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Sample records for multiobjective portfolio selection

  1. Applying the partitioned multiobjective risk method (PMRM) to portfolio selection.

    Science.gov (United States)

    Reyes Santos, Joost; Haimes, Yacov Y

    2004-06-01

    The analysis of risk-return tradeoffs and their practical applications to portfolio analysis paved the way for Modern Portfolio Theory (MPT), which won Harry Markowitz a 1992 Nobel Prize in Economics. A typical approach in measuring a portfolio's expected return is based on the historical returns of the assets included in a portfolio. On the other hand, portfolio risk is usually measured using volatility, which is derived from the historical variance-covariance relationships among the portfolio assets. This article focuses on assessing portfolio risk, with emphasis on extreme risks. To date, volatility is a major measure of risk owing to its simplicity and validity for relatively small asset price fluctuations. Volatility is a justified measure for stable market performance, but it is weak in addressing portfolio risk under aberrant market fluctuations. Extreme market crashes such as that on October 19, 1987 ("Black Monday") and catastrophic events such as the terrorist attack of September 11, 2001 that led to a four-day suspension of trading on the New York Stock Exchange (NYSE) are a few examples where measuring risk via volatility can lead to inaccurate predictions. Thus, there is a need for a more robust metric of risk. By invoking the principles of the extreme-risk-analysis method through the partitioned multiobjective risk method (PMRM), this article contributes to the modeling of extreme risks in portfolio performance. A measure of an extreme portfolio risk, denoted by f(4), is defined as the conditional expectation for a lower-tail region of the distribution of the possible portfolio returns. This article presents a multiobjective problem formulation consisting of optimizing expected return and f(4), whose solution is determined using Evolver-a software that implements a genetic algorithm. Under business-as-usual market scenarios, the results of the proposed PMRM portfolio selection model are found to be compatible with those of the volatility-based model

  2. Risk-Controlled Multiobjective Portfolio Selection Problem Using a Principle of Compromise

    Directory of Open Access Journals (Sweden)

    Takashi Hasuike

    2014-01-01

    Full Text Available This paper proposes a multiobjective portfolio selection problem with most probable random distribution derived from current market data and other random distributions of boom and recession under the risk-controlled parameters determined by an investor. The current market data and information include not only historical data but also interpretations of economists’ oral and linguistic information, and hence, the boom and recession are often caused by these nonnumeric data. Therefore, investors need to consider several situations from most probable condition to boom and recession and to avoid the risk less than the target return in each situation. Furthermore, it is generally difficult to set random distributions of these cases exactly. Therefore, a robust-based approach for portfolio selection problems using the only mean values and variances of securities is proposed as a multiobjective programming problem. In addition, an exact algorithm is developed to obtain an explicit optimal portfolio using a principle of compromise.

  3. An Evolutionary Algorithm for Multiobjective Fuzzy Portfolio Selection Models with Transaction Cost and Liquidity

    Directory of Open Access Journals (Sweden)

    Wei Yue

    2015-01-01

    Full Text Available The major issues for mean-variance-skewness models are the errors in estimations that cause corner solutions and low diversity in the portfolio. In this paper, a multiobjective fuzzy portfolio selection model with transaction cost and liquidity is proposed to maintain the diversity of portfolio. In addition, we have designed a multiobjective evolutionary algorithm based on decomposition of the objective space to maintain the diversity of obtained solutions. The algorithm is used to obtain a set of Pareto-optimal portfolios with good diversity and convergence. To demonstrate the effectiveness of the proposed model and algorithm, the performance of the proposed algorithm is compared with the classic MOEA/D and NSGA-II through some numerical examples based on the data of the Shanghai Stock Exchange Market. Simulation results show that our proposed algorithm is able to obtain better diversity and more evenly distributed Pareto front than the other two algorithms and the proposed model can maintain quite well the diversity of portfolio. The purpose of this paper is to deal with portfolio problems in the weighted possibilistic mean-variance-skewness (MVS and possibilistic mean-variance-skewness-entropy (MVS-E frameworks with transaction cost and liquidity and to provide different Pareto-optimal investment strategies as diversified as possible for investors at a time, rather than one strategy for investors at a time.

  4. Multi-objective possibilistic model for portfolio selection with transaction cost

    Science.gov (United States)

    Jana, P.; Roy, T. K.; Mazumder, S. K.

    2009-06-01

    In this paper, we introduce the possibilistic mean value and variance of continuous distribution, rather than probability distributions. We propose a multi-objective Portfolio based model and added another entropy objective function to generate a well diversified asset portfolio within optimal asset allocation. For quantifying any potential return and risk, portfolio liquidity is taken into account and a multi-objective non-linear programming model for portfolio rebalancing with transaction cost is proposed. The models are illustrated with numerical examples.

  5. Portfolio selection theory and wildlife management | Hearne | ORiON

    African Journals Online (AJOL)

    Portfolio selection theory and wildlife management. ... Abstract. With a strong commercial incentive driving the increase in game ranching in Southern Africa the need has come for more advanced management tools. ... Keywords: Portfolio selection, multi-objective optimisation, game ranching, wildlife management.

  6. Large-Scale Portfolio Optimization Using Multiobjective Evolutionary Algorithms and Preselection Methods

    Directory of Open Access Journals (Sweden)

    B. Y. Qu

    2017-01-01

    Full Text Available Portfolio optimization problems involve selection of different assets to invest in order to maximize the overall return and minimize the overall risk simultaneously. The complexity of the optimal asset allocation problem increases with an increase in the number of assets available to select from for investing. The optimization problem becomes computationally challenging when there are more than a few hundreds of assets to select from. To reduce the complexity of large-scale portfolio optimization, two asset preselection procedures that consider return and risk of individual asset and pairwise correlation to remove assets that may not potentially be selected into any portfolio are proposed in this paper. With these asset preselection methods, the number of assets considered to be included in a portfolio can be increased to thousands. To test the effectiveness of the proposed methods, a Normalized Multiobjective Evolutionary Algorithm based on Decomposition (NMOEA/D algorithm and several other commonly used multiobjective evolutionary algorithms are applied and compared. Six experiments with different settings are carried out. The experimental results show that with the proposed methods the simulation time is reduced while return-risk trade-off performances are significantly improved. Meanwhile, the NMOEA/D is able to outperform other compared algorithms on all experiments according to the comparative analysis.

  7. Portfolio Implementation Risk Management Using Evolutionary Multiobjective Optimization

    Directory of Open Access Journals (Sweden)

    David Quintana

    2017-10-01

    Full Text Available Portfolio management based on mean-variance portfolio optimization is subject to different sources of uncertainty. In addition to those related to the quality of parameter estimates used in the optimization process, investors face a portfolio implementation risk. The potential temporary discrepancy between target and present portfolios, caused by trading strategies, may expose investors to undesired risks. This study proposes an evolutionary multiobjective optimization algorithm aiming at regions with solutions more tolerant to these deviations and, therefore, more reliable. The proposed approach incorporates a user’s preference and seeks a fine-grained approximation of the most relevant efficient region. The computational experiments performed in this study are based on a cardinality-constrained problem with investment limits for eight broad-category indexes and 15 years of data. The obtained results show the ability of the proposed approach to address the robustness issue and to support decision making by providing a preferred part of the efficient set. The results reveal that the obtained solutions also exhibit a higher tolerance to prediction errors in asset returns and variance–covariance matrix.

  8. Multi-objective mean-variance-skewness model for generation portfolio allocation in electricity markets

    Energy Technology Data Exchange (ETDEWEB)

    Pindoriya, N.M.; Singh, S.N. [Department of Electrical Engineering, Indian Institute of Technology Kanpur, Kanpur 208016 (India); Singh, S.K. [Indian Institute of Management Lucknow, Lucknow 226013 (India)

    2010-10-15

    This paper proposes an approach for generation portfolio allocation based on mean-variance-skewness (MVS) model which is an extension of the classical mean-variance (MV) portfolio theory, to deal with assets whose return distribution is non-normal. The MVS model allocates portfolios optimally by considering the maximization of both the expected return and skewness of portfolio return while simultaneously minimizing the risk. Since, it is competing and conflicting non-smooth multi-objective optimization problem, this paper employed a multi-objective particle swarm optimization (MOPSO) based meta-heuristic technique to provide Pareto-optimal solution in a single simulation run. Using a case study of the PJM electricity market, the performance of the MVS portfolio theory based method and the classical MV method is compared. It has been found that the MVS portfolio theory based method can provide significantly better portfolios in the situation where non-normally distributed assets exist for trading. (author)

  9. Multi-objective mean-variance-skewness model for generation portfolio allocation in electricity markets

    International Nuclear Information System (INIS)

    Pindoriya, N.M.; Singh, S.N.; Singh, S.K.

    2010-01-01

    This paper proposes an approach for generation portfolio allocation based on mean-variance-skewness (MVS) model which is an extension of the classical mean-variance (MV) portfolio theory, to deal with assets whose return distribution is non-normal. The MVS model allocates portfolios optimally by considering the maximization of both the expected return and skewness of portfolio return while simultaneously minimizing the risk. Since, it is competing and conflicting non-smooth multi-objective optimization problem, this paper employed a multi-objective particle swarm optimization (MOPSO) based meta-heuristic technique to provide Pareto-optimal solution in a single simulation run. Using a case study of the PJM electricity market, the performance of the MVS portfolio theory based method and the classical MV method is compared. It has been found that the MVS portfolio theory based method can provide significantly better portfolios in the situation where non-normally distributed assets exist for trading. (author)

  10. Feature selection for portfolio optimization

    DEFF Research Database (Denmark)

    Bjerring, Thomas Trier; Ross, Omri; Weissensteiner, Alex

    2016-01-01

    Most portfolio selection rules based on the sample mean and covariance matrix perform poorly out-of-sample. Moreover, there is a growing body of evidence that such optimization rules are not able to beat simple rules of thumb, such as 1/N. Parameter uncertainty has been identified as one major....... While most of the diversification benefits are preserved, the parameter estimation problem is alleviated. We conduct out-of-sample back-tests to show that in most cases different well-established portfolio selection rules applied on the reduced asset universe are able to improve alpha relative...

  11. Portfolio selection with heavy tails

    NARCIS (Netherlands)

    Hyung, N.; Vries, de C.G.

    2007-01-01

    Consider the portfolio problem of choosing the mix between stocks and bonds under a downside risk constraint. Typically stock returns exhibit fatter tails than bonds corresponding to their greater downside risk. Downside risk criteria like the safety first criterion therefore often select corner

  12. Deformed exponentials and portfolio selection

    Science.gov (United States)

    Rodrigues, Ana Flávia P.; Guerreiro, Igor M.; Cavalcante, Charles Casimiro

    In this paper, we present a method for portfolio selection based on the consideration on deformed exponentials in order to generalize the methods based on the gaussianity of the returns in portfolio, such as the Markowitz model. The proposed method generalizes the idea of optimizing mean-variance and mean-divergence models and allows a more accurate behavior for situations where heavy-tails distributions are necessary to describe the returns in a given time instant, such as those observed in economic crises. Numerical results show the proposed method outperforms the Markowitz portfolio for the cumulated returns with a good convergence rate of the weights for the assets which are searched by means of a natural gradient algorithm.

  13. Portfolio optimization using fundamental indicators based on multi-objective EA

    CERN Document Server

    Silva, Antonio Daniel; Horta, Nuno

    2016-01-01

    This work presents a new approach to portfolio composition in the stock market. It incorporates a fundamental approach using financial ratios and technical indicators with a Multi-Objective Evolutionary Algorithms to choose the portfolio composition with two objectives the return and the risk. Two different chromosomes are used for representing different investment models with real constraints equivalents to the ones faced by managers of mutual funds, hedge funds, and pension funds. To validate the present solution two case studies are presented for the SP&500 for the period June 2010 until end of 2012. The simulations demonstrates that stock selection based on financial ratios is a combination that can be used to choose the best companies in operational terms, obtaining returns above the market average with low variances in their returns. In this case the optimizer found stocks with high return on investment in a conjunction with high rate of growth of the net income and a high profit margin. To obtain s...

  14. An Agent-Based Co-Evolutionary Multi-Objective Algorithm for Portfolio Optimization

    Directory of Open Access Journals (Sweden)

    Rafał Dreżewski

    2017-08-01

    Full Text Available Algorithms based on the process of natural evolution are widely used to solve multi-objective optimization problems. In this paper we propose the agent-based co-evolutionary algorithm for multi-objective portfolio optimization. The proposed technique is compared experimentally to the genetic algorithm, co-evolutionary algorithm and a more classical approach—the trend-following algorithm. During the experiments historical data from the Warsaw Stock Exchange is used in order to assess the performance of the compared algorithms. Finally, we draw some conclusions from these experiments, showing the strong and weak points of all the techniques.

  15. The Formation of Optimal Portfolio of Mutual Shares Funds using Multi-Objective Genetic Algorithm

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    Yandra Arkeman

    2013-09-01

    Full Text Available Investments in financial assets have become a trend in the globalization era, especially the investment in mutual fund shares. Investors who want to invest in stock mutual funds can set up an investment portfolio in order to generate a minimal risk and maximum return. In this study the authors used the Multi-Objective Genetic Algorithm Non-dominated Sorting II (MOGA NSGA-II technique with the Markowitz portfolio principle to find the best portfolio from several mutual funds. The data used are 10 company stock mutual funds with a period of 12 months, 24 months and 36 months. The genetic algorithm parameters used are crossover probability of 0.65, mutation probability of 0.05, Generation 400 and a population numbering 20 individuals. The study produced a combination of the best portfolios for the period of 24 months with a computing time of 63,289 seconds.

  16. Multi-objective portfolio optimization of mutual funds under downside risk measure using fuzzy theory

    OpenAIRE

    M. Amiri; M. Zandieh; A. Alimi

    2012-01-01

    Mutual fund is one of the most popular techniques for many people to invest their funds where a professional fund manager invests people's funds based on some special predefined objectives; therefore, performance evaluation of mutual funds is an important problem. This paper proposes a multi-objective portfolio optimization to offer asset allocation. The proposed model clusters mutual funds with two methods based on six characteristics including rate of return, variance, semivariance, turnove...

  17. Robust portfolio selection under norm uncertainty

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    Lei Wang

    2016-06-01

    Full Text Available Abstract In this paper, we consider the robust portfolio selection problem which has a data uncertainty described by the ( p , w $(p,w$ -norm in the objective function. We show that the robust formulation of this problem is equivalent to a linear optimization problem. Moreover, we present some numerical results concerning our robust portfolio selection problem.

  18. Portfolio Manager Selection – A Case Study

    DEFF Research Database (Denmark)

    Christensen, Michael

    2017-01-01

    Within a delegated portfolio management setting, this paper presents a case study of how the manager selection process can be operationalized in practice. Investors have to pursue a thorough screening of potential portfolio managers in order to discover their quality, and this paper discusses how...

  19. IT Portfolio Selection and IT Synergy

    Science.gov (United States)

    Cho, Woo Je

    2010-01-01

    This dissertation consists of three chapters. The primary objectives of this dissertation are: (1) to provide a methodological framework of IT (Information Technology) portfolio management, and (2) to identify the effect of IT synergy on IT portfolio selection of a firm. The first chapter presents a methodological framework for IT project…

  20. Portfolio Selection with Jumps under Regime Switching

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    Lin Zhao

    2010-01-01

    Full Text Available We investigate a continuous-time version of the mean-variance portfolio selection model with jumps under regime switching. The portfolio selection is proposed and analyzed for a market consisting of one bank account and multiple stocks. The random regime switching is assumed to be independent of the underlying Brownian motion and jump processes. A Markov chain modulated diffusion formulation is employed to model the problem.

  1. Multi-objective portfolio optimization of mutual funds under downside risk measure using fuzzy theory

    Directory of Open Access Journals (Sweden)

    M. Amiri

    2012-10-01

    Full Text Available Mutual fund is one of the most popular techniques for many people to invest their funds where a professional fund manager invests people's funds based on some special predefined objectives; therefore, performance evaluation of mutual funds is an important problem. This paper proposes a multi-objective portfolio optimization to offer asset allocation. The proposed model clusters mutual funds with two methods based on six characteristics including rate of return, variance, semivariance, turnover rate, Treynor index and Sharpe index. Semivariance is used as a downside risk measure. The proposed model of this paper uses fuzzy variables for return rate and semivariance. A multi-objective fuzzy mean-semivariance portfolio optimization model is implemented and fuzzy programming technique is adopted to solve the resulted problem. The proposed model of this paper has gathered the information of mutual fund traded on Nasdaq from 2007 to 2009 and Pareto optimal solutions are obtained considering different weights for objective functions. The results of asset allocation, rate of return and risk of each cluster are also determined and they are compared with the results of two clustering methods.

  2. Portfolio Selection with Heavy Tails

    NARCIS (Netherlands)

    N. Hyung (Namwon); C.G. de Vries (Casper)

    2004-01-01

    textabstractConsider the portfolio problem of choosing the mix between stocks and bonds under a downside risk constraint. Typically stock returns exhibit fatter tails than bonds corresponding to their greater downside risk. Downside risk criteria like the safety first criterion therefore of ten

  3. A multiobjective optimization model for optimal supplier selection in multiple sourcing environment

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    M. K. Mehlawat

    2014-06-01

    Full Text Available Supplier selection is an important concern of a firm’s competitiveness, more so in the context of the imperative of supply-chain management. In this paper, we use an approach to a multiobjective supplier selection problem in which the emphasis is on building supplier portfolios. The supplier evaluation and order allocation is based upon the criteria of expected unit price, expected score of quality and expected score of delivery. A fuzzy approach is proposed that relies on nonlinear S-shape membership functions to generate different efficient supplier portfolios. Numerical experiments conducted on a data set of a multinational company are provided to demonstrate the applicability and efficiency of the proposed approach to real-world applications of supplier selection

  4. Portfolio selection using genetic algorithms | Yahaya | International ...

    African Journals Online (AJOL)

    In this paper, one of the nature-inspired evolutionary algorithms – a Genetic Algorithms (GA) was used in solving the portfolio selection problem (PSP). Based on a real dataset from a popular stock market, the performance of the algorithm in relation to those obtained from one of the popular quadratic programming (QP) ...

  5. Portfolio Selection Using Level Crossing Analysis

    Science.gov (United States)

    Bolgorian, Meysam; Shirazi, A. H.; Jafari, G. R.

    Asset allocation is one of the most important and also challenging issues in finance. In this paper using level crossing analysis we introduce a new approach for portfolio selection. We introduce a portfolio index that is obtained based on minimizing the waiting time to receive known return and risk values. By the waiting time, we mean time that a special level is observed in average. The advantage of this approach is that the investors are able to set their goals based on gaining return and knowing the average waiting time and risk value at the same time. As an example we use our model for forming portfolio of stocks in Tehran Stock Exchange (TSE).

  6. Comparison of Portfolio Selection and Performance: Shari’ah-Compliant and Socially Responsible Investment Portfolios

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    Mehmet Asutay

    2015-04-01

    Full Text Available This study examines the effect of Islamic screening criteria on Shari’ah-compliant portfolio selection and performance compared to Socially Responsible Investment (SRI portfolio. Each portfolio constructed from 15 stocks based on FTSE 100 using data from year 1997. Mean-variance portfolio optimization is employed with some financial ratios added as constraints for the Shari’ah portfolio. Annual expected return of each portfolio from 2008 to 2013 is used to calculate Sharpe’s ratio, Treynor ratio and Jensen’s alpha as the performance measurement tools. Macroeconomic variables are assessed using ordinary least square to examine whether they influence the portfolios’ expected returns or not. The result finds that Shari’ah portfolio has a better performance than SRI from year 2008 to 2010 shown by higher value of the measurement tools. However, from 2011 to 2013, SRI portfolio has better performance than Shari’ah portfolio

  7. Selection of a portfolio of R & D projects

    NARCIS (Netherlands)

    Casault, Sébastien; Groen, Arend J.; Linton, J.D.; Linton, Jonathan; Link, A.N.; Vonortas, N.S.

    2013-01-01

    While portfolios of research are increasingly discussed, a portfolio perspective is infrequently taken when selecting two or more projects. Consequently, this chapter considers the current state of knowledge in project and portfolio selection, identifies why we can and cannot apply knowledge from

  8. Portfolio selection theory and wildlife management

    Directory of Open Access Journals (Sweden)

    JW Hearne

    2008-12-01

    Full Text Available With a strong commercial incentive driving the increase in game ranching in Southern Africa the need has come for more advanced management tools. In this paper the potential of Portfolio Selection Theory to determine the optimal mix of species on game ranches is explored. Land, or the food it produces, is a resource available to invest. We consider species as investment choices. Each species has its own return and risk profile. The question arises as to what proportion of the resource available should be invested in each species. We show that if the objective is to minimise risk for a given return, then the problem is analogous to the Portfolio Selection Problem. The method is then implemented for a typical game ranch. We show that besides risk and return objectives, it is necessary to include an additional objective so as to ensure sufficient species to maintain the character of a game ranch. Some other points of difference from the classical Portfolio Selection problem are also highlighted and discussed.

  9. Parametric Portfolio Selection: Evaluating and Comparing to Markowitz Portfolios

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    Marcelo C. Medeiros

    2014-10-01

    Full Text Available In this paper we exploit the parametric portfolio optimization in the Brazilian market. Our data consists of monthly returns of 306 Brazilian stocks in the period between 2001 and 2013. We tested the model both in and out of sample and compared the results with the value and equal weighted portfolios and with a Markowitz based portfolio. We performed statistical inference in the parametric optimization using bootstrap techniques in order to build the parameters empirical distributions. Our results showed that the parametric optimization is a very efficient technique out of sample. It consistently showed superior results when compared with the VW, EW and Markowitz portfolios even when transaction costs were included. Finally, we consider the parametric approach to be very flexible to the inclusion of constraints in weights, transaction costs and listing and delisting of stocks.

  10. Log-Optimal Portfolio Selection Using the Blackwell Approachability Theorem

    OpenAIRE

    V'yugin, Vladimir

    2014-01-01

    We present a method for constructing the log-optimal portfolio using the well-calibrated forecasts of market values. Dawid's notion of calibration and the Blackwell approachability theorem are used for computing well-calibrated forecasts. We select a portfolio using this "artificial" probability distribution of market values. Our portfolio performs asymptotically at least as well as any stationary portfolio that redistributes the investment at each round using a continuous function of side in...

  11. Automatic Trading Agent. RMT Based Portfolio Theory and Portfolio Selection

    Science.gov (United States)

    Snarska, M.; Krzych, J.

    2006-11-01

    Portfolio theory is a very powerful tool in the modern investment theory. It is helpful in estimating risk of an investor's portfolio, arosen from lack of information, uncertainty and incomplete knowledge of reality, which forbids a perfect prediction of future price changes. Despite of many advantages this tool is not known and not widely used among investors on Warsaw Stock Exchange. The main reason for abandoning this method is a high level of complexity and immense calculations. The aim of this paper is to introduce an automatic decision-making system, which allows a single investor to use complex methods of Modern Portfolio Theory (MPT). The key tool in MPT is an analysis of an empirical covariance matrix. This matrix, obtained from historical data, biased by such a high amount of statistical uncertainty, that it can be seen as random. By bringing into practice the ideas of Random Matrix Theory (RMT), the noise is removed or significantly reduced, so the future risk and return are better estimated and controlled. These concepts are applied to the Warsaw Stock Exchange Simulator {http://gra.onet.pl}. The result of the simulation is 18% level of gains in comparison with respective 10% loss of the Warsaw Stock Exchange main index WIG.

  12. Behavioral optimization models for multicriteria portfolio selection

    Directory of Open Access Journals (Sweden)

    Mehlawat Mukesh Kumar

    2013-01-01

    Full Text Available In this paper, behavioral construct of suitability is used to develop a multicriteria decision making framework for portfolio selection. To achieve this purpose, we rely on multiple methodologies. Analytical hierarchy process technique is used to model the suitability considerations with a view to obtaining the suitability performance score in respect of each asset. A fuzzy multiple criteria decision making method is used to obtain the financial quality score of each asset based upon investor's rating on the financial criteria. Two optimization models are developed for optimal asset allocation considering simultaneously financial and suitability criteria. An empirical study is conducted on randomly selected assets from National Stock Exchange, Mumbai, India to demonstrate the effectiveness of the proposed methodology.

