References of "Schiltz, Jang 50003012"
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See detailOn the classical solution to the linear-constrained minimum energy problem
Schiltz, Jang UL; Boissaux, Marc UL

in International Journal of Control (2012), 1

Minimum energy problems involving linear systems with quadratic performance criteria are classical in optimal control theory. The case where controls are constrained is discussed in Athans and Falb (1966 ... [more ▼]

Minimum energy problems involving linear systems with quadratic performance criteria are classical in optimal control theory. The case where controls are constrained is discussed in Athans and Falb (1966) [Athans, M. and Falb, P.L. (1966), Optimal Control: An Introduction to the Theory and Its Applications, New York: McGraw-Hill Book Co.] who obtain a componentwise optimal control expression involving a saturation function expression. We show why the given expression is not generally optimal in the case where the dimension of the control is greater than one and provide a numerical counterexample. [less ▲]

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See detailOptimal mix of funded and unfunded pension systems: the case of Luxembourg
Guigou, Jean-Daniel UL; Lovat, Bruno; Schiltz, Jang UL

E-print/Working paper (2012)

Financing of the Luxembourg pension system is based on a pay-as-you-go (PAYG) system <br />and hence on an inter-generational contract. As is the case for most other European <br />countries, this system ... [more ▼]

Financing of the Luxembourg pension system is based on a pay-as-you-go (PAYG) system <br />and hence on an inter-generational contract. As is the case for most other European <br />countries, this system will be exposed to the effects of demographic ageing over the coming <br />decades. <br />The aim of this paper is to develop a model that allows to evaluate the efficiency of a <br />diversified pension system financed partly by a pay-as-you-go scheme and partly by <br />capitalisation. The efficiency is measured by the long term sustainability of the system. We <br />compare the sustainability of our model to the one of a pure pay-as-you-go system. [less ▲]

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See detailApplication of Shape Analysis on 3D Images - MRI of Renal Tumors
Schiltz, Jang UL; Giebel, Stefan; Graf, Norbert et al

in Journal of the Iranian Statistical Society (2012), 11(2), 131-146

The image recognotion and the classification of objects according to the images are more in focus of interests, especially in medicine. A mathematical procedure allows us, not only to evaluate the amount ... [more ▼]

The image recognotion and the classification of objects according to the images are more in focus of interests, especially in medicine. A mathematical procedure allows us, not only to evaluate the amount of data per se, but also ensures that each image is processed similarly. Here in this study, we propose the power of shape analysis, in conjunction with neural networks for reducing white noise instead of searching an optimal metric, to support the user in his evaluation of MRI of renal tumors. Therapy of renal tumors in childhood bases on therapy optimizing SIOP(Society of Pediatric Oncology and Hematology)-study protocols in Europe. The most frequent tumor is the nephroblastoma. Other tumor entities in the retroperitoneum are clear cell sarcoma, renal cell carcinoma and extrarenal tumors, especially neuroblastoma. Radiological diagnosis is produced with the help of cross sectional imaging methods (computertomography CT or Magnetic Resonance Images MRI). Our research is the first mathematical approach on MRI of retroperitoneal tumors (n=108). We use MRI in 3 planes and evaluate their potential to differentiate other types of tumor by Statistical Shape Analysis. Statistical shape Analysis is a methology for analyzing shapes in the presence of randomness. It allows to study two- or more dimensional objects, summarized according to key points called landmarks, with a possible correction of size and position of the object. To get the shape of an object without information about position and size, centralisation and standardisation procedures are used in some metric space. This approach provides an objective methodology for classification whereas even today in many applications the decision for classifying according to the appearance seems at most intuitive. We determine the key points or three dimensional landmarks of retroperitoneal tumors in childhood by using the edges of the platonic body (C60) and test the difference between the groups (nephroblastoma versus non-nephroblastoma). [less ▲]

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See detailConditioned Higher Moment Portfolio Optimisation Using Optimal Control
Boissaux, Marc; Schiltz, Jang UL

E-print/Working paper (2012)

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See detailPractical Weight-Constrained Conditioned Portfolio Optimization Using Risk Aversion Indicator Signals
Schiltz, Jang UL; Boissaux, Marc

Scientific Conference (2012)

Within a traditional context of myopic discrete-time mean-variance portfolio optimisation, the problem of conditioned optimisation, in which predictive information about returns contained in a signal is ... [more ▼]

Within a traditional context of myopic discrete-time mean-variance portfolio optimisation, the problem of conditioned optimisation, in which predictive information about returns contained in a signal is used to inform the choice of portfolio weights, was rst expressed and solved in concrete terms by Ferson and Siegel ([1]). An optimal control formulation of conditioned portfolio problems was proposed and justi ed by Boissaux and Schiltz ([2]). This opens up the possibility of solving variants of the basic problem that do not allow for closed-form solutions through the use of standard numerical algorithms used for the discretisation of optimal control problems. The present paper contributes to the empirical literature on this topic. Risk aversion (or, equivalently, risk appetite) indicators, aiming to quantify di erent time-varying de nitions of investor attitudes toward risk, are both provided by nancial service providers and discussed in the academic literature - see e.g. Coudert and Gex ([3]). We compare the performance of strategies resulting from conditioned optimisation and using several possible indicators for signalling purposes, to that obtained using standard approaches to portfolio investment. In particular, we report on both ex ante improvements to the accessible e cient frontier as measured through the typical associated metrics such as the Sharpe ratio, and ex post results a ected, most notably, by speci cation errors regarding the relationship between signal and returns. We then discuss di erent problem parameters, examine their impact on performance and check whether signi cant ex post improvements may be achieved through optimal parameter selection. [less ▲]

