A Discrete Stochastic Goal Program for Portfolio Selection: The Case of United Arab Emirates Equity Market
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Bibliographic record
Abstract
AbstractIn this paper we propose a stochastic goal programming approach to generate a satisfying portfolio for the United Arab Emirates (UAE) equity market. Under the assumption of non-normality of the equity returns, we propose utilizing stochastic goal programming by considering all or a number of scenarios. Some of the goals considered in our model are capital preservation (total returns), current income, and risk. The model is tested on the monthly equity data in UAE from 2002 to 2005. The model results are compared to the traditional Markowitz model covering all the criteria to evidence the superiority of stochastic goal programming for portfolio optimization.Keywords: Stochastic programminggoal programmingportfolio selection
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Full frame distilled prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.
Codex and Gemma teacher scores by category
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.001 | 0.000 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.000 | 0.000 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.000 | 0.001 |
| Open science | 0.000 | 0.000 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.000 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from it