  13. Optimal Portfolio Selection Under Concave Price Impact

    International Nuclear Information System (INIS)

    Ma Jin; Song Qingshuo; Xu Jing; Zhang Jianfeng

    2013-01-01

    In this paper we study an optimal portfolio selection problem under instantaneous price impact. Based on some empirical analysis in the literature, we model such impact as a concave function of the trading size when the trading size is small. The price impact can be thought of as either a liquidity cost or a transaction cost, but the concavity nature of the cost leads to some fundamental difference from those in the existing literature. We show that the problem can be reduced to an impulse control problem, but without fixed cost, and that the value function is a viscosity solution to a special type of Quasi-Variational Inequality (QVI). We also prove directly (without using the solution to the QVI) that the optimal strategy exists and more importantly, despite the absence of a fixed cost, it is still in a “piecewise constant” form, reflecting a more practical perspective.

  14. Optimal Portfolio Selection Under Concave Price Impact

    Energy Technology Data Exchange (ETDEWEB)

    Ma Jin, E-mail: jinma@usc.edu [University of Southern California, Department of Mathematics (United States); Song Qingshuo, E-mail: songe.qingshuo@cityu.edu.hk [City University of Hong Kong, Department of Mathematics (Hong Kong); Xu Jing, E-mail: xujing8023@yahoo.com.cn [Chongqing University, School of Economics and Business Administration (China); Zhang Jianfeng, E-mail: jianfenz@usc.edu [University of Southern California, Department of Mathematics (United States)

    2013-06-15

    In this paper we study an optimal portfolio selection problem under instantaneous price impact. Based on some empirical analysis in the literature, we model such impact as a concave function of the trading size when the trading size is small. The price impact can be thought of as either a liquidity cost or a transaction cost, but the concavity nature of the cost leads to some fundamental difference from those in the existing literature. We show that the problem can be reduced to an impulse control problem, but without fixed cost, and that the value function is a viscosity solution to a special type of Quasi-Variational Inequality (QVI). We also prove directly (without using the solution to the QVI) that the optimal strategy exists and more importantly, despite the absence of a fixed cost, it is still in a 'piecewise constant' form, reflecting a more practical perspective.

  15. An Artificial Bee Colony Algorithm for Uncertain Portfolio Selection

    OpenAIRE

    Chen, Wei

    2014-01-01

    Portfolio selection is an important issue for researchers and practitioners. In this paper, under the assumption that security returns are given by experts’ evaluations rather than historical data, we discuss the portfolio adjusting problem which takes transaction costs and diversification degree of portfolio into consideration. Uncertain variables are employed to describe the security returns. In the proposed mean-variance-entropy model, the uncertain mean value of the return is ...

  16. Vast Portfolio Selection with Gross-exposure Constraints().

    Science.gov (United States)

    Fan, Jianqing; Zhang, Jingjin; Yu, Ke

    2012-01-01

    We introduce the large portfolio selection using gross-exposure constraints. We show that with gross-exposure constraint the empirically selected optimal portfolios based on estimated covariance matrices have similar performance to the theoretical optimal ones and there is no error accumulation effect from estimation of vast covariance matrices. This gives theoretical justification to the empirical results in Jagannathan and Ma (2003). We also show that the no-short-sale portfolio can be improved by allowing some short positions. The applications to portfolio selection, tracking, and improvements are also addressed. The utility of our new approach is illustrated by simulation and empirical studies on the 100 Fama-French industrial portfolios and the 600 stocks randomly selected from Russell 3000.

  17. Learning to Select Supplier Portfolios for Service Supply Chain.

    Science.gov (United States)

    Zhang, Rui; Li, Jingfei; Wu, Shaoyu; Meng, Dabin

    2016-01-01

    The research on service supply chain has attracted more and more focus from both academia and industrial community. In a service supply chain, the selection of supplier portfolio is an important and difficult problem due to the fact that a supplier portfolio may include multiple suppliers from a variety of fields. To address this problem, we propose a novel supplier portfolio selection method based on a well known machine learning approach, i.e., Ranking Neural Network (RankNet). In the proposed method, we regard the problem of supplier portfolio selection as a ranking problem, which integrates a large scale of decision making features into a ranking neural network. Extensive simulation experiments are conducted, which demonstrate the feasibility and effectiveness of the proposed method. The proposed supplier portfolio selection model can be applied in a real corporation easily in the future.

  18. Vast Portfolio Selection with Gross-exposure Constraints*

    Science.gov (United States)

    Fan, Jianqing; Zhang, Jingjin; Yu, Ke

    2012-01-01

    We introduce the large portfolio selection using gross-exposure constraints. We show that with gross-exposure constraint the empirically selected optimal portfolios based on estimated covariance matrices have similar performance to the theoretical optimal ones and there is no error accumulation effect from estimation of vast covariance matrices. This gives theoretical justification to the empirical results in Jagannathan and Ma (2003). We also show that the no-short-sale portfolio can be improved by allowing some short positions. The applications to portfolio selection, tracking, and improvements are also addressed. The utility of our new approach is illustrated by simulation and empirical studies on the 100 Fama-French industrial portfolios and the 600 stocks randomly selected from Russell 3000. PMID:23293404

  19. Maximizing Consensus in Portfolio Selection in Multicriteria Group Decision Making

    NARCIS (Netherlands)

    Michael, Emmerich T. M.; Deutz, A.H.; Li, L.; Asep, Maulana A.; Yevseyeva, I.

    2016-01-01

    This paper deals with a scenario of decision making where a moderator selects a (sub)set (aka portfolio) of decision alternatives from a larger set. The larger the number of decision makers who agree on a solution in the portfolio the more successful the moderator is. We assume that decision makers

  20. Uncertain Portfolio Selection with Background Risk and Liquidity Constraint

    Directory of Open Access Journals (Sweden)

    Jia Zhai

    2017-01-01

    Full Text Available This paper discusses an uncertain portfolio selection problem with consideration of background risk and asset liquidity. In addition, the transaction costs are also considered. The security returns, background asset return, and asset liquidity are estimated by experienced experts instead of historical data. Regarding them as uncertain variables, a mean-risk model with background risk, liquidity, and transaction costs is proposed for portfolio selection and the crisp forms of the model are provided when security returns obey different uncertainty distributions. Moreover, for better understanding of the impact of background risk and liquidity on portfolio selection, some important theorems are proved. Finally, numerical experiments are presented to illustrate the modeling idea.

  1. Generalizable open source urban water portfolio simulation framework demonstrated using a multi-objective risk-based planning benchmark problem.

    Science.gov (United States)

    Trindade, B. C.; Reed, P. M.

    2017-12-01

    The growing access and reduced cost for computing power in recent years has promoted rapid development and application of multi-objective water supply portfolio planning. As this trend continues there is a pressing need for flexible risk-based simulation frameworks and improved algorithm benchmarking for emerging classes of water supply planning and management problems. This work contributes the Water Utilities Management and Planning (WUMP) model: a generalizable and open source simulation framework designed to capture how water utilities can minimize operational and financial risks by regionally coordinating planning and management choices, i.e. making more efficient and coordinated use of restrictions, water transfers and financial hedging combined with possible construction of new infrastructure. We introduce the WUMP simulation framework as part of a new multi-objective benchmark problem for planning and management of regionally integrated water utility companies. In this problem, a group of fictitious water utilities seek to balance the use of the mentioned reliability driven actions (e.g., restrictions, water transfers and infrastructure pathways) and their inherent financial risks. Several traits of this problem make it ideal for a benchmark problem, namely the presence of (1) strong non-linearities and discontinuities in the Pareto front caused by the step-wise nature of the decision making formulation and by the abrupt addition of storage through infrastructure construction, (2) noise due to the stochastic nature of the streamflows and water demands, and (3) non-separability resulting from the cooperative formulation of the problem, in which decisions made by stakeholder may substantially impact others. Both the open source WUMP simulation framework and its demonstration in a challenging benchmarking example hold value for promoting broader advances in urban water supply portfolio planning for regions confronting change.

  2. ADAPTIVE SELECTION OF AUXILIARY OBJECTIVES IN MULTIOBJECTIVE EVOLUTIONARY ALGORITHMS

    Directory of Open Access Journals (Sweden)

    I. A. Petrova

    2016-05-01

    Full Text Available Subject of Research.We propose to modify the EA+RL method, which increases efficiency of evolutionary algorithms by means of auxiliary objectives. The proposed modification is compared to the existing objective selection methods on the example of travelling salesman problem. Method. In the EA+RL method a reinforcement learning algorithm is used to select an objective – the target objective or one of the auxiliary objectives – at each iteration of the single-objective evolutionary algorithm.The proposed modification of the EA+RL method adopts this approach for the usage with a multiobjective evolutionary algorithm. As opposed to theEA+RL method, in this modification one of the auxiliary objectives is selected by reinforcement learning and optimized together with the target objective at each step of the multiobjective evolutionary algorithm. Main Results.The proposed modification of the EA+RL method was compared to the existing objective selection methods on the example of travelling salesman problem. In the EA+RL method and its proposed modification reinforcement learning algorithms for stationary and non-stationary environment were used. The proposed modification of the EA+RL method applied with reinforcement learning for non-stationary environment outperformed the considered objective selection algorithms on the most problem instances. Practical Significance. The proposed approach increases efficiency of evolutionary algorithms, which may be used for solving discrete NP-hard optimization problems. They are, in particular, combinatorial path search problems and scheduling problems.

  3. Two-Stage Fuzzy Portfolio Selection Problem with Transaction Costs

    OpenAIRE

    Chen, Yanju; Wang, Ye

    2015-01-01

    This paper studies a two-period portfolio selection problem. The problem is formulated as a two-stage fuzzy portfolio selection model with transaction costs, in which the future returns of risky security are characterized by possibility distributions. The objective of the proposed model is to achieve the maximum utility in terms of the expected value and variance of the final wealth. Given the first-stage decision vector and a realization of fuzzy return, the optimal value expression of the s...

  4. Multi-Objective Parameter Selection for Classifers

    Directory of Open Access Journals (Sweden)

    Christoph Mussel

    2012-01-01

    Full Text Available Setting the free parameters of classifiers to different values can have a profound impact on their performance. For some methods, specialized tuning algorithms have been developed. These approaches mostly tune parameters according to a single criterion, such as the cross-validation error. However, it is sometimes desirable to obtain parameter values that optimize several concurrent - often conflicting - criteria. The TunePareto package provides a general and highly customizable framework to select optimal parameters for classifiers according to multiple objectives. Several strategies for sampling andoptimizing parameters are supplied. The algorithm determines a set of Pareto-optimal parameter configuration and leaves the ultimate decision on the weighting of objectives to the researcher. Decision support is provided by novel visualization techniques.

  5. Credit Portfolio Selection According to Sectors in Risky Environments: Markowitz Practice

    OpenAIRE

    Halim Kazan; Kültigin Uludag

    2014-01-01

    In this study, it was researched that how the rate of repayment of loans will be increased and how the credit risk will be minimized in banking sector, by using Markowitz Portfolio Theory. Construction, textile and wholesale and retail sectors were examined under the central bank data. Portfolio groups were selected and risks( variances of Portfolio groups) were evaluated according to Markowitz portfolio theory. Markowitz portfolio theory is effective than the other portfolio selection instru...

  6. Fuzzy Investment Portfolio Selection Models Based on Interval Analysis Approach

    Directory of Open Access Journals (Sweden)

    Haifeng Guo

    2012-01-01

    Full Text Available This paper employs fuzzy set theory to solve the unintuitive problem of the Markowitz mean-variance (MV portfolio model and extend it to a fuzzy investment portfolio selection model. Our model establishes intervals for expected returns and risk preference, which can take into account investors' different investment appetite and thus can find the optimal resolution for each interval. In the empirical part, we test this model in Chinese stocks investment and find that this model can fulfill different kinds of investors’ objectives. Finally, investment risk can be decreased when we add investment limit to each stock in the portfolio, which indicates our model is useful in practice.

  7. Developing a framework for energy technology portfolio selection

    Science.gov (United States)

    Davoudpour, Hamid; Ashrafi, Maryam

    2012-11-01

    Today, the increased consumption of energy in world, in addition to the risk of quick exhaustion of fossil resources, has forced industrial firms and organizations to utilize energy technology portfolio management tools viewed both as a process of diversification of energy sources and optimal use of available energy sources. Furthermore, the rapid development of technologies, their increasing complexity and variety, and market dynamics have made the task of technology portfolio selection difficult. Considering high level of competitiveness, organizations need to strategically allocate their limited resources to the best subset of possible candidates. This paper presents the results of developing a mathematical model for energy technology portfolio selection at a R&D center maximizing support of the organization's strategy and values. The model balances the cost and benefit of the entire portfolio.

  8. Portfolio selection theory and wildlife management

    African Journals Online (AJOL)

    Theron and Van den Honert (2003) dealt with issues of risk and return in an agricultural context. ... By repeatedly solving (1) with different specified values of R an efficient frontier of portfolio .... the built–in solver of Microsoft® Excel [2].

  9. Fuzzy Portfolio Selection Problem with Different Borrowing and Lending Rates

    OpenAIRE

    Chen, Wei; Yang, Yiping; Ma, Hui

    2011-01-01

    As we know, borrowing and lending risk-free assets arise extensively in the theory and practice of finance. However, little study has ever investigated them in fuzzy portfolio problem. In this paper, the returns of each assets are assumed to be fuzzy variables, then following the mean-variance approach, a new possibilistic portfolio selection model with different interest rates for borrowing and lending is proposed, in which the possibilistic semiabsolute deviation of the return is used to...

  10. An artificial bee colony algorithm for uncertain portfolio selection.

    Science.gov (United States)

    Chen, Wei

    2014-01-01

    Portfolio selection is an important issue for researchers and practitioners. In this paper, under the assumption that security returns are given by experts' evaluations rather than historical data, we discuss the portfolio adjusting problem which takes transaction costs and diversification degree of portfolio into consideration. Uncertain variables are employed to describe the security returns. In the proposed mean-variance-entropy model, the uncertain mean value of the return is used to measure investment return, the uncertain variance of the return is used to measure investment risk, and the entropy is used to measure diversification degree of portfolio. In order to solve the proposed model, a modified artificial bee colony (ABC) algorithm is designed. Finally, a numerical example is given to illustrate the modelling idea and the effectiveness of the proposed algorithm.

  11. Stock portfolio selection using Dempster–Shafer evidence theory

    Directory of Open Access Journals (Sweden)

    Gour Sundar Mitra Thakur

    2018-04-01

    Full Text Available Markowitz’s return–risk model for stock portfolio selection is based on the historical return data of assets. In addition to the effect of historical return, there are many other critical factors which directly or indirectly influence the stock market. We use the fuzzy Delphi method to identify the critical factors initially. Factors having lower correlation coefficients are finally considered for further consideration. The critical factors and historical data are used to apply Dempster–Shafer evidence theory to rank the stocks. Then, a portfolio selection model that prefers stocks with higher rank is proposed. Illustration is done using stocks under Bombay Stock Exchange (BSE. Simulation is done by Ant Colony Optimization. The performance of the outcome is found satisfactory when compared with recent performance of the assets. Keywords: Stock portfolio selection, Ranking, Dempster–Shafer evidence theory, Ant Colony Optimization, Fuzzy Delphi method

  12. Diversified models for portfolio selection based on uncertain semivariance

    Science.gov (United States)

    Chen, Lin; Peng, Jin; Zhang, Bo; Rosyida, Isnaini

    2017-02-01

    Since the financial markets are complex, sometimes the future security returns are represented mainly based on experts' estimations due to lack of historical data. This paper proposes a semivariance method for diversified portfolio selection, in which the security returns are given subjective to experts' estimations and depicted as uncertain variables. In the paper, three properties of the semivariance of uncertain variables are verified. Based on the concept of semivariance of uncertain variables, two types of mean-semivariance diversified models for uncertain portfolio selection are proposed. Since the models are complex, a hybrid intelligent algorithm which is based on 99-method and genetic algorithm is designed to solve the models. In this hybrid intelligent algorithm, 99-method is applied to compute the expected value and semivariance of uncertain variables, and genetic algorithm is employed to seek the best allocation plan for portfolio selection. At last, several numerical examples are presented to illustrate the modelling idea and the effectiveness of the algorithm.

  13. PROJECT PORTFOLIO SELECTION COMPETENCES RESEARCH INUNIVERSITIES OF LITHUANIA

    OpenAIRE

    R #363;ta #268;iutien #279;; Evelina Meilien #279;; Bronius Neverauskas

    2011-01-01

    As a result of the theoretical findings, the paperdemonstrates that projectportfolio selection is crucial project management problem. Successful ProjectPortfolio management requires specific competences.Every project of projectportfolio must be evaluated according to the basedcriteria and parameters.Empirical study was based on framework matrix withfour parameters of projectportfolio selection and only two phases of projectportfolio formation. The r...

  14. Mean-Coherent Risk and Mean-Variance Approaches in Portfolio Selection : An Empirical Comparison

    NARCIS (Netherlands)

    Polbennikov, S.Y.; Melenberg, B.

    2005-01-01

    We empirically analyze the implementation of coherent risk measures in portfolio selection.First, we compare optimal portfolios obtained through mean-coherent risk optimization with corresponding mean-variance portfolios.We find that, even for a typical portfolio of equities, the outcomes can be

  15. Optimal portfolio selection for general provisioning and terminal wealth problems

    NARCIS (Netherlands)

    van Weert, K.; Dhaene, J.; Goovaerts, M.

    2010-01-01

    In Dhaene et al. (2005), multiperiod portfolio selection problems are discussed, using an analytical approach to find optimal constant mix investment strategies in a provisioning or a savings context. In this paper we extend some of these results, investigating some specific, real-life situations.

  16. Optimal portfolio selection for general provisioning and terminal wealth problems

    NARCIS (Netherlands)

    van Weert, K.; Dhaene, J.; Goovaerts, M.

    2009-01-01

    In Dhaene et al. (2005), multiperiod portfolio selection problems are discussed, using an analytical approach to find optimal constant mix investment strategies in a provisioning or savings context. In this paper we extend some of these results, investigating some specific, real-life situations. The

  17. Optimal Portfolios in Wishart Models and Effects of Discrete Rebalancing on Portfolio Distribution and Strategy Selection

    OpenAIRE

    Li, Zejing

    2012-01-01

    This dissertation is mainly devoted to the research of two problems - the continuous-time portfolio optimization in different Wishart models and the effects of discrete rebalancing on portfolio wealth distribution and optimal portfolio strategy.

  18. Managing the Public Sector Research and Development Portfolio Selection Process: A Case Study of Quantitative Selection and Optimization

    Science.gov (United States)

    2016-09-01

    PUBLIC SECTOR RESEARCH & DEVELOPMENT PORTFOLIO SELECTION PROCESS: A CASE STUDY OF QUANTITATIVE SELECTION AND OPTIMIZATION by Jason A. Schwartz...PUBLIC SECTOR RESEARCH & DEVELOPMENT PORTFOLIO SELECTION PROCESS: A CASE STUDY OF QUANTITATIVE SELECTION AND OPTIMIZATION 5. FUNDING NUMBERS 6...describing how public sector organizations can implement a research and development (R&D) portfolio optimization strategy to maximize the cost

  19. Portfolio selection using ELECTRE III: Evidence from Tehran Stock Exchange

    Directory of Open Access Journals (Sweden)

    Aazam Shabani Vezmelai

    2015-04-01

    Full Text Available Ranking the companies can be a useful guide for investors to select an optimum portfolio. Tehran stock exchange (TSE uses liquidity criterion to rank the companies; however, this study shows that preferences of investors, the criteria they use to evaluate companies’ performances, and the extent to which ranking of companies based on investors’ criteria are in line with the ranking announced by the stock exchange. Since the criteria used for ranking the companies are various and often conflicting and because each multiple criteria technique has its own specific characteristics, various rankings are offered. Therefore, it is required to utilize multiple criteria decision making models to avoid confusion of investors. For this purpose, some companies were selected from 50 top companies listed in 2011 in TSE, which maintained the reliability of their ranks and finally, 20 companies were selected and were ranked based on investors’ criteria using EECTRE III Technique. The obtained ranking was then compared with the ranking offered by stock exchange. Research results indicate that ELECTRE III technique was a useful and efficient method to select a portfolio. Moreover, value-based criteria as well as accounting criteria are suitable and useful bases for investors to select a portfolio.

  20. Research on regularized mean-variance portfolio selection strategy with modified Roy safety-first principle.

    Science.gov (United States)

    Atta Mills, Ebenezer Fiifi Emire; Yan, Dawen; Yu, Bo; Wei, Xinyuan

    2016-01-01

    We propose a consolidated risk measure based on variance and the safety-first principle in a mean-risk portfolio optimization framework. The safety-first principle to financial portfolio selection strategy is modified and improved. Our proposed models are subjected to norm regularization to seek near-optimal stable and sparse portfolios. We compare the cumulative wealth of our preferred proposed model to a benchmark, S&P 500 index for the same period. Our proposed portfolio strategies have better out-of-sample performance than the selected alternative portfolio rules in literature and control the downside risk of the portfolio returns.

  1. Uncertain programming models for portfolio selection with uncertain returns

    Science.gov (United States)

    Zhang, Bo; Peng, Jin; Li, Shengguo

    2015-10-01

    In an indeterminacy economic environment, experts' knowledge about the returns of securities consists of much uncertainty instead of randomness. This paper discusses portfolio selection problem in uncertain environment in which security returns cannot be well reflected by historical data, but can be evaluated by the experts. In the paper, returns of securities are assumed to be given by uncertain variables. According to various decision criteria, the portfolio selection problem in uncertain environment is formulated as expected-variance-chance model and chance-expected-variance model by using the uncertainty programming. Within the framework of uncertainty theory, for the convenience of solving the models, some crisp equivalents are discussed under different conditions. In addition, a hybrid intelligent algorithm is designed in the paper to provide a general method for solving the new models in general cases. At last, two numerical examples are provided to show the performance and applications of the models and algorithm.

  2. Continuous-Time Mean-Variance Portfolio Selection under the CEV Process

    OpenAIRE

    Ma, Hui-qiang

    2014-01-01

    We consider a continuous-time mean-variance portfolio selection model when stock price follows the constant elasticity of variance (CEV) process. The aim of this paper is to derive an optimal portfolio strategy and the efficient frontier. The mean-variance portfolio selection problem is formulated as a linearly constrained convex program problem. By employing the Lagrange multiplier method and stochastic optimal control theory, we obtain the optimal portfolio strategy and mean-variance effici...

  3. Stock portfolio selection using Dempster–Shafer evidence theory

    OpenAIRE

    Mitra Thakur, Gour Sundar; Bhattacharyya, Rupak; Sarkar (Mondal), Seema

    2016-01-01

    Markowitz’s return–risk model for stock portfolio selection is based on the historical return data of assets. In addition to the effect of historical return, there are many other critical factors which directly or indirectly influence the stock market. We use the fuzzy Delphi method to identify the critical factors initially. Factors having lower correlation coefficients are finally considered for further consideration. The critical factors and historical data are used to apply Dempster–Shafe...

  4. Selecting Large Portfolios of Social Projects in Public Organizations

    Directory of Open Access Journals (Sweden)

    Igor Litvinchev

    2014-01-01

    Full Text Available We address the portfolio selection of social projects in public organizations considering interdependencies (synergies affecting project funds requirements and tasks. A mixed integer linear programming model is proposed incorporating the most relevant aspects of the problem found in the literature. The model supports both complete (all or nothing and partial (a certain amount from a given interval of funding resource allocation policies. Numerical results for large-scale problem instances are presented.

  5. Volatility forecasting for low-volatility portfolio selection in the US and the Korean equity markets

    Science.gov (United States)

    Kim, Saejoon

    2018-01-01

    We consider the problem of low-volatility portfolio selection which has been the subject of extensive research in the field of portfolio selection. To improve the currently existing techniques that rely purely on past information to select low-volatility portfolios, this paper investigates the use of time series regression techniques that make forecasts of future volatility to select the portfolios. In particular, for the first time, the utility of support vector regression and its enhancements as portfolio selection techniques is provided. It is shown that our regression-based portfolio selection provides attractive outperformances compared to the benchmark index and the portfolio defined by a well-known strategy on the data-sets of the S&P 500 and the KOSPI 200.

  6. Model to Estimate Monthly Time Horizons for Application of DEA in Selection of Stock Portfolio and for Maintenance of the Selected Portfolio

    Directory of Open Access Journals (Sweden)

    José Claudio Isaias

    2015-01-01

    Full Text Available In the selecting of stock portfolios, one type of analysis that has shown good results is Data Envelopment Analysis (DEA. It, however, has been shown to have gaps regarding its estimates of monthly time horizons of data collection for the selection of stock portfolios and of monthly time horizons for the maintenance of a selected portfolio. To better estimate these horizons, this study proposes a model of mathematical programming binary of minimization of square errors. This model is the paper’s main contribution. The model’s results are validated by simulating the estimated annual return indexes of a portfolio that uses both horizons estimated and of other portfolios that do not use these horizons. The simulation shows that portfolios with both horizons estimated have higher indexes, on average 6.99% per year. The hypothesis tests confirm the statistically significant superiority of the results of the proposed mathematical model’s indexes. The model’s indexes are also compared with portfolios that use just one of the horizons estimated; here the indexes of the dual-horizon portfolios outperform the single-horizon portfolios, though with a decrease in percentage of statistically significant superiority.

