Marco Corazza

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Keywords: Portfolio selection Coherent risk measure Fund management constraints NP-hard mathematical programming problem Particle Swarm Optimization Exact penalty method SP100 index's assets a b s t r a c t In the classical model for portfolio selection the risk is measured by the variance of returns. It is well known that, if returns are not elliptically(More)
In this paper we propose a financial trading system whose strategy is developed by means of an artificial neural network approach based on a recurrent reinforcement learning algorithm. In general terms, this kind of approach consists in specifying a trading policy based on some predetermined investor's measure of profitability, and in setting the financial(More)
Forecasting the tide level in the Venezia lagoon is a very compelling task. In this work we propose a new approach to the learning of tide level time series based on the local learning procedure of Bottou and Vapnik, by considering the use of a fuzzy method for the selection of the closest patterns to the one to forecast. We made use also as learners of(More)
ACKNOWLEDGMENTS It is a pleasure to express my deep gratitude to my supervisor, prof. Marco Corazza, for the invaluable guidance he gave during the study. He is most responsible for helping me complete the writing of this thesis as well as the challenging research that lies behind it. Special thanks are due to prof. Riccardo Gusso for providing important(More)
This Working Paper is published ! under the auspices of the Department of Management at Università Ca' Foscari Venezia. Opinions expressed herein are those of the authors and not those of the Department or the University. The Working Paper series is designed to divulge preliminary or incomplete work, circulated to favour discussion and comments. Citation of(More)
Surgical patients requiring massive blood transfusion therapy present many challenges for the anesthetist. The decision to transfuse homologous banked blood and its components must be weighed against the potential complications that may occur in this form of therapy. A review of metabolic changes that occur in banked blood, the risk of infection, and(More)