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See detailOptimal mix of funded and unfunded pension systems: The case of Luxembourg
Guigou, Jean-Daniel UL; Lovat, Bruno; Schiltz, Jang UL

in Pensions : An International Journal (2012), 17(4), 208-222

Financing of the Luxembourg pension system is based on a pay-as-you-go (PAYG) system and hence on an intergenerational contract. As is the case for most other European countries, this system will be ... [more ▼]

Financing of the Luxembourg pension system is based on a pay-as-you-go (PAYG) system and hence on an intergenerational contract. As is the case for most other European countries, this system will be exposed to the effects of demographic ageing over the coming decades. The aim of this article is to develop a model that allows evaluating the effi ciency of a diversifi ed pension system fi nanced partly by a PAYG scheme and partly by capitalization. The efficiency is measured by the long-term sustainability of the system. We compare the sustainability of our model with the one of a pure PAYG system. [less ▲]

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See detailAnalysis of the salary distribution in Luxembourg - a finite mixture approach
Schiltz, Jang UL; Guigou, Jean-Daniel UL; Lovat, Bruno et al

Scientific Conference (2011, December 11)

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See detailBorderline Functioning and Life Trauma
Schiltz, Lony; Schiltz, Jang UL

Scientific Conference (2011, July 03)

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See detailPractical Weight-Constrained Conditioned Portfolio Optimisation Using Risk Aversion Indicator Signals
Boissaux, Marc; Schiltz, Jang UL

Scientific Conference (2011, May 25)

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See detailPractical weight-constrained condiitoned portfolio optimisation using risk aversion indicator signals
Boissaux, Marc; Schiltz, Jang UL

Scientific Conference (2011, March 18)

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See detailOn the efficiency of Risk measures for Funds of Hedge Funds
Laube, Falk UL; Schiltz, Jang UL; Terraza, Virginie UL

in Journal of Derivatives and Hedge Funds (2011), 17(1), 63-84

The hedge fund industry has experienced some very troublesome periods in the recent past. In this study, we test the efficiency of simple and advanced risk measures during these difficult market periods ... [more ▼]

The hedge fund industry has experienced some very troublesome periods in the recent past. In this study, we test the efficiency of simple and advanced risk measures during these difficult market periods according to the Basel II requirements. We concentrate on Fund of Hedge Fund (FoHF) data, as some studies propose that they suffer least from database and measurement biases, and are therefore likely to yield the most representative results compared to other alternative investment data. We examine model stability and risk measure efficiency using unconditional and conditional GMMbased and likelihood ratio tests, as well as independence tests.We find that model stability is very dependent on the successful specification of autoregressive and volatility models. In addition, custom quantile estimation is less susceptible to misspecification than volatility models. Further, we assess the hypothesis of market efficiency for the special case of FoHF. Finally, we find evidence of different level of managerial skill in terms of asset choice, allocation and market timing. [less ▲]

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See detailFunctional PLS regression with functional response: the basis expansion approach
Preda, Christian; Schiltz, Jang UL

in Proceedings of the 14th Applied Stochastic Models and Data Analysis Conference (2011)

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See detailAnalysis of the salary trajectories in Luxembourg : a finite mixture model approach
Guigou, Jean-Daniel UL; Lovat, Bruno; Schiltz, Jang UL

in Proceedings of the 1st International Conference on Stochastic Modeling Techniques and Data Analysis (2011)

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See detailOn the use of Neural Networks in Statistical Shape Analysis
Giebel, Stefan; Schenk, Jens-Peter; Schiltz, Jang UL

in Proceedings of the 1st International Conference on Stochastic Modeling Techniques and Data Analysis (2011)

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See detailPractical weight-constrained conditioned portfolio optimisation using risk aversion indicator signals
Boissaux, Marc; Schiltz, Jang UL

E-print/Working paper (2011)

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See detailWie nachhaltig ist das Luxemburger Rentensystem?
Guigou, Jean-Daniel UL; Schiltz, Jang UL

Article for general public (2010)

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See detailApplication of statistal shape analysis to the classification of renal tumours appearing in early childhood: the two and three-dimensional cases
Giebel, Stefan Markus; Schenk, Jens-Peter; Schiltz, Jang UL

Scientific Conference (2010, September 26)

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See detail3D-Formanalyse von retroperitonealen Tumoren im Kindesalter: entwicklung einer statistischen 2D/3D-Methodik und Anwendung dieser mit MRT-Datensätzen
Giebel, Stefan Markus; Nourkami, N.; Leuschner, I. et al

Scientific Conference (2010, September 18)

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See detailApplication of Shape Analysis on renal tumors
Giebel, Stefan Markus; Schenk, Jens-Peter; Schiltz, Jang UL

Scientific Conference (2010, August 04)

Detailed reference viewed: 130 (0 UL)