  7. Fuzzy Portfolio Selection Problem with Different Borrowing and Lending Rates

    Directory of Open Access Journals (Sweden)

    Wei Chen

    2011-01-01

    the returns of each assets are assumed to be fuzzy variables, then following the mean-variance approach, a new possibilistic portfolio selection model with different interest rates for borrowing and lending is proposed, in which the possibilistic semiabsolute deviation of the return is used to measure investment risk. The conventional probabilistic mean variance model can be transformed to a linear programming problem under possibility distributions. Finally, a numerical example is given to illustrate the modeling idea and the impact of borrowing and lending on optimal decision making.

  8. Portfolio Selection Based on Distance between Fuzzy Variables

    Directory of Open Access Journals (Sweden)

    Weiyi Qian

    2014-01-01

    Full Text Available This paper researches portfolio selection problem in fuzzy environment. We introduce a new simple method in which the distance between fuzzy variables is used to measure the divergence of fuzzy investment return from a prior one. Firstly, two new mathematical models are proposed by expressing divergence as distance, investment return as expected value, and risk as variance and semivariance, respectively. Secondly, the crisp forms of the new models are also provided for different types of fuzzy variables. Finally, several numerical examples are given to illustrate the effectiveness of the proposed approach.

  9. A Multiagent Evolutionary Algorithm for the Resource-Constrained Project Portfolio Selection and Scheduling Problem

    Directory of Open Access Journals (Sweden)

    Yongyi Shou

    2014-01-01

    Full Text Available A multiagent evolutionary algorithm is proposed to solve the resource-constrained project portfolio selection and scheduling problem. The proposed algorithm has a dual level structure. In the upper level a set of agents make decisions to select appropriate project portfolios. Each agent selects its project portfolio independently. The neighborhood competition operator and self-learning operator are designed to improve the agent’s energy, that is, the portfolio profit. In the lower level the selected projects are scheduled simultaneously and completion times are computed to estimate the expected portfolio profit. A priority rule-based heuristic is used by each agent to solve the multiproject scheduling problem. A set of instances were generated systematically from the widely used Patterson set. Computational experiments confirmed that the proposed evolutionary algorithm is effective for the resource-constrained project portfolio selection and scheduling problem.

  10. SU-F-R-10: Selecting the Optimal Solution for Multi-Objective Radiomics Model

    International Nuclear Information System (INIS)

    Zhou, Z; Folkert, M; Wang, J

    2016-01-01

    Purpose: To develop an evidential reasoning approach for selecting the optimal solution from a Pareto solution set obtained by a multi-objective radiomics model for predicting distant failure in lung SBRT. Methods: In the multi-objective radiomics model, both sensitivity and specificity are considered as the objective functions simultaneously. A Pareto solution set with many feasible solutions will be resulted from the multi-objective optimization. In this work, an optimal solution Selection methodology for Multi-Objective radiomics Learning model using the Evidential Reasoning approach (SMOLER) was proposed to select the optimal solution from the Pareto solution set. The proposed SMOLER method used the evidential reasoning approach to calculate the utility of each solution based on pre-set optimal solution selection rules. The solution with the highest utility was chosen as the optimal solution. In SMOLER, an optimal learning model coupled with clonal selection algorithm was used to optimize model parameters. In this study, PET, CT image features and clinical parameters were utilized for predicting distant failure in lung SBRT. Results: Total 126 solution sets were generated by adjusting predictive model parameters. Each Pareto set contains 100 feasible solutions. The solution selected by SMOLER within each Pareto set was compared to the manually selected optimal solution. Five-cross-validation was used to evaluate the optimal solution selection accuracy of SMOLER. The selection accuracies for five folds were 80.00%, 69.23%, 84.00%, 84.00%, 80.00%, respectively. Conclusion: An optimal solution selection methodology for multi-objective radiomics learning model using the evidential reasoning approach (SMOLER) was proposed. Experimental results show that the optimal solution can be found in approximately 80% cases.

  11. SU-F-R-10: Selecting the Optimal Solution for Multi-Objective Radiomics Model

    Energy Technology Data Exchange (ETDEWEB)

    Zhou, Z; Folkert, M; Wang, J [UT Southwestern Medical Center, Dallas, TX (United States)

    2016-06-15

    Purpose: To develop an evidential reasoning approach for selecting the optimal solution from a Pareto solution set obtained by a multi-objective radiomics model for predicting distant failure in lung SBRT. Methods: In the multi-objective radiomics model, both sensitivity and specificity are considered as the objective functions simultaneously. A Pareto solution set with many feasible solutions will be resulted from the multi-objective optimization. In this work, an optimal solution Selection methodology for Multi-Objective radiomics Learning model using the Evidential Reasoning approach (SMOLER) was proposed to select the optimal solution from the Pareto solution set. The proposed SMOLER method used the evidential reasoning approach to calculate the utility of each solution based on pre-set optimal solution selection rules. The solution with the highest utility was chosen as the optimal solution. In SMOLER, an optimal learning model coupled with clonal selection algorithm was used to optimize model parameters. In this study, PET, CT image features and clinical parameters were utilized for predicting distant failure in lung SBRT. Results: Total 126 solution sets were generated by adjusting predictive model parameters. Each Pareto set contains 100 feasible solutions. The solution selected by SMOLER within each Pareto set was compared to the manually selected optimal solution. Five-cross-validation was used to evaluate the optimal solution selection accuracy of SMOLER. The selection accuracies for five folds were 80.00%, 69.23%, 84.00%, 84.00%, 80.00%, respectively. Conclusion: An optimal solution selection methodology for multi-objective radiomics learning model using the evidential reasoning approach (SMOLER) was proposed. Experimental results show that the optimal solution can be found in approximately 80% cases.

  12. Properties of Risk Measures of Generalized Entropy in Portfolio Selection

    Directory of Open Access Journals (Sweden)

    Rongxi Zhou

    2017-12-01

    Full Text Available This paper systematically investigates the properties of six kinds of entropy-based risk measures: Information Entropy and Cumulative Residual Entropy in the probability space, Fuzzy Entropy, Credibility Entropy and Sine Entropy in the fuzzy space, and Hybrid Entropy in the hybridized uncertainty of both fuzziness and randomness. We discover that none of the risk measures satisfy all six of the following properties, which various scholars have associated with effective risk measures: Monotonicity, Translation Invariance, Sub-additivity, Positive Homogeneity, Consistency and Convexity. Measures based on Fuzzy Entropy, Credibility Entropy, and Sine Entropy all exhibit the same properties: Sub-additivity, Positive Homogeneity, Consistency, and Convexity. These measures based on Information Entropy and Hybrid Entropy, meanwhile, only exhibit Sub-additivity and Consistency. Cumulative Residual Entropy satisfies just Sub-additivity, Positive Homogeneity, and Convexity. After identifying these properties, we develop seven portfolio models based on different risk measures and made empirical comparisons using samples from both the Shenzhen Stock Exchange of China and the New York Stock Exchange of America. The comparisons show that the Mean Fuzzy Entropy Model performs the best among the seven models with respect to both daily returns and relative cumulative returns. Overall, these results could provide an important reference for both constructing effective risk measures and rationally selecting the appropriate risk measure under different portfolio selection conditions.

  13. Two-Stage Fuzzy Portfolio Selection Problem with Transaction Costs

    Directory of Open Access Journals (Sweden)

    Yanju Chen

    2015-01-01

    Full Text Available This paper studies a two-period portfolio selection problem. The problem is formulated as a two-stage fuzzy portfolio selection model with transaction costs, in which the future returns of risky security are characterized by possibility distributions. The objective of the proposed model is to achieve the maximum utility in terms of the expected value and variance of the final wealth. Given the first-stage decision vector and a realization of fuzzy return, the optimal value expression of the second-stage programming problem is derived. As a result, the proposed two-stage model is equivalent to a single-stage model, and the analytical optimal solution of the two-stage model is obtained, which helps us to discuss the properties of the optimal solution. Finally, some numerical experiments are performed to demonstrate the new modeling idea and the effectiveness. The computational results provided by the proposed model show that the more risk-averse investor will invest more wealth in the risk-free security. They also show that the optimal invested amount in risky security increases as the risk-free return decreases and the optimal utility increases as the risk-free return increases, whereas the optimal utility increases as the transaction costs decrease. In most instances the utilities provided by the proposed two-stage model are larger than those provided by the single-stage model.

  14. Construction of uncertainty sets for portfolio selection problems

    OpenAIRE

    Wiechers, Christof

    2011-01-01

    While modern portfolio theory grounds on the trade-off between portfolio return and portfolio variance to determine the optimal investment decision, postmodern portfolio theory uses downside risk measures instead of the variance. Prominent examples are given by the risk measures Value-at-Risk and its coherent extension, Conditional Value-at-Risk. When avoiding distributional assumptions on the process that generates the risky assets' returns, historical return data or expert knowledge remain ...

  15. The admissible portfolio selection problem with transaction costs and an improved PSO algorithm

    Science.gov (United States)

    Chen, Wei; Zhang, Wei-Guo

    2010-05-01

    In this paper, we discuss the portfolio selection problem with transaction costs under the assumption that there exist admissible errors on expected returns and risks of assets. We propose a new admissible efficient portfolio selection model and design an improved particle swarm optimization (PSO) algorithm because traditional optimization algorithms fail to work efficiently for our proposed problem. Finally, we offer a numerical example to illustrate the proposed effective approaches and compare the admissible portfolio efficient frontiers under different constraints.

  16. Mean-Variance Portfolio Selection with Margin Requirements

    Directory of Open Access Journals (Sweden)

    Yuan Zhou

    2013-01-01

    Full Text Available We study the continuous-time mean-variance portfolio selection problem in the situation when investors must pay margin for short selling. The problem is essentially a nonlinear stochastic optimal control problem because the coefficients of positive and negative parts of control variables are different. We can not apply the results of stochastic linearquadratic (LQ problem. Also the solution of corresponding Hamilton-Jacobi-Bellman (HJB equation is not smooth. Li et al. (2002 studied the case when short selling is prohibited; therefore they only need to consider the positive part of control variables, whereas we need to handle both the positive part and the negative part of control variables. The main difficulty is that the positive part and the negative part are not independent. The previous results are not directly applicable. By decomposing the problem into several subproblems we figure out the solutions of HJB equation in two disjoint regions and then prove it is the viscosity solution of HJB equation. Finally we formulate solution of optimal portfolio and the efficient frontier. We also present two examples showing how different margin rates affect the optimal solutions and the efficient frontier.

  17. Maslow Portfolio Selection for Individuals with Low Financial Sustainability

    Directory of Open Access Journals (Sweden)

    Zongxin Li

    2018-04-01

    Full Text Available In this paper, we extend Maslow’s need hierarchy theory and the two-level optimization approach by developing the framework of the Maslow portfolio selection model (MPSM by solving the two optimization problems to meet the need of individuals with low financial sustainability who prefer to satisfy their lower-level (safety need first, and, thereafter, look for higher-level (self-actualization need to maximize the optimal return. We illustrate our proposed model with real American stock data from the S&P index and conduct the out-of-sample analysis to compare the performance of our proposed Variance-CVaR (conditional value-at-risk MPSM with both traditional mean-variance and mean-CVaR models. Our empirical analysis shows that our proposed Variance-CVaR MPSM is not only sustainable, but also obtains the best out-of-sample performance in the sense that the optimal portfolios obtained by using our proposed Variance-CVaR MPSM obtain the highest cumulative returns in the out-of-sample period among the models used in our paper. We note that our proposed model is not only suitable to individuals with low financial sustainability, but also suitable to institutions or investors with high financial sustainability.

  18. The regional electricity generation mix in Scotland: A portfolio selection approach incorporating marine technologies

    International Nuclear Information System (INIS)

    Allan, Grant; Eromenko, Igor; McGregor, Peter; Swales, Kim

    2011-01-01

    Standalone levelised cost assessments of electricity supply options miss an important contribution that renewable and non-fossil fuel technologies can make to the electricity portfolio: that of reducing the variability of electricity costs, and their potentially damaging impact upon economic activity. Portfolio theory applications to the electricity generation mix have shown that renewable technologies, their costs being largely uncorrelated with non-renewable technologies, can offer such benefits. We look at the existing Scottish generation mix and examine drivers of changes out to 2020. We assess recent scenarios for the Scottish generation mix in 2020 against mean-variance efficient portfolios of electricity-generating technologies. Each of the scenarios studied implies a portfolio cost of electricity that is between 22% and 38% higher than the portfolio cost of electricity in 2007. These scenarios prove to be mean-variance 'inefficient' in the sense that, for example, lower variance portfolios can be obtained without increasing portfolio costs, typically by expanding the share of renewables. As part of extensive sensitivity analysis, we find that Wave and Tidal technologies can contribute to lower risk electricity portfolios, while not increasing portfolio cost. - Research Highlights: → Portfolio analysis of scenarios for Scotland's electricity generating mix in 2020. → Reveals potential inefficiencies of selecting mixes based on levelised cost alone. → Portfolio risk-reducing contribution of Wave and Tidal technologies assessed.

  19. The regional electricity generation mix in Scotland: A portfolio selection approach incorporating marine technologies

    Energy Technology Data Exchange (ETDEWEB)

    Allan, Grant, E-mail: grant.j.allan@strath.ac.u [Fraser of Allander Institute, Department of Economics, University of Strathclyde, Sir William Duncan Building, 130 Rottenrow, Glasgow G4 0GE (United Kingdom); Eromenko, Igor; McGregor, Peter [Fraser of Allander Institute, Department of Economics, University of Strathclyde, Sir William Duncan Building, 130 Rottenrow, Glasgow G4 0GE (United Kingdom); Swales, Kim [Department of Economics, University of Strathclyde, Sir William Duncan Building, 130 Rottenrow, Glasgow G4 0GE (United Kingdom)

    2011-01-15

    Standalone levelised cost assessments of electricity supply options miss an important contribution that renewable and non-fossil fuel technologies can make to the electricity portfolio: that of reducing the variability of electricity costs, and their potentially damaging impact upon economic activity. Portfolio theory applications to the electricity generation mix have shown that renewable technologies, their costs being largely uncorrelated with non-renewable technologies, can offer such benefits. We look at the existing Scottish generation mix and examine drivers of changes out to 2020. We assess recent scenarios for the Scottish generation mix in 2020 against mean-variance efficient portfolios of electricity-generating technologies. Each of the scenarios studied implies a portfolio cost of electricity that is between 22% and 38% higher than the portfolio cost of electricity in 2007. These scenarios prove to be mean-variance 'inefficient' in the sense that, for example, lower variance portfolios can be obtained without increasing portfolio costs, typically by expanding the share of renewables. As part of extensive sensitivity analysis, we find that Wave and Tidal technologies can contribute to lower risk electricity portfolios, while not increasing portfolio cost. - Research Highlights: {yields} Portfolio analysis of scenarios for Scotland's electricity generating mix in 2020. {yields} Reveals potential inefficiencies of selecting mixes based on levelised cost alone. {yields} Portfolio risk-reducing contribution of Wave and Tidal technologies assessed.

  20. Feature Selection using Multi-objective Genetic Algorith m: A Hybrid Approach

    OpenAIRE

    Ahuja, Jyoti; GJUST - Guru Jambheshwar University of Sciecne and Technology; Ratnoo, Saroj Dahiya; GJUST - Guru Jambheshwar University of Sciecne and Technology

    2015-01-01

    Feature selection is an important pre-processing task for building accurate and comprehensible classification models. Several researchers have applied filter, wrapper or hybrid approaches using genetic algorithms which are good candidates for optimization problems that involve large search spaces like in the case of feature selection. Moreover, feature selection is an inherently multi-objective problem with many competing objectives involving size, predictive power and redundancy of the featu...

  1. Discrete Analysis of Portfolio Selection with Optimal Stopping Time

    Directory of Open Access Journals (Sweden)

    Jianfeng Liang

    2009-01-01

    Full Text Available Most of the investments in practice are carried out without certain horizons. There are many factors to drive investment to a stop. In this paper, we consider a portfolio selection policy with market-related stopping time. Particularly, we assume that the investor exits the market once his wealth reaches a given investment target or falls below a bankruptcy threshold. Our objective is to minimize the expected time when the investment target is obtained, at the same time, we guarantee the probability that bankruptcy happens is no larger than a given level. We formulate the problem as a mix integer linear programming model and make analysis of the model by using a numerical example.

  2. NPD project portfolio selection using reinvestment strategy in competitive environment

    Directory of Open Access Journals (Sweden)

    Alireza Ghassemi

    2018-01-01

    Full Text Available This study aims to design a new model for selecting most fitting new product development projects in a pool of projects. To catch the best model, we assume new products will be introduced to the competitive markets. Also, we suppose the revenue yielded by completed projects can be reinvested on implementation of other projects. Other sources of financing are borrowing loans from banks and initial capital of the firm. These limited resources determine most evaluated projects to be performed. Several types of interactions among different projects are considered to make the chosen projects more like a portfolio. In addition, some numerical examples from the real world are provided to demonstrate the applicability of the proposed model. These examples show how the particular considerations in the suggested model affect the results.

  3. Multi-Objective Particle Swarm Optimization Approach for Cost-Based Feature Selection in Classification.

    Science.gov (United States)

    Zhang, Yong; Gong, Dun-Wei; Cheng, Jian

    2017-01-01

    Feature selection is an important data-preprocessing technique in classification problems such as bioinformatics and signal processing. Generally, there are some situations where a user is interested in not only maximizing the classification performance but also minimizing the cost that may be associated with features. This kind of problem is called cost-based feature selection. However, most existing feature selection approaches treat this task as a single-objective optimization problem. This paper presents the first study of multi-objective particle swarm optimization (PSO) for cost-based feature selection problems. The task of this paper is to generate a Pareto front of nondominated solutions, that is, feature subsets, to meet different requirements of decision-makers in real-world applications. In order to enhance the search capability of the proposed algorithm, a probability-based encoding technology and an effective hybrid operator, together with the ideas of the crowding distance, the external archive, and the Pareto domination relationship, are applied to PSO. The proposed PSO-based multi-objective feature selection algorithm is compared with several multi-objective feature selection algorithms on five benchmark datasets. Experimental results show that the proposed algorithm can automatically evolve a set of nondominated solutions, and it is a highly competitive feature selection method for solving cost-based feature selection problems.

  4. The multi-objective decision making methods based on MULTIMOORA and MOOSRA for the laptop selection problem

    Science.gov (United States)

    Aytaç Adalı, Esra; Tuş Işık, Ayşegül

    2017-06-01

    A decision making process requires the values of conflicting objectives for alternatives and the selection of the best alternative according to the needs of decision makers. Multi-objective optimization methods may provide solution for this selection. In this paper it is aimed to present the laptop selection problem based on MOORA plus full multiplicative form (MULTIMOORA) and multi-objective optimization on the basis of simple ratio analysis (MOOSRA) which are relatively new multi-objective optimization methods. The novelty of this paper is solving this problem with the MULTIMOORA and MOOSRA methods for the first time.

  5. [Location selection for Shenyang urban parks based on GIS and multi-objective location allocation model].

    Science.gov (United States)

    Zhou, Yuan; Shi, Tie-Mao; Hu, Yuan-Man; Gao, Chang; Liu, Miao; Song, Lin-Qi

    2011-12-01

    Based on geographic information system (GIS) technology and multi-objective location-allocation (LA) model, and in considering of four relatively independent objective factors (population density level, air pollution level, urban heat island effect level, and urban land use pattern), an optimized location selection for the urban parks within the Third Ring of Shenyang was conducted, and the selection results were compared with the spatial distribution of existing parks, aimed to evaluate the rationality of the spatial distribution of urban green spaces. In the location selection of urban green spaces in the study area, the factor air pollution was most important, and, compared with single objective factor, the weighted analysis results of multi-objective factors could provide optimized spatial location selection of new urban green spaces. The combination of GIS technology with LA model would be a new approach for the spatial optimizing of urban green spaces.

  6. Comparison of Optimal Portfolios Selected by Multicriterial Model Using Absolute and Relative Criteria Values

    Directory of Open Access Journals (Sweden)

    Branka Marasović

    2009-03-01

    Full Text Available In this paper we select an optimal portfolio on the Croatian capital market by using the multicriterial programming. In accordance with the modern portfolio theory maximisation of returns at minimal risk should be the investment goal of any successful investor. However, contrary to the expectations of the modern portfolio theory, the tests carried out on a number of financial markets reveal the existence of other indicators important in portfolio selection. Considering the importance of variables other than return and risk, selection of the optimal portfolio becomes a multicriterial problem which should be solved by using the appropriate techniques.In order to select an optimal portfolio, absolute values of criteria, like return, risk, price to earning value ratio (P/E, price to book value ratio (P/B and price to sale value ratio (P/S are included in our multicriterial model. However the problem might occur as the mean values of some criteria are significantly different for different sectors and because financial managers emphasize that comparison of the same criteria for different sectors could lead us to wrong conclusions. In the second part of the paper, relative values of previously stated criteria (in relation to mean value of sector are included in model for selecting optimal portfolio. Furthermore, the paper shows that if relative values of criteria are included in multicriterial model for selecting optimal portfolio, return in subsequent period is considerably higher than if absolute values of the same criteria were used.

  7. Portfolios with fuzzy returns: Selection strategies based on semi-infinite programming

    Science.gov (United States)

    Vercher, Enriqueta

    2008-08-01

    This paper provides new models for portfolio selection in which the returns on securities are considered fuzzy numbers rather than random variables. The investor's problem is to find the portfolio that minimizes the risk of achieving a return that is not less than the return of a riskless asset. The corresponding optimal portfolio is derived using semi-infinite programming in a soft framework. The return on each asset and their membership functions are described using historical data. The investment risk is approximated by mean intervals which evaluate the downside risk for a given fuzzy portfolio. This approach is illustrated with a numerical example.

  8. Selection of risk reduction portfolios under interval-valued probabilities

    International Nuclear Information System (INIS)

    Toppila, Antti; Salo, Ahti

    2017-01-01

    A central problem in risk management is that of identifying the optimal combination (or portfolio) of improvements that enhance the reliability of the system most through reducing failure event probabilities, subject to the availability of resources. This optimal portfolio can be sensitive with regard to epistemic uncertainties about the failure events' probabilities. In this paper, we develop an optimization model to support the allocation of resources to improvements that mitigate risks in coherent systems in which interval-valued probabilities defined by lower and upper bounds are employed to capture epistemic uncertainties. Decision recommendations are based on portfolio dominance: a resource allocation portfolio is dominated if there exists another portfolio that improves system reliability (i) at least as much for all feasible failure probabilities and (ii) strictly more for some feasible probabilities. Based on non-dominated portfolios, recommendations about improvements to implement are derived by inspecting in how many non-dominated portfolios a given improvement is contained. We present an exact method for computing the non-dominated portfolios. We also present an approximate method that simplifies the reliability function using total order interactions so that larger problem instances can be solved with reasonable computational effort. - Highlights: • Reliability allocation under epistemic uncertainty about probabilities. • Comparison of alternatives using dominance. • Computational methods for generating the non-dominated alternatives. • Deriving decision recommendations that are robust with respect to epistemic uncertainty.

  9. Portfolio selection between rational and behavioral theories emergent markets case

    Directory of Open Access Journals (Sweden)

    Bouri Abdelfatteh

    2012-08-01

    Full Text Available The aim of this paper is to explore the determinants of Portfolio Choice under the investors, professionals and academics’ perception. We introduce an approach based on cognitive mapping technique with a series of semi-directive interviews. Among a sample of 30 Tunisian individuals, we propose tow different frameworks: a mean-variance framework and a behavioral framework. Each framework is oriented to capture the effect of some concepts as proposed by the mean-variance portfolio theory and the behavioral portfolio theory on the portfolio choice decision. The originality of this research paper is guaranteed since it traits the behavioral portfolio choice in emergent markets. In the best of our knowledge this is the first study in the Tunisian context that explores such area of research. Ours results show that the Tunisian investors behave as it prescribed by the behavioral portfolio theory. They use some concepts proposed by the rational mean-variance theory of portfolio choice but they are affected by their emotions and some others cognitive bias when constructing and managing they portfolio of assets.

