انجمن کامپیوتر ایران

Portfolio optimization under classic mean-variance framework of Markowitz must be revised as variance fails to be a good risk measure. This is especially true when the asset returns are not normal. In this paper, we utilize Value at Risk (VaR) as the risk measure and Historical Simulation (HS) is used to obtain an acceptable estimate of the VaR. Also, a well known multi-objective evolutionary approach is used to address the inherent bi-objective problem; In fact, NSGA-II is incorporated here. This method is tested on a set of past return data of 12 assets on Tehran Stock Exchange (TSE). A comparison of the obtained results, shows that the proposed method offers high quality solutions and a wide range of risk return trade-offs.

A watermarking method in DCT domain is modified to achieve better imperceptibility. Particle Swarm Optimization (PSO) is used to find the best DCT coefficients for embedding the watermark sequence and the Structural Similarity Index is used as the fitness function in order to have a watermarked image with the best possible quality.

Gender identification based on speech signal has become gradually a matter of concern in recent years. In this context 6 feature types including MFCC, LPC, RC, LAR, pitch values and formants are compared for automatic gender identification and three best feature types are selected using four feature selection techniques. These techniques are GMM, Decision Tree, Fisher’s Discriminant Ratio, and Volume of Overlap Region. A dimension reduction is done on the best three feature types and the best coefficients are then selected from each feature vector. Selected coefficients are evaluated for gender classification using three types of classifiers including GMM, SVM and MLP neural network. 96.09% gender identification performance was obtained as the best performance using the selected coefficients and MLP classifier.