics

Year:

1999

Language:

english

File:

PDF, 125 KB

english, 1999

47

Incorporating asset growth potential and bear market safety switches in international portfolio decisions

Ralf Östermark

Journal:

Applied Soft Computing

Year:

2012

Language:

english

File:

PDF, 589 KB

english, 2012

48

Nonlinear modelling of the Finnish Banking and Finance branch index

Östermark, Ralf, Aaltonen, Jaana, Saxén, Henrik, Söderlund, Kenneth

Journal:

European Journal of Finance

Year:

2004

Language:

english

File:

PDF, 331 KB

english, 2004

49

A parallel fuzzy GMM-algorithm for approximate VGARCH-modeling with a multi-modal discontinuous merit function

Östermark, Ralf

Journal:

Fuzzy Sets and Systems

Year:

2014

Language:

english

File:

PDF, 1.15 MB

english, 2014

50

Solving difficult mixed integer and disjunctive non-linear problems on single and parallel processors

Östermark, Ralf

Journal:

Applied Soft Computing

Year:

2014

Language:

english

File:

PDF, 1.06 MB

english, 2014

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