  10. Portfolio optimization for seed selection in diverse weather scenarios.

    Science.gov (United States)

    Marko, Oskar; Brdar, Sanja; Panić, Marko; Šašić, Isidora; Despotović, Danica; Knežević, Milivoje; Crnojević, Vladimir

    2017-01-01

    The aim of this work was to develop a method for selection of optimal soybean varieties for the American Midwest using data analytics. We extracted the knowledge about 174 varieties from the dataset, which contained information about weather, soil, yield and regional statistical parameters. Next, we predicted the yield of each variety in each of 6,490 observed subregions of the Midwest. Furthermore, yield was predicted for all the possible weather scenarios approximated by 15 historical weather instances contained in the dataset. Using predicted yields and covariance between varieties through different weather scenarios, we performed portfolio optimisation. In this way, for each subregion, we obtained a selection of varieties, that proved superior to others in terms of the amount and stability of yield. According to the rules of Syngenta Crop Challenge, for which this research was conducted, we aggregated the results across all subregions and selected up to five soybean varieties that should be distributed across the network of seed retailers. The work presented in this paper was the winning solution for Syngenta Crop Challenge 2017.

  11. Portfolio optimization for seed selection in diverse weather scenarios.

    Directory of Open Access Journals (Sweden)

    Oskar Marko

    Full Text Available The aim of this work was to develop a method for selection of optimal soybean varieties for the American Midwest using data analytics. We extracted the knowledge about 174 varieties from the dataset, which contained information about weather, soil, yield and regional statistical parameters. Next, we predicted the yield of each variety in each of 6,490 observed subregions of the Midwest. Furthermore, yield was predicted for all the possible weather scenarios approximated by 15 historical weather instances contained in the dataset. Using predicted yields and covariance between varieties through different weather scenarios, we performed portfolio optimisation. In this way, for each subregion, we obtained a selection of varieties, that proved superior to others in terms of the amount and stability of yield. According to the rules of Syngenta Crop Challenge, for which this research was conducted, we aggregated the results across all subregions and selected up to five soybean varieties that should be distributed across the network of seed retailers. The work presented in this paper was the winning solution for Syngenta Crop Challenge 2017.

  12. Applying Portfolio Selection: A Case of Indonesia Stock Exchange

    Directory of Open Access Journals (Sweden)

    Maria Praptiningsih

    2012-01-01

    Full Text Available This study has three objectives. First, we investigate whether Modern Portfolio Theory can be applied on the financial decisions that made by investors or individual in order to increase their wealth through investment activities. Second, we examine the real behavior of each asset in terms of capital assets pricing models. Third, we determine whether our portfolio is the best model to produce a higher return in a given level of risk or a lowest risk in a particular level of return. It is found that three different stocks listed in the Indonesia Stock Exchange have a positive relationship with market returns. The reactions of the investor regarding these stocks are not influenced by each other. Lastly, the minimum variance portfolio (MVP point which represents the single portfolio with the lowest possible level of standard deviation, occurs when the expected return of portfolio is approximately 2.2 percent at a standard deviation of 8.8 percent.

  13. A proposed selection process in Over-The-Top project portfolio management

    Directory of Open Access Journals (Sweden)

    Jemy Vestius Confido

    2018-05-01

    Full Text Available Purpose: The purpose of this paper is to propose an Over-The-Top (OTT initiative selection process for communication service providers (CSPs entering an OTT business. Design/methodology/approach: To achieve this objective, a literature review was conducted to comprehend the past and current practices of the project (or initiative selection process as mainly suggested in project portfolio management (PPM. This literature was compared with specific situations and the needs of CSPs when constructing an OTT portfolio. Based on the contrast between the conventional project selection process and specific OTT characteristics, a different selection process is developed and tested using group model-building (GMB, which involved an in-depth interview, a questionnaire and a focus group discussion (FGD. Findings: The paper recommends five distinct steps for CSPs to construct an OTT initiative portfolio: candidate list of OTT initiatives, interdependency diagram, evaluation of all interdependent OTT initiatives, evaluation of all non-interdependent OTT initiatives and optimal portfolio of OTT initiatives. Research limitations/implications: The research is empirical, and various OTT services are implemented; the conclusion is derived only from one CSP, which operates as a group. Generalization of this approach will require further empirical tests on different CSPs, OTT players or any firms performing portfolio selection with a degree of interdependency among the projects. Practical implications: Having considered interdependency, the proposed OTT initiative selection steps can be further implemented by portfolio managers for more effective OTT initiative portfolio construction. Originality/value: While the previous literature and common practices suggest ensuring the benefits (mainly financial of individual projects, this research accords higher priority to the success of the overall OTT initiative portfolio and recommends that an evaluation of the overall

  14. System for selecting a postponement strategy portfolio for supply chains

    Directory of Open Access Journals (Sweden)

    Luiz Eduardo Simão

    2015-03-01

    Full Text Available The stagnation of the economy has increased competition and uncertainty in the industrial sector. Trends such as the increase in the proliferation of the variety of products and the requirement for customization of products has contributed to difficulties in forecasting demand, due to increased uncertainty of demand for final products. In this new competitive environment, it is no longer possible to use the traditional “one size fits all” supply chain process, with unique policies for all products because this practice can lead to significant profitability losses due to the increase in stock levels and lost sales. However, research on supply chains has given relatively little attention to the need to use different, segmented supply chain strategies as well as to develop and manage these multiple supply chains strategies simultaneously. Thus, this paper aims to present an approach for selecting a portfolio of postponement strategies based on segmentation of supply chain, based on analysis of the demand profile (volume-variety analysis and a tool to assist in the selection of postponement strategies driven by the customer-product sector and their respective propositions of value.

  15. An Improved SPEA2 Algorithm with Adaptive Selection of Evolutionary Operators Scheme for Multiobjective Optimization Problems

    Directory of Open Access Journals (Sweden)

    Fuqing Zhao

    2016-01-01

    Full Text Available A fixed evolutionary mechanism is usually adopted in the multiobjective evolutionary algorithms and their operators are static during the evolutionary process, which causes the algorithm not to fully exploit the search space and is easy to trap in local optima. In this paper, a SPEA2 algorithm which is based on adaptive selection evolution operators (AOSPEA is proposed. The proposed algorithm can adaptively select simulated binary crossover, polynomial mutation, and differential evolution operator during the evolutionary process according to their contribution to the external archive. Meanwhile, the convergence performance of the proposed algorithm is analyzed with Markov chain. Simulation results on the standard benchmark functions reveal that the performance of the proposed algorithm outperforms the other classical multiobjective evolutionary algorithms.

  16. Continuous Time Portfolio Selection under Conditional Capital at Risk

    Directory of Open Access Journals (Sweden)

    Gordana Dmitrasinovic-Vidovic

    2010-01-01

    Full Text Available Portfolio optimization with respect to different risk measures is of interest to both practitioners and academics. For there to be a well-defined optimal portfolio, it is important that the risk measure be coherent and quasiconvex with respect to the proportion invested in risky assets. In this paper we investigate one such measure—conditional capital at risk—and find the optimal strategies under this measure, in the Black-Scholes continuous time setting, with time dependent coefficients.

  17. Selection of security system design via games of imperfect information and multi-objective genetic algorithm

    International Nuclear Information System (INIS)

    Lins, Isis Didier; Rêgo, Leandro Chaves; Moura, Márcio das Chagas

    2013-01-01

    This work analyzes the strategic interaction between a defender and an intelligent attacker by means of a game and reliability framework involving a multi-objective approach and imperfect information so as to support decision-makers in choosing efficiently designed security systems. A multi-objective genetic algorithm is used to determine the optimal security system's configurations representing the tradeoff between the probability of a successful defense and the acquisition and operational costs. Games with imperfect information are considered, in which the attacker has limited knowledge about the actual security system. The types of security alternatives are readily observable, but the number of redundancies actually implemented in each security subsystem is not known. The proposed methodology is applied to an illustrative example considering power transmission lines in the Northeast of Brazil, which are often targets for attackers who aims at selling the aluminum conductors. The empirical results show that the framework succeeds in handling this sort of strategic interaction. -- Highlights: ► Security components must have feasible costs and must be reliable. ► The optimal design of security systems considers a multi-objective approach. ► Games of imperfect information enable the choice of non-dominated configurations. ► MOGA, reliability and games support the entire defender's decision process. ► The selection of effective security systems may discourage attacker's actions

  18. Continuous-Time Mean-Variance Portfolio Selection with Random Horizon

    International Nuclear Information System (INIS)

    Yu, Zhiyong

    2013-01-01

    This paper examines the continuous-time mean-variance optimal portfolio selection problem with random market parameters and random time horizon. Treating this problem as a linearly constrained stochastic linear-quadratic optimal control problem, I explicitly derive the efficient portfolios and efficient frontier in closed forms based on the solutions of two backward stochastic differential equations. Some related issues such as a minimum variance portfolio and a mutual fund theorem are also addressed. All the results are markedly different from those in the problem with deterministic exit time. A key part of my analysis involves proving the global solvability of a stochastic Riccati equation, which is interesting in its own right

  19. Continuous-Time Mean-Variance Portfolio Selection with Random Horizon

    Energy Technology Data Exchange (ETDEWEB)

    Yu, Zhiyong, E-mail: yuzhiyong@sdu.edu.cn [Shandong University, School of Mathematics (China)

    2013-12-15

    This paper examines the continuous-time mean-variance optimal portfolio selection problem with random market parameters and random time horizon. Treating this problem as a linearly constrained stochastic linear-quadratic optimal control problem, I explicitly derive the efficient portfolios and efficient frontier in closed forms based on the solutions of two backward stochastic differential equations. Some related issues such as a minimum variance portfolio and a mutual fund theorem are also addressed. All the results are markedly different from those in the problem with deterministic exit time. A key part of my analysis involves proving the global solvability of a stochastic Riccati equation, which is interesting in its own right.

  20. Noise sensitivity of portfolio selection in constant conditional correlation GARCH models

    Science.gov (United States)

    Varga-Haszonits, I.; Kondor, I.

    2007-11-01

    This paper investigates the efficiency of minimum variance portfolio optimization for stock price movements following the Constant Conditional Correlation GARCH process proposed by Bollerslev. Simulations show that the quality of portfolio selection can be improved substantially by computing optimal portfolio weights from conditional covariances instead of unconditional ones. Measurement noise can be further reduced by applying some filtering method on the conditional correlation matrix (such as Random Matrix Theory based filtering). As an empirical support for the simulation results, the analysis is also carried out for a time series of S&P500 stock prices.

  1. Continuous-Time Mean-Variance Portfolio Selection under the CEV Process

    Directory of Open Access Journals (Sweden)

    Hui-qiang Ma

    2014-01-01

    Full Text Available We consider a continuous-time mean-variance portfolio selection model when stock price follows the constant elasticity of variance (CEV process. The aim of this paper is to derive an optimal portfolio strategy and the efficient frontier. The mean-variance portfolio selection problem is formulated as a linearly constrained convex program problem. By employing the Lagrange multiplier method and stochastic optimal control theory, we obtain the optimal portfolio strategy and mean-variance efficient frontier analytically. The results show that the mean-variance efficient frontier is still a parabola in the mean-variance plane, and the optimal strategies depend not only on the total wealth but also on the stock price. Moreover, some numerical examples are given to analyze the sensitivity of the efficient frontier with respect to the elasticity parameter and to illustrate the results presented in this paper. The numerical results show that the price of risk decreases as the elasticity coefficient increases.

  2. A Polynomial Optimization Approach to Constant Rebalanced Portfolio Selection

    NARCIS (Netherlands)

    Takano, Y.; Sotirov, R.

    2010-01-01

    We address the multi-period portfolio optimization problem with the constant rebalancing strategy. This problem is formulated as a polynomial optimization problem (POP) by using a mean-variance criterion. In order to solve the POPs of high degree, we develop a cutting-plane algorithm based on

  3. The Optimal Portfolio Selection Model under g-Expectation

    Directory of Open Access Journals (Sweden)

    Li Li

    2014-01-01

    complicated and sophisticated, the optimal solution turns out to be surprisingly simple, the payoff of a portfolio of two binary claims. Also I give the economic meaning of my model and the comparison with that one in the work of Jin and Zhou, 2008.

  4. Optimal portfolio selection for cashflows with bounded capital at risk

    NARCIS (Netherlands)

    Vyncke, D.; Goovaerts, M.J.; Dhaene, J.L.M.; Vanduffel, S.

    2005-01-01

    We consider a continuous-time Markowitz type portfolio problem that consists of minimizing the discounted cost of a given cash-fl ow under the constraint of a restricted Capital at Risk. In a Black-Scholes setting, upper and lower bounds are obtained by means of simple analytical expressions that

  5. A polynomial optimization approach to constant rebalanced portfolio selection

    NARCIS (Netherlands)

    Takano, Y.; Sotirov, R.

    2012-01-01

    We address the multi-period portfolio optimization problem with the constant rebalancing strategy. This problem is formulated as a polynomial optimization problem (POP) by using a mean-variance criterion. In order to solve the POPs of high degree, we develop a cutting-plane algorithm based on

  6. Mean-variance portfolio selection for defined-contribution pension funds with stochastic salary.

    Science.gov (United States)

    Zhang, Chubing

    2014-01-01

    This paper focuses on a continuous-time dynamic mean-variance portfolio selection problem of defined-contribution pension funds with stochastic salary, whose risk comes from both financial market and nonfinancial market. By constructing a special Riccati equation as a continuous (actually a viscosity) solution to the HJB equation, we obtain an explicit closed form solution for the optimal investment portfolio as well as the efficient frontier.

  7. Mean-Variance Portfolio Selection for Defined-Contribution Pension Funds with Stochastic Salary

    Directory of Open Access Journals (Sweden)

    Chubing Zhang

    2014-01-01

    Full Text Available This paper focuses on a continuous-time dynamic mean-variance portfolio selection problem of defined-contribution pension funds with stochastic salary, whose risk comes from both financial market and nonfinancial market. By constructing a special Riccati equation as a continuous (actually a viscosity solution to the HJB equation, we obtain an explicit closed form solution for the optimal investment portfolio as well as the efficient frontier.

  8. A behavioural approach to financial portfolio selection problem: an empirical study using heuristics

    OpenAIRE

    Grishina, Nina

    2014-01-01

    This thesis was submitted for the degree of Doctor of Philosophy and awarded by Brunel University The behaviourally based portfolio selection problem with investor's loss aversion and risk aversion biases in portfolio choice under uncertainty are studied. The main results of this work are developed heuristic approaches for the prospect theory and cumulative prospect theory models proposed by Kahneman and Tversky in 1979 and 1992 as well as an empirical comparative analysis of these models ...

  9. Mean-Variance Portfolio Selection for Defined-Contribution Pension Funds with Stochastic Salary

    OpenAIRE

    Chubing Zhang

    2014-01-01

    This paper focuses on a continuous-time dynamic mean-variance portfolio selection problem of defined-contribution pension funds with stochastic salary, whose risk comes from both financial market and nonfinancial market. By constructing a special Riccati equation as a continuous (actually a viscosity) solution to the HJB equation, we obtain an explicit closed form solution for the optimal investment portfolio as well as the efficient frontier.

  10. Mean-Variance Portfolio Selection for Defined-Contribution Pension Funds with Stochastic Salary

    Science.gov (United States)

    Zhang, Chubing

    2014-01-01

    This paper focuses on a continuous-time dynamic mean-variance portfolio selection problem of defined-contribution pension funds with stochastic salary, whose risk comes from both financial market and nonfinancial market. By constructing a special Riccati equation as a continuous (actually a viscosity) solution to the HJB equation, we obtain an explicit closed form solution for the optimal investment portfolio as well as the efficient frontier. PMID:24782667

  11. Efficient Cardinality/Mean-Variance Portfolios

    OpenAIRE

    Brito, R. Pedro; Vicente, Luís Nunes

    2014-01-01

    International audience; We propose a novel approach to handle cardinality in portfolio selection, by means of a biobjective cardinality/mean-variance problem, allowing the investor to analyze the efficient tradeoff between return-risk and number of active positions. Recent progress in multiobjective optimization without derivatives allow us to robustly compute (in-sample) the whole cardinality/mean-variance efficient frontier, for a variety of data sets and mean-variance models. Our results s...

  12. Dynamic Portfolio Selection on Croatian Financial Markets: MGARCH Approach

    OpenAIRE

    Škrinjarić, Tihana; Šego, Boško

    2016-01-01

    Background: Investors on financial markets are interested in finding trading strategies which could enable them to beat the market. They always look for best possibilities to achieve above-average returns and manage risks successfully. MGARCH methodology (Multivariate Generalized Autoregressive Conditional Heteroskedasticity) makes it possible to model changing risks and return dynamics on financial markets on a daily basis. The results could be used in order to enhance portfolio formation an...

  13. Dynamic Portfolio Selection on Croatian Financial Markets: MGARCH Approach

    Directory of Open Access Journals (Sweden)

    Škrinjarić Tihana

    2016-09-01

    Full Text Available Background: Investors on financial markets are interested in finding trading strategies which could enable them to beat the market. They always look for best possibilities to achieve above-average returns and manage risks successfully. MGARCH methodology (Multivariate Generalized Autoregressive Conditional Heteroskedasticity makes it possible to model changing risks and return dynamics on financial markets on a daily basis. The results could be used in order to enhance portfolio formation and restructuring over time.

  14. Pareto Optimal Solutions for Network Defense Strategy Selection Simulator in Multi-Objective Reinforcement Learning

    Directory of Open Access Journals (Sweden)

    Yang Sun

    2018-01-01

    Full Text Available Using Pareto optimization in Multi-Objective Reinforcement Learning (MORL leads to better learning results for network defense games. This is particularly useful for network security agents, who must often balance several goals when choosing what action to take in defense of a network. If the defender knows his preferred reward distribution, the advantages of Pareto optimization can be retained by using a scalarization algorithm prior to the implementation of the MORL. In this paper, we simulate a network defense scenario by creating a multi-objective zero-sum game and using Pareto optimization and MORL to determine optimal solutions and compare those solutions to different scalarization approaches. We build a Pareto Defense Strategy Selection Simulator (PDSSS system for assisting network administrators on decision-making, specifically, on defense strategy selection, and the experiment results show that the Satisficing Trade-Off Method (STOM scalarization approach performs better than linear scalarization or GUESS method. The results of this paper can aid network security agents attempting to find an optimal defense policy for network security games.

  15. Cancer microarray data feature selection using multi-objective binary particle swarm optimization algorithm

    Science.gov (United States)

    Annavarapu, Chandra Sekhara Rao; Dara, Suresh; Banka, Haider

    2016-01-01

    Cancer investigations in microarray data play a major role in cancer analysis and the treatment. Cancer microarray data consists of complex gene expressed patterns of cancer. In this article, a Multi-Objective Binary Particle Swarm Optimization (MOBPSO) algorithm is proposed for analyzing cancer gene expression data. Due to its high dimensionality, a fast heuristic based pre-processing technique is employed to reduce some of the crude domain features from the initial feature set. Since these pre-processed and reduced features are still high dimensional, the proposed MOBPSO algorithm is used for finding further feature subsets. The objective functions are suitably modeled by optimizing two conflicting objectives i.e., cardinality of feature subsets and distinctive capability of those selected subsets. As these two objective functions are conflicting in nature, they are more suitable for multi-objective modeling. The experiments are carried out on benchmark gene expression datasets, i.e., Colon, Lymphoma and Leukaemia available in literature. The performance of the selected feature subsets with their classification accuracy and validated using 10 fold cross validation techniques. A detailed comparative study is also made to show the betterment or competitiveness of the proposed algorithm. PMID:27822174

  16. A Three-Phase Multiobjective Mechanism for Selecting Retail Stores to Close

    Directory of Open Access Journals (Sweden)

    Rong-Chang Chen

    2016-01-01

    Full Text Available To operate a successful and growing business, a retail store manager has to make tough decisions about selectively closing underperforming stores. In this paper, we propose using a three-phase multiobjective mechanism to help retail industry practitioners determine which stores to close. In the first phase, a geographic information system (GIS and k-means clustering algorithm are used to divide all the stores into clusters. In the second phase, stores can be strategically selected according to the requirements of the company and the attributes of the stores. In the third phase, a neighborhood-based multiobjective genetic algorithm (NBMOGA is utilized to determine which stores to close. To examine the effectiveness of the proposed three-phase mechanism, a variety of experiments are performed, based partly on a real dataset from a stock-list company in Taiwan. Results from the experiments show that the proposed three-phase mechanism can help efficiently decide which store locations to close. In addition, the neighborhood radius has a considerable influence on the results.

  17. Fuzzy Random λ-Mean SAD Portfolio Selection Problem: An Ant Colony Optimization Approach

    Science.gov (United States)

    Thakur, Gour Sundar Mitra; Bhattacharyya, Rupak; Mitra, Swapan Kumar

    2010-10-01

    To reach the investment goal, one has to select a combination of securities among different portfolios containing large number of securities. Only the past records of each security do not guarantee the future return. As there are many uncertain factors which directly or indirectly influence the stock market and there are also some newer stock markets which do not have enough historical data, experts' expectation and experience must be combined with the past records to generate an effective portfolio selection model. In this paper the return of security is assumed to be Fuzzy Random Variable Set (FRVS), where returns are set of random numbers which are in turn fuzzy numbers. A new λ-Mean Semi Absolute Deviation (λ-MSAD) portfolio selection model is developed. The subjective opinions of the investors to the rate of returns of each security are taken into consideration by introducing a pessimistic-optimistic parameter vector λ. λ-Mean Semi Absolute Deviation (λ-MSAD) model is preferred as it follows absolute deviation of the rate of returns of a portfolio instead of the variance as the measure of the risk. As this model can be reduced to Linear Programming Problem (LPP) it can be solved much faster than quadratic programming problems. Ant Colony Optimization (ACO) is used for solving the portfolio selection problem. ACO is a paradigm for designing meta-heuristic algorithms for combinatorial optimization problem. Data from BSE is used for illustration.

  18. A robust multi-objective global supplier selection model under currency fluctuation and price discount

    Science.gov (United States)

    Zarindast, Atousa; Seyed Hosseini, Seyed Mohamad; Pishvaee, Mir Saman

    2017-06-01

    Robust supplier selection problem, in a scenario-based approach has been proposed, when the demand and exchange rates are subject to uncertainties. First, a deterministic multi-objective mixed integer linear programming is developed; then, the robust counterpart of the proposed mixed integer linear programming is presented using the recent extension in robust optimization theory. We discuss decision variables, respectively, by a two-stage stochastic planning model, a robust stochastic optimization planning model which integrates worst case scenario in modeling approach and finally by equivalent deterministic planning model. The experimental study is carried out to compare the performances of the three models. Robust model resulted in remarkable cost saving and it illustrated that to cope with such uncertainties, we should consider them in advance in our planning. In our case study different supplier were selected due to this uncertainties and since supplier selection is a strategic decision, it is crucial to consider these uncertainties in planning approach.

  19. Reliable Portfolio Selection Problem in Fuzzy Environment: An mλ Measure Based Approach

    Directory of Open Access Journals (Sweden)

    Yuan Feng

    2017-04-01

    Full Text Available This paper investigates a fuzzy portfolio selection problem with guaranteed reliability, in which the fuzzy variables are used to capture the uncertain returns of different securities. To effectively handle the fuzziness in a mathematical way, a new expected value operator and variance of fuzzy variables are defined based on the m λ measure that is a linear combination of the possibility measure and necessity measure to balance the pessimism and optimism in the decision-making process. To formulate the reliable portfolio selection problem, we particularly adopt the expected total return and standard variance of the total return to evaluate the reliability of the investment strategies, producing three risk-guaranteed reliable portfolio selection models. To solve the proposed models, an effective genetic algorithm is designed to generate the approximate optimal solution to the considered problem. Finally, the numerical examples are given to show the performance of the proposed models and algorithm.

  20. Supplier Portfolio Selection and Optimum Volume Allocation: A Knowledge Based Method

    NARCIS (Netherlands)

    Aziz, Romana; Aziz, R.; van Hillegersberg, Jos; Kersten, W.; Blecker, T.; Luthje, C.

    2010-01-01

    Selection of suppliers and allocation of optimum volumes to suppliers is a strategic business decision. This paper presents a decision support method for supplier selection and the optimal allocation of volumes in a supplier portfolio. The requirements for the method were gathered during a case

  1. Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection*

    Science.gov (United States)

    Fan, Jianqing; Li, Yingying; Yu, Ke

    2012-01-01

    Portfolio allocation with gross-exposure constraint is an effective method to increase the efficiency and stability of portfolios selection among a vast pool of assets, as demonstrated in Fan et al. (2011). The required high-dimensional volatility matrix can be estimated by using high frequency financial data. This enables us to better adapt to the local volatilities and local correlations among vast number of assets and to increase significantly the sample size for estimating the volatility matrix. This paper studies the volatility matrix estimation using high-dimensional high-frequency data from the perspective of portfolio selection. Specifically, we propose the use of “pairwise-refresh time” and “all-refresh time” methods based on the concept of “refresh time” proposed by Barndorff-Nielsen et al. (2008) for estimation of vast covariance matrix and compare their merits in the portfolio selection. We establish the concentration inequalities of the estimates, which guarantee desirable properties of the estimated volatility matrix in vast asset allocation with gross exposure constraints. Extensive numerical studies are made via carefully designed simulations. Comparing with the methods based on low frequency daily data, our methods can capture the most recent trend of the time varying volatility and correlation, hence provide more accurate guidance for the portfolio allocation in the next time period. The advantage of using high-frequency data is significant in our simulation and empirical studies, which consist of 50 simulated assets and 30 constituent stocks of Dow Jones Industrial Average index. PMID:23264708

  2. Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection.

    Science.gov (United States)

    Fan, Jianqing; Li, Yingying; Yu, Ke

    2012-01-01

    Portfolio allocation with gross-exposure constraint is an effective method to increase the efficiency and stability of portfolios selection among a vast pool of assets, as demonstrated in Fan et al. (2011). The required high-dimensional volatility matrix can be estimated by using high frequency financial data. This enables us to better adapt to the local volatilities and local correlations among vast number of assets and to increase significantly the sample size for estimating the volatility matrix. This paper studies the volatility matrix estimation using high-dimensional high-frequency data from the perspective of portfolio selection. Specifically, we propose the use of "pairwise-refresh time" and "all-refresh time" methods based on the concept of "refresh time" proposed by Barndorff-Nielsen et al. (2008) for estimation of vast covariance matrix and compare their merits in the portfolio selection. We establish the concentration inequalities of the estimates, which guarantee desirable properties of the estimated volatility matrix in vast asset allocation with gross exposure constraints. Extensive numerical studies are made via carefully designed simulations. Comparing with the methods based on low frequency daily data, our methods can capture the most recent trend of the time varying volatility and correlation, hence provide more accurate guidance for the portfolio allocation in the next time period. The advantage of using high-frequency data is significant in our simulation and empirical studies, which consist of 50 simulated assets and 30 constituent stocks of Dow Jones Industrial Average index.

  3. A fuzzy compromise programming approach for the Black-Litterman portfolio selection model

    Directory of Open Access Journals (Sweden)

    Mohsen Gharakhani

    2013-01-01

    Full Text Available In this paper, we examine advanced optimization approach for portfolio problem introduced by Black and Litterman to consider the shortcomings of Markowitz standard Mean-Variance optimization. Black and Litterman propose a new approach to estimate asset return. They present a way to incorporate the investor’s views into asset pricing process. Since the investor’s view about future asset return is always subjective and imprecise, we can represent it by using fuzzy numbers and the resulting model is multi-objective linear programming. Therefore, the proposed model is analyzed through fuzzy compromise programming approach using appropriate membership function. For this purpose, we introduce the fuzzy ideal solution concept based on investor preference and indifference relationships using canonical representation of proposed fuzzy numbers by means of their correspondingα-cuts. A real world numerical example is presented in which MSCI (Morgan Stanley Capital International Index is chosen as the target index. The results are reported for a portfolio consisting of the six national indices. The performance of the proposed models is compared using several financial criteria.

  4. Portfolio selection problem with liquidity constraints under non-extensive statistical mechanics

    International Nuclear Information System (INIS)

    Zhao, Pan; Xiao, Qingxian

    2016-01-01

    In this study, we consider the optimal portfolio selection problem with liquidity limits. A portfolio selection model is proposed in which the risky asset price is driven by the process based on non-extensive statistical mechanics instead of the classic Wiener process. Using dynamic programming and Lagrange multiplier methods, we obtain the optimal policy and value function. Moreover, the numerical results indicate that this model is considerably different from the model based on the classic Wiener process, the optimal strategy is affected by the non-extensive parameter q, the increase in the investment in the risky asset is faster at a larger parameter q and the increase in wealth is similar.

  5. Multi-objective optimization of cellular scanning strategy in selective laser melting

    DEFF Research Database (Denmark)

    Ahrari, Ali; Deb, Kalyanmoy; Mohanty, Sankhya

    2017-01-01

    The scanning strategy for selective laser melting - an additive manufacturing process - determines the temperature fields during the manufacturing process, which in turn affects residual stresses and distortions, two of the main sources of process-induced defects. The goal of this study is to dev......The scanning strategy for selective laser melting - an additive manufacturing process - determines the temperature fields during the manufacturing process, which in turn affects residual stresses and distortions, two of the main sources of process-induced defects. The goal of this study......, the problem is a combination of combinatorial and choice optimization, which makes the problem difficult to solve. On a process simulation domain consisting of 32 cells, our multi-objective evolutionary method is able to find a set of trade-off solutions for the defined conflicting objectives, which cannot...

  6. Big Data Challenges of High-Dimensional Continuous-Time Mean-Variance Portfolio Selection and a Remedy.

    Science.gov (United States)

    Chiu, Mei Choi; Pun, Chi Seng; Wong, Hoi Ying

    2017-08-01

    Investors interested in the global financial market must analyze financial securities internationally. Making an optimal global investment decision involves processing a huge amount of data for a high-dimensional portfolio. This article investigates the big data challenges of two mean-variance optimal portfolios: continuous-time precommitment and constant-rebalancing strategies. We show that both optimized portfolios implemented with the traditional sample estimates converge to the worst performing portfolio when the portfolio size becomes large. The crux of the problem is the estimation error accumulated from the huge dimension of stock data. We then propose a linear programming optimal (LPO) portfolio framework, which applies a constrained ℓ 1 minimization to the theoretical optimal control to mitigate the risk associated with the dimensionality issue. The resulting portfolio becomes a sparse portfolio that selects stocks with a data-driven procedure and hence offers a stable mean-variance portfolio in practice. When the number of observations becomes large, the LPO portfolio converges to the oracle optimal portfolio, which is free of estimation error, even though the number of stocks grows faster than the number of observations. Our numerical and empirical studies demonstrate the superiority of the proposed approach. © 2017 Society for Risk Analysis.

  7. Risk-aware multi-armed bandit problem with application to portfolio selection.

    Science.gov (United States)

    Huo, Xiaoguang; Fu, Feng

    2017-11-01

    Sequential portfolio selection has attracted increasing interest in the machine learning and quantitative finance communities in recent years. As a mathematical framework for reinforcement learning policies, the stochastic multi-armed bandit problem addresses the primary difficulty in sequential decision-making under uncertainty, namely the exploration versus exploitation dilemma, and therefore provides a natural connection to portfolio selection. In this paper, we incorporate risk awareness into the classic multi-armed bandit setting and introduce an algorithm to construct portfolio. Through filtering assets based on the topological structure of the financial market and combining the optimal multi-armed bandit policy with the minimization of a coherent risk measure, we achieve a balance between risk and return.

  8. A Generalized Measure for the Optimal Portfolio Selection Problem and its Explicit Solution

    Directory of Open Access Journals (Sweden)

    Zinoviy Landsman

    2018-03-01

    Full Text Available In this paper, we offer a novel class of utility functions applied to optimal portfolio selection. This class incorporates as special cases important measures such as the mean-variance, Sharpe ratio, mean-standard deviation and others. We provide an explicit solution to the problem of optimal portfolio selection based on this class. Furthermore, we show that each measure in this class generally reduces to the efficient frontier that coincides or belongs to the classical mean-variance efficient frontier. In addition, a condition is provided for the existence of the a one-to-one correspondence between the parameter of this class of utility functions and the trade-off parameter λ in the mean-variance utility function. This correspondence essentially provides insight into the choice of this parameter. We illustrate our results by taking a portfolio of stocks from National Association of Securities Dealers Automated Quotation (NASDAQ.

  9. New Method of Selecting Efficient Project Portfolios in the Presence of Hybrid Uncertainty

    Directory of Open Access Journals (Sweden)

    Bogdan Rębiasz

    2016-01-01

    Full Text Available A new methods of selecting efficient project portfolios in the presence of hybrid uncertainty has been presented. Pareto optimal solutions have been defined by an algorithm for generating project portfolios. The method presented allows us to select efficient project portfolios taking into account statistical and economic dependencies between projects when some of the parameters used in the calculation of effectiveness can be expressed in the form of an interactive possibility distribution and some in the form of a probability distribution. The procedure for processing such hybrid data combines stochastic simulation with nonlinear programming. The interaction between data are modeled by correlation matrices and the interval regression. Economic dependences are taken into account by the equations balancing the production capacity of the company. The practical example presented indicates that an interaction between projects has a significant impact on the results of calculations. (original abstract

  10. A Hybrid MCDM Approach for Strategic Project Portfolio Selection of Agro By-Products

    Directory of Open Access Journals (Sweden)

    Animesh Debnath

    2017-07-01

    Full Text Available Due to the increasing size of the population, society faces several challenges for sustainable and adequate agricultural production, quality, distribution, and food safety in the strategic project portfolio selection (SPPS. The initial adaptation of strategic portfolio management of genetically modified (GM Agro by-products (Ab-Ps is a huge challenge in terms of processing the agro food product supply-chain practices in an environmentally nonthreatening way. As a solution to the challenges, the socio-economic characteristics for SPPS of GM food purchasing scenarios are studied. Evaluation and selection of the GM agro portfolio management are the dynamic issues due to physical and immaterial criteria involving a hybrid multiple criteria decision making (MCDM approach, combining modified grey Decision-Making Trial and Evaluation Laboratory (DEMATEL, Multi-Attributive Border Approximation area Comparison (MABAC and sensitivity analysis. Evaluation criteria are grouped into social, differential and beneficial clusters, and the modified DEMATEL procedure is used to derive the criteria weights. The MABAC method is applied to rank the strategic project portfolios according to the aggregated preferences of decision makers (DMs. The usefulness of the proposed research framework is validated with a case study. The GM by-products are found to be the best portfolio. Moreover, this framework can unify the policies of agro technological improvement, corporate social responsibility (CSR and agro export promotion.

  11. Portfolio selection problem: a comparison of fuzzy goal programming and linear physical programming

    Directory of Open Access Journals (Sweden)

    Fusun Kucukbay

    2016-04-01

    Full Text Available Investors have limited budget and they try to maximize their return with minimum risk. Therefore this study aims to deal with the portfolio selection problem. In the study two criteria are considered which are expected return, and risk. In this respect, linear physical programming (LPP technique is applied on Bist 100 stocks to be able to find out the optimum portfolio. The analysis covers the period April 2009- March 2015. This period is divided into two; April 2009-March 2014 and April 2014 – March 2015. April 2009-March 2014 period is used as data to find an optimal solution. April 2014-March 2015 period is used to test the real performance of portfolios. The performance of the obtained portfolio is compared with that obtained from fuzzy goal programming (FGP. Then the performances of both method, LPP and FGP are compared with BIST 100 in terms of their Sharpe Indexes. The findings reveal that LPP for portfolio selection problem is a good alternative to FGP.

  12. Effective Stock Selection and Portfolio Construction Within US, International, and Emerging Markets

    Directory of Open Access Journals (Sweden)

    Bijan Beheshti

    2018-05-01

    Full Text Available In this paper, we explore the ex-post attributes of 120 simulated portfolios across the U.S., International, and Emerging Markets. We estimate expected returns using a given global stock selection model employing Global Equity Rating (GLER and Consensus Temporary Earnings Forecasting (CTEF signals. Our portfolios are constructed under the Markowitz optimization framework and constrained at various tracking error levels. Further, an alpha alignment factor is applied to aid in portfolio construction. As a result of our research, we present the reader with three key findings. First, GLER and CTEF signals employed as the primary inputs to security selection result in portfolios with superior risk adjusted returns relative to the Russell 3000, MSCI AC World ex. US, and MSCI Emerging Markets benchmarks which they are measured against. Second, expanding the investment universe outside the U.S. increases the opportunity set yielding higher risk adjusted performance. Third, the incorporation of an alpha alignment factor within the portfolio construction process improves risk forecasts resulting in ex-post tracking error aligning more closely to ex-ante, and ultimately improving information ratios.

  13. Stock Selection for Portfolios Using Expected Utility-Entropy Decision Model

    Directory of Open Access Journals (Sweden)

    Jiping Yang

    2017-09-01

    Full Text Available Yang and Qiu proposed and then recently improved an expected utility-entropy (EU-E measure of risk and decision model. When segregation holds, Luce et al. derived an expected utility term, plus a constant multiplies the Shannon entropy as the representation of risky choices, further demonstrating the reasonability of the EU-E decision model. In this paper, we apply the EU-E decision model to selecting the set of stocks to be included in the portfolios. We first select 7 and 10 stocks from the 30 component stocks of Dow Jones Industrial Average index, and then derive and compare the efficient portfolios in the mean-variance framework. The conclusions imply that efficient portfolios composed of 7(10 stocks selected using the EU-E model with intermediate intervals of the tradeoff coefficients are more efficient than that composed of the sets of stocks selected using the expected utility model. Furthermore, the efficient portfolio of 7(10 stocks selected by the EU-E decision model have almost the same efficient frontier as that of the sample of all stocks. This suggests the necessity of incorporating both the expected utility and Shannon entropy together when taking risky decisions, further demonstrating the importance of Shannon entropy as the measure of uncertainty, as well as the applicability of the EU-E model as a decision-making model.

  14. Robust portfolio selection based on asymmetric measures of variability of stock returns

    Science.gov (United States)

    Chen, Wei; Tan, Shaohua

    2009-10-01

    This paper addresses a new uncertainty set--interval random uncertainty set for robust optimization. The form of interval random uncertainty set makes it suitable for capturing the downside and upside deviations of real-world data. These deviation measures capture distributional asymmetry and lead to better optimization results. We also apply our interval random chance-constrained programming to robust mean-variance portfolio selection under interval random uncertainty sets in the elements of mean vector and covariance matrix. Numerical experiments with real market data indicate that our approach results in better portfolio performance.

  15. Afrika Statistika ISSN 2316-090X The price of portfolio selection ...

    African Journals Online (AJOL)

    The price of portfolio selection under tail conditional expectation with ... TCE provides a more conservative measure of risk than VaR for the same level ...... Substituting the new value function and its derivatives with respect to h into the .... the optimal condition is that the discount rate is proxy of the systematic volatility factor.

  16. Mean-Variance Portfolio Selection with a Fixed Flow of Investment in ...

    African Journals Online (AJOL)

    We consider a mean-variance portfolio selection problem for a fixed flow of investment in a continuous time framework. We consider a market structure that is characterized by a cash account, an indexed bond and a stock. We obtain the expected optimal terminal wealth for the investor. We also obtain a closed-form ...

  17. A New Decision-Making Method for Stock Portfolio Selection Based on Computing with Linguistic Assessment

    Directory of Open Access Journals (Sweden)

    Chen-Tung Chen

    2009-01-01

    Full Text Available The purpose of stock portfolio selection is how to allocate the capital to a large number of stocks in order to bring a most profitable return for investors. In most of past literatures, experts considered the portfolio of selection problem only based on past crisp or quantitative data. However, many qualitative and quantitative factors will influence the stock portfolio selection in real investment situation. It is very important for experts or decision-makers to use their experience or knowledge to predict the performance of each stock and make a stock portfolio. Because of the knowledge, experience, and background of each expert are different and vague, different types of 2-tuple linguistic variable are suitable used to express experts' opinions for the performance evaluation of each stock with respect to criteria. According to the linguistic evaluations of experts, the linguistic TOPSIS and linguistic ELECTRE methods are combined to present a new decision-making method for dealing with stock selection problems in this paper. Once the investment set has been determined, the risk preferences of investor are considered to calculate the investment ratio of each stock in the investment set. Finally, an example is implemented to demonstrate the practicability of the proposed method.

  18. Comonotonic approximations for a generalized provisioning problem with application to optimal portfolio selection

    NARCIS (Netherlands)

    van Weert, K.; Dhaene, J.; Goovaerts, M.

    2011-01-01

    In this paper we discuss multiperiod portfolio selection problems related to a specific provisioning problem. Our results are an extension of Dhaene et al. (2005) [14], where optimal constant mix investment strategies are obtained in a provisioning and savings context, using an analytical approach

  19. Differentiability properties of the efficient (u,q2)-set in the Markowitz portfolio selection method

    NARCIS (Netherlands)

    Kriens, J.; Strijbosch, L.W.G.; Vörös, J.

    1994-01-01

    The set of efficient (Rho2)-combinations in the (Rho2)-plane of the Markowitz portfolio selection method consists of a series of strictly convex parabola. In the transition points from one parabola to the next one, the curve may be indifferentiable. The article gives necessary and sufficient

  20. On the non-stationarity of financial time series: impact on optimal portfolio selection

    International Nuclear Information System (INIS)

    Livan, Giacomo; Inoue, Jun-ichi; Scalas, Enrico

    2012-01-01

    We investigate the possible drawbacks of employing the standard Pearson estimator to measure correlation coefficients between financial stocks in the presence of non-stationary behavior, and we provide empirical evidence against the well-established common knowledge that using longer price time series provides better, more accurate, correlation estimates. Then, we investigate the possible consequences of instabilities in empirical correlation coefficient measurements on optimal portfolio selection. We rely on previously published works which provide a framework allowing us to take into account possible risk underestimations due to the non-optimality of the portfolio weights being used in order to distinguish such non-optimality effects from risk underestimations genuinely due to non-stationarities. We interpret such results in terms of instabilities in some spectral properties of portfolio correlation matrices. (paper)

  1. PORTFOLIO SELECTION OF INFORMATION SYSTEMS PROJECTS USING PROMETHEE V WITH C-OPTIMAL CONCEPT

    Directory of Open Access Journals (Sweden)

    Jonatas A. de Almeida

    2014-05-01

    Full Text Available This paper presents a multicriteria decision model for selecting a portfolio of information system (IS projects, which integrates strategic and organizational view within a multicriteria decision structure. The PROMETHEE V method, based on outranking relations is applied, considering the c-optimal concept in order to overcome some scaling problems found in the classical PROMETHEE V approach. Then, a procedure is proposed in order to make a final analysis of the c-optimal portfolios found as a result of using PROMETHEE V. Also, the organizational view is discussed, including some factors that may influence decision making on IS projects to be included in the portfolio, such as adding the company's strategic vision and technical aspects that demonstrate how IS contributes value to a company's business.

  2. Analysis of the portfolio of sites to characterize for selecting a nuclear repository

    International Nuclear Information System (INIS)

    Keeney, R.L.

    1987-01-01

    The US Department of Energy has selected three sites, from five nominated, to characterize for a nuclear repository to permanently dispose of nuclear waste. This decision was made without the benefit of an analysis of this portfolio problem. This paper analyzes different portfolios of three sites for simultaneous characterization and strategies for sequential characterization. Characterization of each site, which involves significant subsurface excavation, is now estimated to cost $1 billion. Mainly because of the high characterization costs, sequential characterization strategies are identified which are the equivalent of $1.7-2.0 billion less expensive than the selected DOE simultaneous characterization of the three sites. If three sites are simultaneously characterized, one portfolio is estimated to be the equivalent of $100-400 million better than the selected DOE portfolio. Because of these potential savings and several other complicating factors that may influence the relative desirability of characterization strategies, a thorough analysis of characterization strategies that addresses the likelihood of finding disqualifying conditions during site characterization, uncertainties, and dependencies in forecast site repository costs, preclosure and postclosure health and safety impacts, potential delays of both sequential and simultaneous characterization strategies, and the environmental, socioeconomic, and health and safety impacts of characterization activities is recommended

  3. Project portfolio selection of banking services using COPRAS and Fuzzy-TOPSIS

    Directory of Open Access Journals (Sweden)

    C.O. Anyaeche

    2017-04-01

    Full Text Available Portfolio selection is a business process which has helped organisations identify an area of com-petitive advantage and it is a major concern to industrial players in the banking sectors. In order to enhance bank portfolio selection, cost, profitability, time and location are important parameters that decision-makers often consider. This study implements a fuzzy-TOPSIS (Technique for Or-der Preference by Similarity to Ideal Solution framework to evaluate three potential portfolios (automated teller machine gallery, quick service point and branch for a bank using the infor-mation from three decision-makers. An illustrative example of real bank information is used to demonstrate the proposed framework applicability. The complex proportional assessment of al-ternatives (COPRAS method is also used as an evaluation technique and the results are com-pared, which yields that the results from the ranking order of fuzzy-TOPSIS and COPRAS were different. However, there is a consistency between the aggregation of intuition-based, fuzzy-TOPSIS and COPRAS ranks and fuzzy-TOPSIS ranking results. The presented framework is an easy-to-apply tool that improves portfolio selection decision in the banking system.

  4. Application of multi-objective optimization based on genetic algorithm for sustainable strategic supplier selection under fuzzy environment

    Energy Technology Data Exchange (ETDEWEB)

    Hashim, M.; Nazam, M.; Yao, L.; Baig, S.A.; Abrar, M.; Zia-ur-Rehman, M.

    2017-07-01

    The incorporation of environmental objective into the conventional supplier selection practices is crucial for corporations seeking to promote green supply chain management (GSCM). Challenges and risks associated with green supplier selection have been broadly recognized by procurement and supplier management professionals. This paper aims to solve a Tetra “S” (SSSS) problem based on a fuzzy multi-objective optimization with genetic algorithm in a holistic supply chain environment. In this empirical study, a mathematical model with fuzzy coefficients is considered for sustainable strategic supplier selection (SSSS) problem and a corresponding model is developed to tackle this problem. Design/methodology/approach: Sustainable strategic supplier selection (SSSS) decisions are typically multi-objectives in nature and it is an important part of green production and supply chain management for many firms. The proposed uncertain model is transferred into deterministic model by applying the expected value mesurement (EVM) and genetic algorithm with weighted sum approach for solving the multi-objective problem. This research focus on a multi-objective optimization model for minimizing lean cost, maximizing sustainable service and greener product quality level. Finally, a mathematical case of textile sector is presented to exemplify the effectiveness of the proposed model with a sensitivity analysis. Findings: This study makes a certain contribution by introducing the Tetra ‘S’ concept in both the theoretical and practical research related to multi-objective optimization as well as in the study of sustainable strategic supplier selection (SSSS) under uncertain environment. Our results suggest that decision makers tend to select strategic supplier first then enhance the sustainability. Research limitations/implications: Although the fuzzy expected value model (EVM) with fuzzy coefficients constructed in present research should be helpful for solving real world

  5. Application of multi-objective optimization based on genetic algorithm for sustainable strategic supplier selection under fuzzy environment

    Directory of Open Access Journals (Sweden)

    Muhammad Hashim

    2017-05-01

    Full Text Available Purpose:  The incorporation of environmental objective into the conventional supplier selection practices is crucial for corporations seeking to promote green supply chain management (GSCM. Challenges and risks associated with green supplier selection have been broadly recognized by procurement and supplier management professionals. This paper aims to solve a Tetra “S” (SSSS problem based on a fuzzy multi-objective optimization with genetic algorithm in a holistic supply chain environment. In this empirical study, a mathematical model with fuzzy coefficients is considered for sustainable strategic supplier selection (SSSS problem and a corresponding model is developed to tackle this problem. Design/methodology/approach: Sustainable strategic supplier selection (SSSS decisions are typically multi-objectives in nature and it is an important part of green production and supply chain management for many firms. The proposed uncertain model is transferred into deterministic model by applying the expected value mesurement (EVM and genetic algorithm with weighted sum approach for solving the multi-objective problem. This research focus on a multi-objective optimization model for minimizing lean cost, maximizing sustainable service and greener product quality level. Finally, a mathematical case of textile sector is presented to exemplify the effectiveness of the proposed model with a sensitivity analysis. Findings: This study makes a certain contribution by introducing the Tetra ‘S’ concept in both the theoretical and practical research related to multi-objective optimization as well as in the study of sustainable strategic supplier selection (SSSS under uncertain environment. Our results suggest that decision makers tend to select strategic supplier first then enhance the sustainability. Research limitations/implications: Although the fuzzy expected value model (EVM with fuzzy coefficients constructed in present research should be helpful for

  6. Application of multi-objective optimization based on genetic algorithm for sustainable strategic supplier selection under fuzzy environment

    International Nuclear Information System (INIS)

    Hashim, M.; Nazam, M.; Yao, L.; Baig, S.A.; Abrar, M.; Zia-ur-Rehman, M.

    2017-01-01

    The incorporation of environmental objective into the conventional supplier selection practices is crucial for corporations seeking to promote green supply chain management (GSCM). Challenges and risks associated with green supplier selection have been broadly recognized by procurement and supplier management professionals. This paper aims to solve a Tetra “S” (SSSS) problem based on a fuzzy multi-objective optimization with genetic algorithm in a holistic supply chain environment. In this empirical study, a mathematical model with fuzzy coefficients is considered for sustainable strategic supplier selection (SSSS) problem and a corresponding model is developed to tackle this problem. Design/methodology/approach: Sustainable strategic supplier selection (SSSS) decisions are typically multi-objectives in nature and it is an important part of green production and supply chain management for many firms. The proposed uncertain model is transferred into deterministic model by applying the expected value mesurement (EVM) and genetic algorithm with weighted sum approach for solving the multi-objective problem. This research focus on a multi-objective optimization model for minimizing lean cost, maximizing sustainable service and greener product quality level. Finally, a mathematical case of textile sector is presented to exemplify the effectiveness of the proposed model with a sensitivity analysis. Findings: This study makes a certain contribution by introducing the Tetra ‘S’ concept in both the theoretical and practical research related to multi-objective optimization as well as in the study of sustainable strategic supplier selection (SSSS) under uncertain environment. Our results suggest that decision makers tend to select strategic supplier first then enhance the sustainability. Research limitations/implications: Although the fuzzy expected value model (EVM) with fuzzy coefficients constructed in present research should be helpful for solving real world

  7. The Effect of Exit Strategy on Optimal Portfolio Selection with Birandom Returns

    OpenAIRE

    Cao, Guohua; Shan, Dan

    2013-01-01

    The aims of this paper are to use a birandom variable to denote the stock return selected by some recurring technical patterns and to study the effect of exit strategy on optimal portfolio selection with birandom returns. Firstly, we propose a new method to estimate the stock return and use birandom distribution to denote the final stock return which can reflect the features of technical patterns and investors' heterogeneity simultaneously; secondly, we build a birandom safety-first model and...

  8. On market timing and portfolio selectivity: modifying the Henriksson-Merton model

    OpenAIRE

    Goś, Krzysztof

    2011-01-01

    This paper evaluates selected functionalities of the parametrical Henriksson-Merton test, a tool designed for measuring the market timing and portfolio selectivity capabilities. It also provides a solution to two significant disadvantages of the model: relatively indirect interpretation and vulnerability to parameter insignificance. The model has been put to test on a group of Polish mutual funds in a period of 63 months (January 2004 – March 2009), providing unsatisfa...

  9. On the Computation of the Efficient Frontier of the Portfolio Selection Problem

    Directory of Open Access Journals (Sweden)

    Clara Calvo

    2012-01-01

    Full Text Available An easy-to-use procedure is presented for improving the ε-constraint method for computing the efficient frontier of the portfolio selection problem endowed with additional cardinality and semicontinuous variable constraints. The proposed method provides not only a numerical plotting of the frontier but also an analytical description of it, including the explicit equations of the arcs of parabola it comprises and the change points between them. This information is useful for performing a sensitivity analysis as well as for providing additional criteria to the investor in order to select an efficient portfolio. Computational results are provided to test the efficiency of the algorithm and to illustrate its applications. The procedure has been implemented in Mathematica.

  10. A hybrid intelligent algorithm for portfolio selection problem with fuzzy returns

    Science.gov (United States)

    Li, Xiang; Zhang, Yang; Wong, Hau-San; Qin, Zhongfeng

    2009-11-01

    Portfolio selection theory with fuzzy returns has been well developed and widely applied. Within the framework of credibility theory, several fuzzy portfolio selection models have been proposed such as mean-variance model, entropy optimization model, chance constrained programming model and so on. In order to solve these nonlinear optimization models, a hybrid intelligent algorithm is designed by integrating simulated annealing algorithm, neural network and fuzzy simulation techniques, where the neural network is used to approximate the expected value and variance for fuzzy returns and the fuzzy simulation is used to generate the training data for neural network. Since these models are used to be solved by genetic algorithm, some comparisons between the hybrid intelligent algorithm and genetic algorithm are given in terms of numerical examples, which imply that the hybrid intelligent algorithm is robust and more effective. In particular, it reduces the running time significantly for large size problems.

  11. Representation Bias, Return Forecast, and Portfolio Selection in the Stock Market of China

    Directory of Open Access Journals (Sweden)

    Daping Zhao

    2014-01-01

    Full Text Available Representation bias means a kind of cognitive tendency, and, for investors, it can affect their behavior in the stock market. Whether the representation bias can help the return forecast and portfolio selection is an interesting problem that is less studied. In this paper, based on the representation bias theory and current markets situation in China, a new hierarchy of stock measurement system is constructed and a corresponding set of criteria is also proposed. On each criterion, we try to measure the influence among stocks with adapted fuzzy AHP. Then the Hausdorff distance is applied to weight and compute the horizontal representation returns. For the forecast returns, according to representation behaviors, there is also a new computation method. Empirical results show that the representation bias information is useful to the return forecast as well as the portfolio selection.

  12. Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework

    International Nuclear Information System (INIS)

    Zhou, X.Y.; Li, D.

    2000-01-01

    This paper is concerned with a continuous-time mean-variance portfolio selection model that is formulated as a bicriteria optimization problem. The objective is to maximize the expected terminal return and minimize the variance of the terminal wealth. By putting weights on the two criteria one obtains a single objective stochastic control problem which is however not in the standard form due to the variance term involved. It is shown that this nonstandard problem can be 'embedded' into a class of auxiliary stochastic linear-quadratic (LQ) problems. The stochastic LQ control model proves to be an appropriate and effective framework to study the mean-variance problem in light of the recent development on general stochastic LQ problems with indefinite control weighting matrices. This gives rise to the efficient frontier in a closed form for the original portfolio selection problem

  13. Selecting the Best of Portfolio Using OWA Operator Weights in Cross Efficiency-Evaluation

    OpenAIRE

    Sanei, Masoud; Banihashemi, Shokoofeh

    2014-01-01

    The present study is an attempt toward evaluating the performance of portfolios and asset selection using cross-efficiency evaluation. Cross-efficiency evaluation is an effective way of ranking decision making units (DMUs) in data envelopment analysis (DEA). The most widely used approach is to evaluate the efficiencies in each row or column in the cross-efficiency matrix with equal weights into an average cross-efficiency score for each DMU and consider it as the overall performance measureme...

  14. Optimal portfolio selection between different kinds of Renewable energy sources

    Energy Technology Data Exchange (ETDEWEB)

    Zakerinia, MohammadSaleh; Piltan, Mehdi; Ghaderi, Farid

    2010-09-15

    In this paper, selection of the optimal energy supply system in an industrial unit is taken into consideration. This study takes environmental, economical and social parameters into consideration in modeling along with technical factors. Several alternatives which include renewable energy sources, micro-CHP systems and conventional system has been compared by means of an integrated model of linear programming and three multi-criteria approaches (AHP, TOPSIS and ELECTRE III). New parameters like availability of sources, fuels' price volatility, besides traditional factors are considered in different scenarios. Results show with environmental preferences, renewable sources and micro-CHP are good alternatives for conventional systems.

  15. An efficient heuristic method for dynamic portfolio selection problem under transaction costs and uncertain conditions

    Science.gov (United States)

    Najafi, Amir Abbas; Pourahmadi, Zahra

    2016-04-01

    Selecting the optimal combination of assets in a portfolio is one of the most important decisions in investment management. As investment is a long term concept, looking into a portfolio optimization problem just in a single period may cause loss of some opportunities that could be exploited in a long term view. Hence, it is tried to extend the problem from single to multi-period model. We include trading costs and uncertain conditions to this model which made it more realistic and complex. Hence, we propose an efficient heuristic method to tackle this problem. The efficiency of the method is examined and compared with the results of the rolling single-period optimization and the buy and hold method which shows the superiority of the proposed method.

  16. Time-Consistent Strategies for a Multiperiod Mean-Variance Portfolio Selection Problem

    Directory of Open Access Journals (Sweden)

    Huiling Wu

    2013-01-01

    Full Text Available It remained prevalent in the past years to obtain the precommitment strategies for Markowitz's mean-variance portfolio optimization problems, but not much is known about their time-consistent strategies. This paper takes a step to investigate the time-consistent Nash equilibrium strategies for a multiperiod mean-variance portfolio selection problem. Under the assumption that the risk aversion is, respectively, a constant and a function of current wealth level, we obtain the explicit expressions for the time-consistent Nash equilibrium strategy and the equilibrium value function. Many interesting properties of the time-consistent results are identified through numerical sensitivity analysis and by comparing them with the classical pre-commitment solutions.

  17. Mean-Variance stochastic goal programming for sustainable mutual funds' portfolio selection.

    Directory of Open Access Journals (Sweden)

    García-Bernabeu, Ana

    2015-11-01

    Full Text Available Mean-Variance Stochastic Goal Programming models (MV-SGP provide satisficing investment solutions in uncertain contexts. In this work, an MV-SGP model is proposed for portfolio selection which includes goals with regards to traditional and sustainable assets. The proposed approach is based on a two-step procedure. In the first step, sustainability and/or financial screens are applied to a set of assets (mutual funds previously evaluated with TOPSIS to determine the opportunity set. In a second step, satisficing portfolios of assets are obtained using a Goal Programming approach. Two different goals are considered. The first goal reflects only the purely financial side of the target while the second goal is referred to the sustainable side. Aversion to Risk Absolute (ARA coefficients are estimated and incorporated in our investment decision making approach using two different approaches.

  18. Leukocyte Motility Models Assessed through Simulation and Multi-objective Optimization-Based Model Selection.

    Directory of Open Access Journals (Sweden)

    Mark N Read

    2016-09-01

    Full Text Available The advent of two-photon microscopy now reveals unprecedented, detailed spatio-temporal data on cellular motility and interactions in vivo. Understanding cellular motility patterns is key to gaining insight into the development and possible manipulation of the immune response. Computational simulation has become an established technique for understanding immune processes and evaluating hypotheses in the context of experimental data, and there is clear scope to integrate microscopy-informed motility dynamics. However, determining which motility model best reflects in vivo motility is non-trivial: 3D motility is an intricate process requiring several metrics to characterize. This complicates model selection and parameterization, which must be performed against several metrics simultaneously. Here we evaluate Brownian motion, Lévy walk and several correlated random walks (CRWs against the motility dynamics of neutrophils and lymph node T cells under inflammatory conditions by simultaneously considering cellular translational and turn speeds, and meandering indices. Heterogeneous cells exhibiting a continuum of inherent translational speeds and directionalities comprise both datasets, a feature significantly improving capture of in vivo motility when simulated as a CRW. Furthermore, translational and turn speeds are inversely correlated, and the corresponding CRW simulation again improves capture of our in vivo data, albeit to a lesser extent. In contrast, Brownian motion poorly reflects our data. Lévy walk is competitive in capturing some aspects of neutrophil motility, but T cell directional persistence only, therein highlighting the importance of evaluating models against several motility metrics simultaneously. This we achieve through novel application of multi-objective optimization, wherein each model is independently implemented and then parameterized to identify optimal trade-offs in performance against each metric. The resultant Pareto

  19. Mean-variance portfolio selection and efficient frontier for defined contribution pension schemes

    OpenAIRE

    Hoejgaard, B.; Vigna, E.

    2007-01-01

    We solve a mean-variance portfolio selection problem in the accumulation phase of a defined contribution pension scheme. The efficient frontier, which is found for the 2 asset case as well as the n + 1 asset case, gives the member the possibility to decide his own risk/reward profile. The mean-variance approach is then compared to other investment strategies adopted in DC pension schemes, namely the target-based approach and the lifestyle strategy. The comparison is done both in a theoretical...

  20. Robust Markowitz mean-variance portfolio selection under ambiguous covariance matrix *

    OpenAIRE

    Ismail, Amine; Pham, Huyên

    2016-01-01

    This paper studies a robust continuous-time Markowitz portfolio selection pro\\-blem where the model uncertainty carries on the covariance matrix of multiple risky assets. This problem is formulated into a min-max mean-variance problem over a set of non-dominated probability measures that is solved by a McKean-Vlasov dynamic programming approach, which allows us to characterize the solution in terms of a Bellman-Isaacs equation in the Wasserstein space of probability measures. We provide expli...

  1. Multi-Objective Stochastic Optimization Programs for a Non-Life Insurance Company under Solvency Constraints

    Directory of Open Access Journals (Sweden)

    Massimiliano Kaucic

    2015-09-01

    Full Text Available In the paper, we introduce a multi-objective scenario-based optimization approach for chance-constrained portfolio selection problems. More specifically, a modified version of the normal constraint method is implemented with a global solver in order to generate a dotted approximation of the Pareto frontier for bi- and tri-objective programming problems. Numerical experiments are carried out on a set of portfolios to be optimized for an EU-based non-life insurance company. Both performance indicators and risk measures are managed as objectives. Results show that this procedure is effective and readily applicable to achieve suitable risk-reward tradeoff analysis.

  2. Comparing the Selection and Placement of Best Management Practices in Improving Water Quality Using a Multiobjective Optimization and Targeting Method

    Directory of Open Access Journals (Sweden)

    Li-Chi Chiang

    2014-03-01

    Full Text Available Suites of Best Management Practices (BMPs are usually selected to be economically and environmentally efficient in reducing nonpoint source (NPS pollutants from agricultural areas in a watershed. The objective of this research was to compare the selection and placement of BMPs in a pasture-dominated watershed using multiobjective optimization and targeting methods. Two objective functions were used in the optimization process, which minimize pollutant losses and the BMP placement areas. The optimization tool was an integration of a multi-objective genetic algorithm (GA and a watershed model (Soil and Water Assessment Tool—SWAT. For the targeting method, an optimum BMP option was implemented in critical areas in the watershed that contribute the greatest pollutant losses. A total of 171 BMP combinations, which consist of grazing management, vegetated filter strips (VFS, and poultry litter applications were considered. The results showed that the optimization is less effective when vegetated filter strips (VFS are not considered, and it requires much longer computation times than the targeting method to search for optimum BMPs. Although the targeting method is effective in selecting and placing an optimum BMP, larger areas are needed for BMP implementation to achieve the same pollutant reductions as the optimization method.

  3. The Effect of Exit Strategy on Optimal Portfolio Selection with Birandom Returns

    Directory of Open Access Journals (Sweden)

    Guohua Cao

    2013-01-01

    Full Text Available The aims of this paper are to use a birandom variable to denote the stock return selected by some recurring technical patterns and to study the effect of exit strategy on optimal portfolio selection with birandom returns. Firstly, we propose a new method to estimate the stock return and use birandom distribution to denote the final stock return which can reflect the features of technical patterns and investors' heterogeneity simultaneously; secondly, we build a birandom safety-first model and design a hybrid intelligent algorithm to help investors make decisions; finally, we innovatively study the effect of exit strategy on the given birandom safety-first model. The results indicate that (1 the exit strategy affects the proportion of portfolio, (2 the performance of taking the exit strategy is better than when the exit strategy is not taken, if the stop-loss point and the stop-profit point are appropriately set, and (3 the investor using the exit strategy become conservative.

  4. Multi-period project portfolio selection under risk considerations and stochastic income

    Science.gov (United States)

    Tofighian, Ali Asghar; Moezzi, Hamid; Khakzar Barfuei, Morteza; Shafiee, Mahmood

    2018-02-01

    This paper deals with multi-period project portfolio selection problem. In this problem, the available budget is invested on the best portfolio of projects in each period such that the net profit is maximized. We also consider more realistic assumptions to cover wider range of applications than those reported in previous studies. A novel mathematical model is presented to solve the problem, considering risks, stochastic incomes, and possibility of investing extra budget in each time period. Due to the complexity of the problem, an effective meta-heuristic method hybridized with a local search procedure is presented to solve the problem. The algorithm is based on genetic algorithm (GA), which is a prominent method to solve this type of problems. The GA is enhanced by a new solution representation and well selected operators. It also is hybridized with a local search mechanism to gain better solution in shorter time. The performance of the proposed algorithm is then compared with well-known algorithms, like basic genetic algorithm (GA), particle swarm optimization (PSO), and electromagnetism-like algorithm (EM-like) by means of some prominent indicators. The computation results show the superiority of the proposed algorithm in terms of accuracy, robustness and computation time. At last, the proposed algorithm is wisely combined with PSO to improve the computing time considerably.

  5. Solving portfolio selection problems with minimum transaction lots based on conditional-value-at-risk

    Science.gov (United States)

    Setiawan, E. P.; Rosadi, D.

    2017-01-01

    Portfolio selection problems conventionally means ‘minimizing the risk, given the certain level of returns’ from some financial assets. This problem is frequently solved with quadratic or linear programming methods, depending on the risk measure that used in the objective function. However, the solutions obtained by these method are in real numbers, which may give some problem in real application because each asset usually has its minimum transaction lots. In the classical approach considering minimum transaction lots were developed based on linear Mean Absolute Deviation (MAD), variance (like Markowitz’s model), and semi-variance as risk measure. In this paper we investigated the portfolio selection methods with minimum transaction lots with conditional value at risk (CVaR) as risk measure. The mean-CVaR methodology only involves the part of the tail of the distribution that contributed to high losses. This approach looks better when we work with non-symmetric return probability distribution. Solution of this method can be found with Genetic Algorithm (GA) methods. We provide real examples using stocks from Indonesia stocks market.

  6. Application of Multi-Objective Optimization on the Basis of Ratio Analysis (MOORA Method for Bank Branch Location Selection

    Directory of Open Access Journals (Sweden)

    Ali Gorener

    2013-04-01

    Full Text Available Location selection problem in banking is an important issue for the commercial success in competitive environment. There is a strategic fit between the location selection decision and overall performance of a new branch. Providing physical service in requested location as well as alternative distribution channels to meet profitable client needs is the current problematic to achieve the competitive advantage over the rivalry in financial system. In this paper, an integrated model has been developed to support in the decision of branch location selection for a new bank branch. Analytic Hierarchy Process (AHP technique has been conducted to prioritize of evaluation criteria, and multi-objective optimization on the basis of ratio analysis (MOORA method has been applied to rank location alternatives of bank branch.   

  7. Continuous-time mean-variance portfolio selection with value-at-risk and no-shorting constraints

    Science.gov (United States)

    Yan, Wei

    2012-01-01

    An investment problem is considered with dynamic mean-variance(M-V) portfolio criterion under discontinuous prices which follow jump-diffusion processes according to the actual prices of stocks and the normality and stability of the financial market. The short-selling of stocks is prohibited in this mathematical model. Then, the corresponding stochastic Hamilton-Jacobi-Bellman(HJB) equation of the problem is presented and the solution of the stochastic HJB equation based on the theory of stochastic LQ control and viscosity solution is obtained. The efficient frontier and optimal strategies of the original dynamic M-V portfolio selection problem are also provided. And then, the effects on efficient frontier under the value-at-risk constraint are illustrated. Finally, an example illustrating the discontinuous prices based on M-V portfolio selection is presented.

  8. Switching portfolios.

    Science.gov (United States)

    Singer, Y

    1997-08-01

    A constant rebalanced portfolio is an asset allocation algorithm which keeps the same distribution of wealth among a set of assets along a period of time. Recently, there has been work on on-line portfolio selection algorithms which are competitive with the best constant rebalanced portfolio determined in hindsight (Cover, 1991; Helmbold et al., 1996; Cover and Ordentlich, 1996). By their nature, these algorithms employ the assumption that high returns can be achieved using a fixed asset allocation strategy. However, stock markets are far from being stationary and in many cases the wealth achieved by a constant rebalanced portfolio is much smaller than the wealth achieved by an ad hoc investment strategy that adapts to changes in the market. In this paper we present an efficient portfolio selection algorithm that is able to track a changing market. We also describe a simple extension of the algorithm for the case of a general transaction cost, including the transactions cost models recently investigated in (Blum and Kalai, 1997). We provide a simple analysis of the competitiveness of the algorithm and check its performance on real stock data from the New York Stock Exchange accumulated during a 22-year period. On this data, our algorithm outperforms all the algorithms referenced above, with and without transaction costs.

  9. Mean-variance portfolio selection and efficient frontier for defined contribution pension schemes

    DEFF Research Database (Denmark)

    Højgaard, Bjarne; Vigna, Elena

    We solve a mean-variance portfolio selection problem in the accumulation phase of a defined contribution pension scheme. The efficient frontier, which is found for the 2 asset case as well as the n + 1 asset case, gives the member the possibility to decide his own risk/reward profile. The mean...... as a mean-variance optimization problem. It is shown that the corresponding mean and variance of the final fund belong to the efficient frontier and also the opposite, that each point on the efficient frontier corresponds to a target-based optimization problem. Furthermore, numerical results indicate...... that the largely adopted lifestyle strategy seems to be very far from being efficient in the mean-variance setting....

  10. Gender approaches to evolutionary multi-objective optimization using pre-selection of criteria

    Science.gov (United States)

    Kowalczuk, Zdzisław; Białaszewski, Tomasz

    2018-01-01

    A novel idea to perform evolutionary computations (ECs) for solving highly dimensional multi-objective optimization (MOO) problems is proposed. Following the general idea of evolution, it is proposed that information about gender is used to distinguish between various groups of objectives and identify the (aggregate) nature of optimality of individuals (solutions). This identification is drawn out of the fitness of individuals and applied during parental crossover in the processes of evolutionary multi-objective optimization (EMOO). The article introduces the principles of the genetic-gender approach (GGA) and virtual gender approach (VGA), which are not just evolutionary techniques, but constitute a completely new rule (philosophy) for use in solving MOO tasks. The proposed approaches are validated against principal representatives of the EMOO algorithms of the state of the art in solving benchmark problems in the light of recognized EC performance criteria. The research shows the superiority of the gender approach in terms of effectiveness, reliability, transparency, intelligibility and MOO problem simplification, resulting in the great usefulness and practicability of GGA and VGA. Moreover, an important feature of GGA and VGA is that they alleviate the 'curse' of dimensionality typical of many engineering designs.

  11. Analysis of the rebalancing frequency in log-optimal portfolio selection

    OpenAIRE

    Kuhn, Daniel; Luenberger, David G.

    2010-01-01

    In a dynamic investment situation, the right timing of portfolio revisions and adjustments is essential to sustain long-term growth. A high rebalancing frequency reduces the portfolio performance in the presence of transaction costs, whereas a low rebalancing frequency entails a static investment strategy that hardly reacts to changing market conditions. This article studies a family of portfolio problems in a Black-Scholes type economy which depend parametrically on the rebalancing frequency...

  12. The regional electricity generation mix in Scotland. A portfolio selection approach incorporating marine technologies

    Energy Technology Data Exchange (ETDEWEB)

    Allan, Grant; Eromenko, Igor; McGregor, Peter [Fraser of Allander Institute, Department of Economics, University of Strathclyde, Sir William Duncan Building, 130 Rottenrow, Glasgow G4 0GE (United Kingdom); Swales, Kim [Department of Economics, University of Strathclyde, Sir William Duncan Building, 130 Rottenrow, Glasgow G4 0GE (United Kingdom)

    2011-01-15

    Standalone levelised cost assessments of electricity supply options miss an important contribution that renewable and non-fossil fuel technologies can make to the electricity portfolio: that of reducing the variability of electricity costs, and their potentially damaging impact upon economic activity. Portfolio theory applications to the electricity generation mix have shown that renewable technologies, their costs being largely uncorrelated with non-renewable technologies, can offer such benefits. We look at the existing Scottish generation mix and examine drivers of changes out to 2020. We assess recent scenarios for the Scottish generation mix in 2020 against mean-variance efficient portfolios of electricity-generating technologies. Each of the scenarios studied implies a portfolio cost of electricity that is between 22% and 38% higher than the portfolio cost of electricity in 2007. These scenarios prove to be mean-variance 'inefficient' in the sense that, for example, lower variance portfolios can be obtained without increasing portfolio costs, typically by expanding the share of renewables. As part of extensive sensitivity analysis, we find that Wave and Tidal technologies can contribute to lower risk electricity portfolios, while not increasing portfolio cost. (author)

  13. A multi-objective optimization approach for the selection of working fluids of geothermal facilities: Economic, environmental and social aspects.

    Science.gov (United States)

    Martínez-Gomez, Juan; Peña-Lamas, Javier; Martín, Mariano; Ponce-Ortega, José María

    2017-12-01

    The selection of the working fluid for Organic Rankine Cycles has traditionally been addressed from systematic heuristic methods, which perform a characterization and prior selection considering mainly one objective, thus avoiding a selection considering simultaneously the objectives related to sustainability and safety. The objective of this work is to propose a methodology for the optimal selection of the working fluid for Organic Rankine Cycles. The model is presented as a multi-objective approach, which simultaneously considers the economic, environmental and safety aspects. The economic objective function considers the profit obtained by selling the energy produced. Safety was evaluated in terms of individual risk for each of the components of the Organic Rankine Cycles and it was formulated as a function of the operating conditions and hazardous properties of each working fluid. The environmental function is based on carbon dioxide emissions, considering carbon dioxide mitigation, emission due to the use of cooling water as well emissions due material release. The methodology was applied to the case of geothermal facilities to select the optimal working fluid although it can be extended to waste heat recovery. The results show that the hydrocarbons represent better solutions, thus among a list of 24 working fluids, toluene is selected as the best fluid. Copyright © 2017 Elsevier Ltd. All rights reserved.

  14. NON-CONVENTIONAL MACHINING PROCESSES SELECTION USING MULTI-OBJECTIVE OPTIMIZATION ON THE BASIS OF RATIO ANALYSIS METHOD

    Directory of Open Access Journals (Sweden)

    MILOŠ MADIĆ

    2015-11-01

    Full Text Available The role of non-conventional machining processes (NCMPs in today’s manufacturing environment has been well acknowledged. For effective utilization of the capabilities and advantages of different NCMPs, selection of the most appropriate NCMP for a given machining application requires consideration of different conflicting criteria. The right choice of the NCMP is critical to the success and competitiveness of the company. As the NCMP selection problem involves consideration of different conflicting criteria, of different relative importance, the multi-criteria decision making (MCDM methods are very useful in systematical selection of the most appropriate NCMP. This paper presents the application of a recent MCDM method, i.e., the multi-objective optimization on the basis of ratio analysis (MOORA method to solve NCMP selection which has been defined considering different performance criteria of four most widely used NCMPs. In order to determine the relative significance of considered quality criteria a pair-wise comparison matrix of the analytic hierarchy process was used. The results obtained using the MOORA method showed perfect correlation with those obtained by the technique for order preference by similarity to ideal solution (TOPSIS method which proves the applicability and potentiality of this MCDM method for solving complex NCMP selection problems.

  15. Omega-optimized portfolios: applying stochastic dominance criterion for the selection of the threshold return

    Directory of Open Access Journals (Sweden)

    Renaldas Vilkancas

    2016-05-01

    Full Text Available Purpose of the article: While using asymmetric risk-return measures an important role is played by selection of the investor‘s required or threshold rate of return. The scientific literature usually states that every investor should define this rate according to their degree of risk aversion. In this paper, it is attempted to look at the problem from a different perspective – empirical research is aimed at determining the influence of the threshold rate of return on the portfolio characteristics. Methodology/methods: In order to determine the threshold rate of return a stochastic dominance criterion was used. The results are verified using the commonly applied method of backtesting. Scientific aim: The aim of this paper is to propose a method allowing selecting the threshold rate of return reliably and objectively. Findings: Empirical research confirms that stochastic dominance criteria can be successfully applied to determine the rate of return preferred by the investor. Conclusions: A risk-free investment rate or simply a zero rate of return commonly used in practice is often justified neither by theoretical nor empirical studies. This work suggests determining the threshold rate of return by applying the stochastic dominance criterion

  16. Multiperiod Telser’s Safety-First Portfolio Selection with Regime Switching

    Directory of Open Access Journals (Sweden)

    Chuangwei Lin

    2018-01-01

    Full Text Available This paper investigates a multiperiod Telser’s safety-first portfolio selection model with regime switching where the returns of the assets are assumed to depend on the market states modulated by a discrete-time Markov chain. The investor aims to maximize the expected terminal wealth and does not want the probability of the terminal wealth to fall short of a disaster level to exceed a predetermined number called the risk control level. Referring to Tchebycheff inequality, we modify Telser’s safety-first model to the case that aims to maximize the expected terminal wealth subject to a constraint where the upper bound of the disaster probability is less than the risk control level. By the Lagrange multiplier technique and the embedding method, we study in detail the existence of the optimal strategy and derive the closed-form optimal strategy. Finally, by mathematical and numerical analysis, we analyze the effects of the disaster level, the risk control level, the transition matrix of the Markov chain, the expected excess return, and the variance of the risky return.

  17. Growth Optimal Portfolio Selection Under Proportional Transaction Costs with Obligatory Diversification

    International Nuclear Information System (INIS)

    Duncan, T.; Pasik Duncan, B.; Stettner, L.

    2011-01-01

    A continuous time long run growth optimal or optimal logarithmic utility portfolio with proportional transaction costs consisting of a fixed proportional cost and a cost proportional to the volume of transaction is considered. The asset prices are modeled as exponent of diffusion with jumps whose parameters depend on a finite state Markov process of economic factors. An obligatory portfolio diversification is introduced, accordingly to which it is required to invest at least a fixed small portion of our wealth in each asset.

  18. Portfolio Optimization

    OpenAIRE

    Issagali, Aizhan; Alshimbayeva, Damira; Zhalgas, Aidana

    2015-01-01

    In this paper Portfolio Optimization techniques were used to determine the most favorable investment portfolio. In particular, stock indices of three companies, namely Microsoft Corporation, Christian Dior Fashion House and Shevron Corporation were evaluated. Using this data the amounts invested in each asset when a portfolio is chosen on the efficient frontier were calculated. In addition, the Portfolio with minimum variance, tangency portfolio and optimal Markowitz portfolio are presented.

  19. A multi-attribute decision model for portfolio selection aiming to replace technologies in industrial motor systems

    International Nuclear Information System (INIS)

    Vanderley Herrero Sola, Antonio; Mota, Caroline Maria de Miranda

    2012-01-01

    Highlights: ► We propose a multicriteria decision model for technology replacement. ► We prioritize induction motors in order to improve the energy efficiency. ► The best portfolio of options is selected based on decision maker’s utilities. ► The model contribute to surpass some organizational barriers. - Abstract: The energy efficient technologies offered by the market are in constant evolution, but their insertion in the productive sector comes up against organizational barriers, which obstruct decision making in firms. This paper proposes a multicriteria decision model in order to replace technologies in industrial energy systems, regarding organizational barriers for energy efficiency. The proposed model is applied in industrial motor systems, using Multi-Attribute Utility Theory (MAUT), in order to select the best portfolio of options based on the decision maker’s utilities. Portfolios of options from the prioritized set of motors compiled by the operational area of the studied industry are analyzed, including diverse suppliers and different classes of motors. The results show that it is essential to structure the proposed model in two steps, beginning with the operational level, to ensure that important technologies for the production system are prioritized, thus preserving the interests of the organization and improving the efficiency of industrial energy systems.

  20. A comparison of portfolio selection models via application on ISE 100 index data

    Science.gov (United States)

    Altun, Emrah; Tatlidil, Hüseyin

    2013-10-01

    Markowitz Model, a classical approach to portfolio optimization problem, relies on two important assumptions: the expected return is multivariate normally distributed and the investor is risk averter. But this model has not been extensively used in finance. Empirical results show that it is very hard to solve large scale portfolio optimization problems with Mean-Variance (M-V)model. Alternative model, Mean Absolute Deviation (MAD) model which is proposed by Konno and Yamazaki [7] has been used to remove most of difficulties of Markowitz Mean-Variance model. MAD model don't need to assume that the probability of the rates of return is normally distributed and based on Linear Programming. Another alternative portfolio model is Mean-Lower Semi Absolute Deviation (M-LSAD), which is proposed by Speranza [3]. We will compare these models to determine which model gives more appropriate solution to investors.

  1. Cointegration and Causality Analysis on Developed Asian Markets for Risk Management and Portfolio Selection

    Directory of Open Access Journals (Sweden)

    Aldrin Herwany

    2008-09-01

    This study assesses the cointegration and causal relations among seven developed Asian markets, i.e., Tokyo, Hong Kong, Korea, Taiwan, Shanghai, Singapore, and Kuala Lumpur stock exchanges, using more frequent time series data. It employs the recently developed techniques for investigating unit roots, cointegration, time-varying volatility, and causality in variance. For estimating portfolio market risk, this study employs Value-at-Risk with delta normal approach. The results would recommend whether fund managers are able to diversify their portfolio in these developed stock markets either in long run or in short run.

  2. Cross sectional moments and portfolio returns: Evidence for select emerging markets

    Directory of Open Access Journals (Sweden)

    Sanjay Sehgal

    2016-09-01

    Full Text Available Research does not indicate a consensus on the relationship between idiosyncratic volatility and asset returns. Moreover, the role of cross sectional higher order moments in predicting market returns is relatively unexplored. We show that the cross sectional volatility measure suggested by Garcia et al. is highly correlated with alternative measures of idiosyncratic volatility constructed as variance of errors from the capital asset pricing model and the Fama French model. We find that cross sectional moments help in predicting aggregate market returns in some sample countries and also provide information for portfolio formation, which is more consistent for portfolios sorted on sensitivity to cross sectional skewness.

  3. Processing Technology Selection for Municipal Sewage Treatment Based on a Multi-Objective Decision Model under Uncertainty

    Directory of Open Access Journals (Sweden)

    Xudong Chen

    2018-03-01

    Full Text Available This study considers the two factors of environmental protection and economic benefits to address municipal sewage treatment. Based on considerations regarding the sewage treatment plant construction site, processing technology, capital investment, operation costs, water pollutant emissions, water quality and other indicators, we establish a general multi-objective decision model for optimizing municipal sewage treatment plant construction. Using the construction of a sewage treatment plant in a suburb of Chengdu as an example, this paper tests the general model of multi-objective decision-making for the sewage treatment plant construction by implementing a genetic algorithm. The results show the applicability and effectiveness of the multi-objective decision model for the sewage treatment plant. This paper provides decision and technical support for the optimization of municipal sewage treatment.

  4. Processing Technology Selection for Municipal Sewage Treatment Based on a Multi-Objective Decision Model under Uncertainty.

    Science.gov (United States)

    Chen, Xudong; Xu, Zhongwen; Yao, Liming; Ma, Ning

    2018-03-05

    This study considers the two factors of environmental protection and economic benefits to address municipal sewage treatment. Based on considerations regarding the sewage treatment plant construction site, processing technology, capital investment, operation costs, water pollutant emissions, water quality and other indicators, we establish a general multi-objective decision model for optimizing municipal sewage treatment plant construction. Using the construction of a sewage treatment plant in a suburb of Chengdu as an example, this paper tests the general model of multi-objective decision-making for the sewage treatment plant construction by implementing a genetic algorithm. The results show the applicability and effectiveness of the multi-objective decision model for the sewage treatment plant. This paper provides decision and technical support for the optimization of municipal sewage treatment.

  5. 8th International Conference on Multi-Objective and Goal Programming

    CERN Document Server

    Tamiz, Mehrdad; Ries, Jana

    2010-01-01

    This volume shows the state-of-the-art in both theoretical development and application of multiple objective and goal programming. Applications from the fields of supply chain management, financial portfolio selection, financial risk management, insurance, medical imaging, sustainability, nurse scheduling, project management, water resource management, and the interface with data envelopment analysis give a good reflection of current usage. A pleasing variety of techniques are used including models with fuzzy, group-decision, stochastic, interactive, and binary aspects. Additionally, two papers from the upcoming area of multi-objective evolutionary algorithms are included. The book is based on the papers of the 8th International Conference on Multi-Objective and Goal Programming (MOPGP08) which was held in Portsmouth, UK, in September 2008.

  6. Continuous-Time Portfolio Selection and Option Pricing under Risk-Minimization Criterion in an Incomplete Market

    Directory of Open Access Journals (Sweden)

    Xinfeng Ruan

    2013-01-01

    Full Text Available We study option pricing with risk-minimization criterion in an incomplete market where the dynamics of the risky underlying asset are governed by a jump diffusion equation. We obtain the Radon-Nikodym derivative in the minimal martingale measure and a partial integrodifferential equation (PIDE of European call option. In a special case, we get the exact solution for European call option by Fourier transformation methods. Finally, we employ the pricing kernel to calculate the optimal portfolio selection by martingale methods.

  7. A Closed-Form Solution for Robust Portfolio Selection with Worst-Case CVaR Risk Measure

    Directory of Open Access Journals (Sweden)

    Le Tang

    2014-01-01

    Full Text Available With the uncertainty probability distribution, we establish the worst-case CVaR (WCCVaR risk measure and discuss a robust portfolio selection problem with WCCVaR constraint. The explicit solution, instead of numerical solution, is found and two-fund separation is proved. The comparison of efficient frontier with mean-variance model is discussed and finally we give numerical comparison with VaR model and equally weighted strategy. The numerical findings indicate that the proposed WCCVaR model has relatively smaller risk and greater return and relatively higher accumulative wealth than VaR model and equally weighted strategy.

  8. Risk-averse portfolio selection of renewable electricity generator investments in Brazil: An optimised multi-market commercialisation strategy

    International Nuclear Information System (INIS)

    Maier, Sebastian; Street, Alexandre; McKinnon, Ken

    2016-01-01

    Investment decisions in renewable energy sources such as small hydro, wind power, biomass and solar are frequently made in the context of enormous uncertainty surrounding both intermittent generation and the highly volatile electricity spot prices that are used for clearing of trades. This paper presents a new portfolio-based approach for selecting long-term investments in small-scale renewable energy projects and matching contracts for the sale of the resulting electricity. Using this approach, we have formulated a stochastic optimisation model that maximises a holding company's risk-averse measure of value. Using an illustrative example representative of investment decisions within the Brazilian electricity system, we investigate the sensitivity of the optimised portfolio composition and commercialisation strategy to contract prices in the free contracting environment and to the decision maker's attitude towards risk. The numerical results demonstrate it is possible to reduce significantly financial risks, such as the price-quantity risk, not only by exploiting the complementarity of the considered renewable sources generation profiles, but also by selecting the optimal mix of commercialisation contracts from different markets. We find that the multi-market strategy generally results in appreciably higher optimal value than single-market strategies and can be applied to a wide range of renewable generators and contracts. - Highlights: • Gives a portfolio-based multi-market, multi-asset approach to renewable investment. • Details how to model currently used contract types in each of the Brazilian markets. • Presents a test case using realistic contract and real renewable data from Brazil. • Shows that the approach controls financial risks and boosts optimal values. • Explains how relative contract prices and attitude to risk affect optimal decisions.

  9. Selective methodology of population dynamics for optimizing a multiobjective environment of job shop production

    Directory of Open Access Journals (Sweden)

    Santiago Ruiz

    2015-01-01

    Full Text Available This paper develops a methodology based on population genetics to improve the performance of two or more variables in job shop production systems. The methodology applies a genetic algorithm with special features in the individual selection when they pass from generation to generation. In comparison with the FIFO method, the proposed methodology showed better results in the variables makespan, idle time and energy cost. When compared with NSGA II, the methodology did not showed relevant differences in makespan and idle time; however better performance was obtained in energy cost and, especially, in the number of required iterations to get the optimal makespan.

  10. Development of a computer code system for selecting off-site protective action in radiological accidents based on the multiobjective optimization method

    International Nuclear Information System (INIS)

    Ishigami, Tsutomu; Oyama, Kazuo

    1989-09-01

    This report presents a new method to support selection of off-site protective action in nuclear reactor accidents, and provides a user's manual of a computer code system, PRASMA, developed using the method. The PRASMA code system gives several candidates of protective action zones of evacuation, sheltering and no action based on the multiobjective optimization method, which requires objective functions and decision variables. We have assigned population risks of fatality, injury and cost as the objective functions, and distance from a nuclear power plant characterizing the above three protective action zones as the decision variables. (author)

  11. Multiobjective programming and planning

    CERN Document Server

    Cohon, Jared L

    2004-01-01

    This text takes a broad view of multiobjective programming, emphasizing the methods most useful for continuous problems. It reviews multiobjective programming methods in the context of public decision-making problems, developing each problem within a context that addresses practical aspects of planning issues. Topics include a review of linear programming, the formulation of the general multiobjective programming problem, classification of multiobjective programming methods, techniques for generating noninferior solutions, multiple-decision-making methods, multiobjective analysis of water reso

  12. A methodology for the valuation and selection of adaptable technology portfolios and its application to small and medium airports

    Science.gov (United States)

    Pinon, Olivia J.

    The increase in the types of airspace users (large aircraft, small and regional jets, very light jets, unmanned aerial vehicles, etc.), as well as the very limited number of future new airport development projects are some of the factors that will characterize the next decades in air transportation. These factors, associated with a persistent growth in air traffic will worsen the current gridlock situation experienced at some major airports. As airports are becoming the major capacity bottleneck to continued growth in air traffic, it is therefore primordial to make the most efficient use of the current, and very often, underutilized airport infrastructure. This research thus proposes to address the increase in air traffic demand and resulting capacity issues by considering the implementation of operational concepts and technologies at underutilized airports. However, there are many challenges associated with sustaining the development of this type of airports. First, the need to synchronize evolving technologies with airports’ needs and investment capabilities is paramount. Additionally, it was observed that the evolution of secondary airports, and their needs, is tightly linked to the environment in which they operate. In particular, sensitivity of airports to changes in the dynamics of their environment is important, therefore requiring that the factors that drive the need for technology acquisition be identified and characterized. Finally, the difficulty to evaluate risk and make financially viable decisions, particularly when investing in new technologies, cannot be ignored. This research provides a methodology that addresses these challenges and ensures the sustainability of airport capacity-enhancement investments in a continuously changing environment. In particular, it is articulated around the need to provide decision makers with the capability to valuate and select adaptable technology portfolios to ensure airport financial viability. Hence, the four

  13. A Risk-Free Protection Index Model for Portfolio Selection with Entropy Constraint under an Uncertainty Framework

    Directory of Open Access Journals (Sweden)

    Jianwei Gao

    2017-02-01

    Full Text Available This paper aims to develop a risk-free protection index model for portfolio selection based on the uncertain theory. First, the returns of risk assets are assumed as uncertain variables and subject to reputable experts’ evaluations. Second, under this assumption, combining with the risk-free interest rate we define a risk-free protection index (RFPI, which can measure the protection degree when the loss of risk assets happens. Third, note that the proportion entropy serves as a complementary means to reduce the risk by the preset diversification requirement. We put forward a risk-free protection index model with an entropy constraint under an uncertainty framework by applying the RFPI, Huang’s risk index model (RIM, and mean-variance-entropy model (MVEM. Furthermore, to solve our portfolio model, an algorithm is given to estimate the uncertain expected return and standard deviation of different risk assets by applying the Delphi method. Finally, an example is provided to show that the risk-free protection index model performs better than the traditional MVEM and RIM.

  14. Sparse and stable Markowitz portfolios.

    Science.gov (United States)

    Brodie, Joshua; Daubechies, Ingrid; De Mol, Christine; Giannone, Domenico; Loris, Ignace

    2009-07-28

    We consider the problem of portfolio selection within the classical Markowitz mean-variance framework, reformulated as a constrained least-squares regression problem. We propose to add to the objective function a penalty proportional to the sum of the absolute values of the portfolio weights. This penalty regularizes (stabilizes) the optimization problem, encourages sparse portfolios (i.e., portfolios with only few active positions), and allows accounting for transaction costs. Our approach recovers as special cases the no-short-positions portfolios, but does allow for short positions in limited number. We implement this methodology on two benchmark data sets constructed by Fama and French. Using only a modest amount of training data, we construct portfolios whose out-of-sample performance, as measured by Sharpe ratio, is consistently and significantly better than that of the naïve evenly weighted portfolio.

  15. Multi-Period Mean-Variance Portfolio Selection with Uncertain Time Horizon When Returns Are Serially Correlated

    Directory of Open Access Journals (Sweden)

    Ling Zhang

    2012-01-01

    Full Text Available We study a multi-period mean-variance portfolio selection problem with an uncertain time horizon and serial correlations. Firstly, we embed the nonseparable multi-period optimization problem into a separable quadratic optimization problem with uncertain exit time by employing the embedding technique of Li and Ng (2000. Then we convert the later into an optimization problem with deterministic exit time. Finally, using the dynamic programming approach, we explicitly derive the optimal strategy and the efficient frontier for the dynamic mean-variance optimization problem. A numerical example with AR(1 return process is also presented, which shows that both the uncertainty of exit time and the serial correlations of returns have significant impacts on the optimal strategy and the efficient frontier.

  16. Optimal portfolio selection in a Lévy market with uncontrolled cash flow and only risky assets

    Science.gov (United States)

    Zeng, Yan; Li, Zhongfei; Wu, Huiling

    2013-03-01

    This article considers an investor who has an exogenous cash flow evolving according to a Lévy process and invests in a financial market consisting of only risky assets, whose prices are governed by exponential Lévy processes. Two continuous-time portfolio selection problems are studied for the investor. One is a benchmark problem, and the other is a mean-variance problem. The first problem is solved by adopting the stochastic dynamic programming approach, and the obtained results are extended to the second problem by employing the duality theory. Closed-form solutions of these two problems are derived. Some existing results are found to be special cases of our results.

  17. Application of Markowitz Portfolio Theory by Building Optimal Portfolio on the US Stock Market

    Directory of Open Access Journals (Sweden)

    Martin Širůček

    2015-01-01

    Full Text Available This paper is focused on building investment portfolios by using the Markowitz Portfolio Theory (MPT. Derivation based on the Capital Asset Pricing Model (CAPM is used to calculate the weights of individual securities in portfolios. The calculated portfolios include a portfolio copying the benchmark made using the CAPM model, portfolio with low and high beta coefficients, and a random portfolio. Only stocks were selected for the examined sample from all the asset classes. Stocks in each portfolio are put together according to predefined criteria. All stocks were selected from Dow Jones Industrial Average (DJIA index which serves as a benchmark, too. Portfolios were compared based on their risk and return profiles. The results of this work will provide general recommendations on the optimal approach to choose securities for an investor’s portfolio.

  18. DEVELOPING A MODULAR PORTFOLIO SELECTION MODEL FOR SHORT-TERM AND LONGTERM MARKET TRENDS AND MASS PSYCHOLOGY

    Directory of Open Access Journals (Sweden)

    M. Jasemi

    2012-01-01

    Full Text Available

    ENGLISH ABSTRACT: In an effort to model stock markets, many researchers have developed portfolio selection models to maximise investor satisfaction. However, this field still needs more accurate and comprehensive models. Development of these models is difficult because of unpredictable economic, social, and political variables that affect stock market behaviour. In this paper, a new model with three modules for portfolio optimisation is presented. The first module derives the efficient frontier through a new approach; the second presents an intelligent mechanism for emitting trading signals; while the third module integrates the outputs of the first two modules. Some important features of the model in comparison with others are: 1 consideration of investors’ emotions – the psychology of the market – that arises from the three above-mentioned factors; 2 significant loosening of simplifying assumptions about markets and stocks; and 3 greater sensitivity to new data.

    AFRIKAANSE OPSOMMING: In ‘n poging om aandelemarkte te modelleer het verskeie navorsers portefeulje-seleksiemodelle ontwikkel om beleggers se tevredenheid te maksimiseer. Desnieteenstaande word meer akkurate en omvattende modelle benodig. Die ontwikkeling van hierdie modelle word bemoeilik deur die onvoorspelbare ekonomiese, sosiale en politiese veranderlikes wat aandelemarkte se gedrag raak. In hierdie artikel word ‘n nuwe model voorgehou wat bestaan uit drie modules vir portefeulje-optimisering. Die eerste module bepaal die doelmatigheidsgrens op ‘n nuwe metode; die tweede hou ‘n intelligente meganisme voor om transaksieseine te lewer terwyl die derde module die uitsette van die eerste twee modules integreer. Sommige van die belangrike eienskappe van die model wat dit van ander onderskei is: 1 konsiderasie van die beleggers se emosies – die sielkunde van die mark – wat ontstaan vanweë die genoemde faktore; 2 betekenisvolle verslapping van die

  19. Teacher Portfolios.

    Science.gov (United States)

    Wolfe-Quintero, Kate; Brown, James Dean

    1998-01-01

    A portfolio of achievements, experiences, and reflections can help English-as-a-Second-Language teachers attain professional development goals and offer administrators greater insight for making informed hiring and job-performance decisions. This paper focuses on what teacher portfolios are, what their contents should be, and what their uses are…

  20. Teaching Portfolio

    DEFF Research Database (Denmark)

    Pedersen, Christian Fischer

    The present teaching portfolio has been submitted for evaluation in partial fulfillment of the requirements of the teacher training programme for Assistant Professors at Department of Engineering, Aarhus University, Denmark.......The present teaching portfolio has been submitted for evaluation in partial fulfillment of the requirements of the teacher training programme for Assistant Professors at Department of Engineering, Aarhus University, Denmark....

  1. Customer portfolios

    DEFF Research Database (Denmark)

    Clarke, Ann Højbjerg; Freytag, Per Vagn; Zolkiewski, Judith

    2017-01-01

    gives managers a tool to help to cope with the dynamic aspects of the customer portfolio. Recognition of the importance of communication to the process, the development of trust and the role of legitimacy also provides areas that managers can focus upon in their relationship management processes......Purpose The purpose of this paper is to extend the discussion about customer portfolios beyond simple identification of models and how they can be used for balanced resource allocation to a discussion about how portfolios should take into account views from relationship partners and how they should...... that helps improve the understanding of how customer portfolio models can actually be applied from a relational perspective. Findings The key aspects of the conceptual framework relate to how alignment of the relationships in the portfolio is achieved. Critical to this are the interaction spaces...

  2. Analytic hierarchy process-based approach for selecting a Pareto-optimal solution of a multi-objective, multi-site supply-chain planning problem

    Science.gov (United States)

    Ayadi, Omar; Felfel, Houssem; Masmoudi, Faouzi

    2017-07-01

    The current manufacturing environment has changed from traditional single-plant to multi-site supply chain where multiple plants are serving customer demands. In this article, a tactical multi-objective, multi-period, multi-product, multi-site supply-chain planning problem is proposed. A corresponding optimization model aiming to simultaneously minimize the total cost, maximize product quality and maximize the customer satisfaction demand level is developed. The proposed solution approach yields to a front of Pareto-optimal solutions that represents the trade-offs among the different objectives. Subsequently, the analytic hierarchy process method is applied to select the best Pareto-optimal solution according to the preferences of the decision maker. The robustness of the solutions and the proposed approach are discussed based on a sensitivity analysis and an application to a real case from the textile and apparel industry.

  3. Universal portfolios generated by the Bregman divergence

    Science.gov (United States)

    Tan, Choon Peng; Kuang, Kee Seng

    2017-04-01

    The Bregman divergence of two probability vectors is a stronger form of the f-divergence introduced by Csiszar. Two versions of the Bregman universal portfolio are presented by exploiting the mean-value theorem. The explicit form of the Bregman universal portfolio generated by a function of a convex polynomial is derived and studied empirically. This portfolio can be regarded as another generalized of the well-known Helmbold portfolio. By running the portfolios on selected stock-price data sets from the local stock exchange, it is shown that it is possible to increase the wealth of the investor by using the portfolios in investment.

  4. Multi-objective LQR with optimum weight selection to design FOPID controllers for delayed fractional order processes.

    Science.gov (United States)

    Das, Saptarshi; Pan, Indranil; Das, Shantanu

    2015-09-01

    An optimal trade-off design for fractional order (FO)-PID controller is proposed with a Linear Quadratic Regulator (LQR) based technique using two conflicting time domain objectives. A class of delayed FO systems with single non-integer order element, exhibiting both sluggish and oscillatory open loop responses, have been controlled here. The FO time delay processes are handled within a multi-objective optimization (MOO) formalism of LQR based FOPID design. A comparison is made between two contemporary approaches of stabilizing time-delay systems withinLQR. The MOO control design methodology yields the Pareto optimal trade-off solutions between the tracking performance and total variation (TV) of the control signal. Tuning rules are formed for the optimal LQR-FOPID controller parameters, using median of the non-dominated Pareto solutions to handle delayed FO processes. Copyright © 2015 ISA. Published by Elsevier Ltd. All rights reserved.

  5. Dynamic Portfolio Strategy Using Clustering Approach.

    Science.gov (United States)

    Ren, Fei; Lu, Ya-Nan; Li, Sai-Ping; Jiang, Xiong-Fei; Zhong, Li-Xin; Qiu, Tian

    2017-01-01

    The problem of portfolio optimization is one of the most important issues in asset management. We here propose a new dynamic portfolio strategy based on the time-varying structures of MST networks in Chinese stock markets, where the market condition is further considered when using the optimal portfolios for investment. A portfolio strategy comprises two stages: First, select the portfolios by choosing central and peripheral stocks in the selection horizon using five topological parameters, namely degree, betweenness centrality, distance on degree criterion, distance on correlation criterion and distance on distance criterion. Second, use the portfolios for investment in the investment horizon. The optimal portfolio is chosen by comparing central and peripheral portfolios under different combinations of market conditions in the selection and investment horizons. Market conditions in our paper are identified by the ratios of the number of trading days with rising index to the total number of trading days, or the sum of the amplitudes of the trading days with rising index to the sum of the amplitudes of the total trading days. We find that central portfolios outperform peripheral portfolios when the market is under a drawup condition, or when the market is stable or drawup in the selection horizon and is under a stable condition in the investment horizon. We also find that peripheral portfolios gain more than central portfolios when the market is stable in the selection horizon and is drawdown in the investment horizon. Empirical tests are carried out based on the optimal portfolio strategy. Among all possible optimal portfolio strategies based on different parameters to select portfolios and different criteria to identify market conditions, 65% of our optimal portfolio strategies outperform the random strategy for the Shanghai A-Share market while the proportion is 70% for the Shenzhen A-Share market.

  6. Dynamic Portfolio Strategy Using Clustering Approach.

    Directory of Open Access Journals (Sweden)

    Fei Ren

    Full Text Available The problem of portfolio optimization is one of the most important issues in asset management. We here propose a new dynamic portfolio strategy based on the time-varying structures of MST networks in Chinese stock markets, where the market condition is further considered when using the optimal portfolios for investment. A portfolio strategy comprises two stages: First, select the portfolios by choosing central and peripheral stocks in the selection horizon using five topological parameters, namely degree, betweenness centrality, distance on degree criterion, distance on correlation criterion and distance on distance criterion. Second, use the portfolios for investment in the investment horizon. The optimal portfolio is chosen by comparing central and peripheral portfolios under different combinations of market conditions in the selection and investment horizons. Market conditions in our paper are identified by the ratios of the number of trading days with rising index to the total number of trading days, or the sum of the amplitudes of the trading days with rising index to the sum of the amplitudes of the total trading days. We find that central portfolios outperform peripheral portfolios when the market is under a drawup condition, or when the market is stable or drawup in the selection horizon and is under a stable condition in the investment horizon. We also find that peripheral portfolios gain more than central portfolios when the market is stable in the selection horizon and is drawdown in the investment horizon. Empirical tests are carried out based on the optimal portfolio strategy. Among all possible optimal portfolio strategies based on different parameters to select portfolios and different criteria to identify market conditions, 65% of our optimal portfolio strategies outperform the random strategy for the Shanghai A-Share market while the proportion is 70% for the Shenzhen A-Share market.

  7. Managing risk and expected financial return from selective expansion of operating room capacity: mean-variance analysis of a hospital's portfolio of surgeons.

    Science.gov (United States)

    Dexter, Franklin; Ledolter, Johannes

    2003-07-01

    Surgeons using the same amount of operating room (OR) time differ in their achieved hospital contribution margins (revenue minus variable costs) by >1000%. Thus, to improve the financial return from perioperative facilities, OR strategic decisions should selectively focus additional OR capacity and capital purchasing on a few surgeons or subspecialties. These decisions use estimates of each surgeon's and/or subspecialty's contribution margin per OR hour. The estimates are subject to uncertainty (e.g., from outliers). We account for the uncertainties by using mean-variance portfolio analysis (i.e., quadratic programming). This method characterizes the problem of selectively expanding OR capacity based on the expected financial return and risk of different portfolios of surgeons. The assessment reveals whether the choices, of which surgeons have their OR capacity expanded, are sensitive to the uncertainties in the surgeons' contribution margins per OR hour. Thus, mean-variance analysis reduces the chance of making strategic decisions based on spurious information. We also assess the financial benefit of using mean-variance portfolio analysis when the planned expansion of OR capacity is well diversified over at least several surgeons or subspecialties. Our results show that, in such circumstances, there may be little benefit from further changing the portfolio to reduce its financial risk. Surgeon and subspecialty specific hospital financial data are uncertain, a fact that should be taken into account when making decisions about expanding operating room capacity. We show that mean-variance portfolio analysis can incorporate this uncertainty, thereby guiding operating room management decision-making and reducing the chance of a strategic decision being made based on spurious information.

  8. Portfolio optimization using fuzzy linear programming

    Science.gov (United States)

    Pandit, Purnima K.

    2013-09-01

    Portfolio Optimization (PO) is a problem in Finance, in which investor tries to maximize return and minimize risk by carefully choosing different assets. Expected return and risk are the most important parameters with regard to optimal portfolios. In the simple form PO can be modeled as quadratic programming problem which can be put into equivalent linear form. PO problems with the fuzzy parameters can be solved as multi-objective fuzzy linear programming problem. In this paper we give the solution to such problems with an illustrative example.

  9. Portfolio Management

    Science.gov (United States)

    Duncan, Sharon L.

    2011-01-01

    Enterprise Business Information Services Division (EBIS) supports the Laboratory and its functions through the implementation and support of business information systems on behalf of its business community. EBIS Five Strategic Focus Areas: (1) Improve project estimating, planning and delivery capability (2) Improve maintainability and sustainability of EBIS Application Portfolio (3) Leap forward in IT Leadership (4) Comprehensive Talent Management (5) Continuous IT Security Program. Portfolio Management is a strategy in which software applications are managed as assets

  10. A multi-objective model for closed-loop supply chain optimization and efficient supplier selection in a competitive environment considering quantity discount policy

    Science.gov (United States)

    Jahangoshai Rezaee, Mustafa; Yousefi, Samuel; Hayati, Jamileh

    2017-06-01

    Supplier selection and allocation of optimal order quantity are two of the most important processes in closed-loop supply chain (CLSC) and reverse logistic (RL). So that providing high quality raw material is considered as a basic requirement for a manufacturer to produce popular products, as well as achieve more market shares. On the other hand, considering the existence of competitive environment, suppliers have to offer customers incentives like discounts and enhance the quality of their products in a competition with other manufacturers. Therefore, in this study, a model is presented for CLSC optimization, efficient supplier selection, as well as orders allocation considering quantity discount policy. It is modeled using multi-objective programming based on the integrated simultaneous data envelopment analysis-Nash bargaining game. In this study, maximizing profit and efficiency and minimizing defective and functions of delivery delay rate are taken into accounts. Beside supplier selection, the suggested model selects refurbishing sites, as well as determining the number of products and parts in each network's sector. The suggested model's solution is carried out using global criteria method. Furthermore, based on related studies, a numerical example is examined to validate it.

  11. Multi-period fuzzy mean-semi variance portfolio selection problem with transaction cost and minimum transaction lots using genetic algorithm

    Directory of Open Access Journals (Sweden)

    Mohammad Ali Barati

    2016-04-01

    Full Text Available Multi-period models of portfolio selection have been developed in the literature with respect to certain assumptions. In this study, for the first time, the portfolio selection problem has been modeled based on mean-semi variance with transaction cost and minimum transaction lots considering functional constraints and fuzzy parameters. Functional constraints such as transaction cost and minimum transaction lots were included. In addition, the returns on assets parameters were considered as trapezoidal fuzzy numbers. An efficient genetic algorithm (GA was designed, results were analyzed using numerical instances and sensitivity analysis were executed. In the numerical study, the problem was solved based on the presence or absence of each mode of constraints including transaction costs and minimum transaction lots. In addition, with the use of sensitivity analysis, the results of the model were presented with the variations of minimum expected rate of programming periods.

  12. The Finite and Moving Order Multinomial Universal Portfolio

    International Nuclear Information System (INIS)

    Tan, Choon Peng; Pang, Sook Theng

    2013-01-01

    An upper bound for the ratio of wealths of the best constant -rebalanced portfolio to that of the multinomial universal portfolio is derived. The finite- order multinomial universal portfolios can reduce the implementation time and computer-memory requirements for computation. The improved performance of the finite-order portfolios on some selected local stock-price data sets is observed.

  13. Mitigating Pollution of Hazardous Materials from WEEE of China: Portfolio Selection for a sustainable future based on Multi-Criteria Decision Making

    DEFF Research Database (Denmark)

    An, Da; Yang, Yu; Chai, Xilong

    2015-01-01

    In order to solve the environmental contaminations and human health problems caused by the inappropriate treatment of waste electrical and electronic equipment (WEEE) in China, sustainable e-waste treatment has emerged in China's WEEE recycling industry. This study aims to develop a multi......-criteria decision making method by integrating interval Analytic Hierarchy Process and interval VIKOR method for China's stakeholders to select the most efficacious portfolio for solving the severe problems caused by the informal e-waste recycling and promote the development of China's WEEE recycling industry...... in a sustainable approach. An illustrative case in Guiyu has been studied by the developed method, and the results show that the portfolio of supporting the informal peddlers for legal transition, investing on infrastructure for WEEE recycling, training and education on China's residents, and restricting...

  14. Multi-modal distribution crossover method based on two crossing segments bounded by selected parents applied to multi-objective design optimization

    Energy Technology Data Exchange (ETDEWEB)

    Ariyarit, Atthaphon; Kanazaki, Masahiro [Tokyo Metropolitan University, Tokyo (Japan)

    2015-04-15

    This paper discusses airfoil design optimization using a genetic algorithm (GA) with multi-modal distribution crossover (MMDX). The proposed crossover method creates four segments from four parents, of which two segments are bounded by selected parents and two segments are bounded by one parent and another segment. After these segments are defined, four offsprings are generated. This study applied the proposed optimization to a real-world, multi-objective airfoil design problem using class-shape function transformation parameterization, which is an airfoil representation that uses polynomial function, to investigate the effectiveness of this algorithm. The results are compared with the results of the blend crossover (BLX) and unimodal normal distribution crossover (UNDX) algorithms. The objective of these airfoil design problems is to successfully find the optimal design. The outcome of using this algorithm is superior to that of the BLX and UNDX crossover methods because the proposed method can maintain higher diversity than the BLX and UNDX methods. This advantage is desirable for real-world problems.

  15. Multi-modal distribution crossover method based on two crossing segments bounded by selected parents applied to multi-objective design optimization

    International Nuclear Information System (INIS)

    Ariyarit, Atthaphon; Kanazaki, Masahiro

    2015-01-01

    This paper discusses airfoil design optimization using a genetic algorithm (GA) with multi-modal distribution crossover (MMDX). The proposed crossover method creates four segments from four parents, of which two segments are bounded by selected parents and two segments are bounded by one parent and another segment. After these segments are defined, four offsprings are generated. This study applied the proposed optimization to a real-world, multi-objective airfoil design problem using class-shape function transformation parameterization, which is an airfoil representation that uses polynomial function, to investigate the effectiveness of this algorithm. The results are compared with the results of the blend crossover (BLX) and unimodal normal distribution crossover (UNDX) algorithms. The objective of these airfoil design problems is to successfully find the optimal design. The outcome of using this algorithm is superior to that of the BLX and UNDX crossover methods because the proposed method can maintain higher diversity than the BLX and UNDX methods. This advantage is desirable for real-world problems.

  16. An Integrated Model of Material Supplier Selection and Order Allocation Using Fuzzy Extended AHP and Multiobjective Programming

    Directory of Open Access Journals (Sweden)

    Zhi Li

    2013-01-01

    Full Text Available This paper presents a supplier selection and order allocation (SSOA model to solve the problem of a multiperiod supplier selection and then order allocation in the environment of short product life cycle and frequent material purchasing, for example, fast fashion environment in apparel industry. At the first stage, with consideration of multiple decision criteria and the fuzziness of the data involved in deciding the preferences of multiple decision variables in supplier selection, the fuzzy extent analytic hierarchy process (FEAHP is adopted. In the second stage, supplier ranks are inputted into an order allocation model that aims at minimizing the risk of material purchasing and minimizing the total material purchasing costs using a dynamic programming approach, subject to constraints on deterministic customer demand and deterministic supplier capacity. Numerical examples are presented, and computational results are reported.

  17. Essays on Rational Portfolio Theory

    DEFF Research Database (Denmark)

    Nielsen, Simon Ellersgaard

    market prices, we findonly a very modest improvement in portfolio wealth over the corresponding strategy whichonly trades in bonds and stocks. Optimal Hedge Tracking Portfolios in a Limit Order Book. In this paper we developa control theoretic solution to the manner in which a portfolio manager optimally...... shouldtrack a targeted D, given that he wishes to hedge a short position in European call optionsthe underlying of which is traded in a limit order book. Specifically, we are interested in theinterplay between posting limit and market orders respectively: when should the portfoliomanager do what (and at what......’s theory of optimal portfolio selection for wealth maximisingagents. In this paper we present a systematic analysis of the optimal asset allocation in aderivative-free market for the Heston model, the 3/2 model, and a Fong Vasicek type model.Under the assumption that the market price of risk...

  18. Multi-objective Transmission Planning Paper

    DEFF Research Database (Denmark)

    Xu, Zhao; Dong, Zhao Yang; Wong, Kit Po

    2009-01-01

    This paper describes a transmission expansion planning method based on multi-objective optimization (MOOP). The method starts with constructing a candidate pool of feasible expansion plans, followed by selection of the best candidates through MOOP, of which multiple objectives are tackled...

  19. Hybridization between multi-objective genetic algorithm and support vector machine for feature selection in walker-assisted gait.

    Science.gov (United States)

    Martins, Maria; Costa, Lino; Frizera, Anselmo; Ceres, Ramón; Santos, Cristina

    2014-03-01

    Walker devices are often prescribed incorrectly to patients, leading to the increase of dissatisfaction and occurrence of several problems, such as, discomfort and pain. Thus, it is necessary to objectively evaluate the effects that assisted gait can have on the gait patterns of walker users, comparatively to a non-assisted gait. A gait analysis, focusing on spatiotemporal and kinematics parameters, will be issued for this purpose. However, gait analysis yields redundant information that often is difficult to interpret. This study addresses the problem of selecting the most relevant gait features required to differentiate between assisted and non-assisted gait. For that purpose, it is presented an efficient approach that combines evolutionary techniques, based on genetic algorithms, and support vector machine algorithms, to discriminate differences between assisted and non-assisted gait with a walker with forearm supports. For comparison purposes, other classification algorithms are verified. Results with healthy subjects show that the main differences are characterized by balance and joints excursion in the sagittal plane. These results, confirmed by clinical evidence, allow concluding that this technique is an efficient feature selection approach. Copyright © 2013 Elsevier Ireland Ltd. All rights reserved.

  20. Asset Allocation and Optimal Contract for Delegated Portfolio Management

    Science.gov (United States)

    Liu, Jingjun; Liang, Jianfeng

    This article studies the portfolio selection and the contracting problems between an individual investor and a professional portfolio manager in a discrete-time principal-agent framework. Portfolio selection and optimal contracts are obtained in closed form. The optimal contract was composed with the fixed fee, the cost, and the fraction of excess expected return. The optimal portfolio is similar to the classical two-fund separation theorem.

  1. Different Variants of Fundamental Portfolio

    Directory of Open Access Journals (Sweden)

    Tarczyński Waldemar

    2014-06-01

    Full Text Available The paper proposes the fundamental portfolio of securities. This portfolio is an alternative for the classic Markowitz model, which combines fundamental analysis with portfolio analysis. The method’s main idea is based on the use of the TMAI1 synthetic measure and, in limiting conditions, the use of risk and the portfolio’s rate of return in the objective function. Different variants of fundamental portfolio have been considered under an empirical study. The effectiveness of the proposed solutions has been related to the classic portfolio constructed with the help of the Markowitz model and the WIG20 market index’s rate of return. All portfolios were constructed with data on rates of return for 2005. Their effectiveness in 2006- 2013 was then evaluated. The studied period comprises the end of the bull market, the 2007-2009 crisis, the 2010 bull market and the 2011 crisis. This allows for the evaluation of the solutions’ flexibility in various extreme situations. For the construction of the fundamental portfolio’s objective function and the TMAI, the study made use of financial and economic data on selected indicators retrieved from Notoria Serwis for 2005.

  2. Parametric Portfolio Policies with Common Volatility Dynamics

    DEFF Research Database (Denmark)

    Ergemen, Yunus Emre; Taamouti, Abderrahim

    A parametric portfolio policy function is considered that incorporates common stock volatility dynamics to optimally determine portfolio weights. Reducing dimension of the traditional portfolio selection problem significantly, only a number of policy parameters corresponding to first- and second......-order characteristics are estimated based on a standard method-of-moments technique. The method, allowing for the calculation of portfolio weight and return statistics, is illustrated with an empirical application to 30 U.S. industries to study the economic activity before and after the recent financial crisis....

  3. Universal portfolios in stochastic portfolio theory

    OpenAIRE

    Wong, Ting-Kam Leonard

    2015-01-01

    Consider a family of portfolio strategies with the aim of achieving the asymptotic growth rate of the best one. The idea behind Cover's universal portfolio is to build a wealth-weighted average which can be viewed as a buy-and-hold portfolio of portfolios. When an optimal portfolio exists, the wealth-weighted average converges to it by concentration of wealth. Working under a discrete time and pathwise setup, we show under suitable conditions that the distribution of wealth in the family sati...

  4. Portfolio Optimization Using Particle Swarms with Stripes

    Directory of Open Access Journals (Sweden)

    Mario Villalobos Arias

    2011-04-01

    Full Text Available In this paper it is consider the Portfolio Optimization Problem developed by Markowitz [11]. The basic assumption is that the investor tries to maximize his/her profit and at the same time, wants to minimize the risk. This problem is usually solved using a scalarization approach (with one objective. Here it is solved it as a bi-objective  optimization problem. It uses a new version of the algorithm of Particle Swarm Optimization for Multi-Objective Problems to which it implemented a method of the stripes to improve dispersion.

  5. Optimal Portfolio Selection in Ex Ante Stock Price Bubble and Furthermore Bubble Burst Scenario from Dhaka Stock Exchange with Relevance to Sharpe’s Single Index Model

    Directory of Open Access Journals (Sweden)

    Javed Bin Kamal

    2012-09-01

    Full Text Available The paper aims at constructing an optimal portfolio by applying Sharpe’s single index model of capital asset pricing in different scenarios, one is ex ante stock price bubble scenario and stock price bubble and bubble burst is second scenario. Here we considered beginning of year 2010 as rise of stock price bubble in Dhaka Stock Exchange. Hence period from 2005 -2009 is considered as ex ante stock price bubble period. Using DSI (All share price index in Dhaka Stock Exchange as market index and considering daily indices for the March 2005 to December 2009 period, the proposed method formulates a unique cut off point (cut off rate of return and selects stocks having excess of their expected return over risk-free rate of return surpassing this cut-off point. Here, risk free rate considered to be 8.5% per annum (Treasury bill rate in 2009. Percentage of an investment in each of the selected stocks is then decided on the basis of respective weights assigned to each stock depending on respective ‘β’ value, stock movement variance representing unsystematic risk, return on stock and risk free return vis-à-vis the cut off rate of return. Interestingly, most of the stocks selected turned out to be bank stocks. Again we went for single index model applied to same stocks those made to the optimum portfolio in ex ante stock price bubble scenario considering data for the period of January 2010 to June 2012. We found that all stocks failed to make the pass Single Index Model criteria i.e. excess return over beta must be higher than the risk free rate. Here for the period of 2010 to 2012, the risk free rate considered to be 11.5 % per annum (Treasury bill rate during 2012.

  6. Reflection during Portfolio-Based Conversations

    Science.gov (United States)

    Oosterbaan, Anne E.; van der Schaaf, Marieke F.; Baartman, Liesbeth K. J.; Stokking, Karel M.

    2010-01-01

    This study aims to explore the relationship between the occurrence of reflection (and non-reflection) and thinking activities (e.g., orientating, selecting, analysing) during portfolio-based conversations. Analysis of 21 transcripts of portfolio-based conversations revealed that 20% of the segments were made up of reflection (content reflection…

  7. Portfolio theory in the selection of oil investment projects Teoria de carteiras na seleção de projetos de investimento em petróleo

    Directory of Open Access Journals (Sweden)

    Jalimar Guimarães Simplício

    2012-01-01

    Full Text Available The objective of this article is to compare investment project selection using the efficient frontier in the mean-variance space based on optimization models introduced by Markowitz (1952 with the project ranking method according to the profitability index (PI. The selection of real assets by companies did not incorporate the mean-variance optimization procedure in the same way the selection of financial assets in investment portfolios did. The process of selection and formation of portfolios of investment projects for the oil area of a company in the energy industry was analyzed. Project portfolios formed according to the usual company practice of ranking by their PI were compared with those that result from applying mean-variance optimization through Monte Carlo simulation, which allows the computation of mean returns, variances, and covariances for the set of projects considered. The inefficiency of project portfolios obtained by ranking according to the PI compared to those obtained by the method of Markowitz suggests that there are opportunities to improve the process of selecting the set of projects to be implemented by companies.O objetivo deste artigo é comparar a seleção de projetos de investimento segundo a fronteira eficiente no espaço média-variância com base em modelos de otimização introduzidos por Markowitz (1952 com o método do ordenamento de projetos segundo o índice de lucratividade (IL. A seleção de ativos reais pelas empresas não incorporou o procedimento de otimização de média-variância da mesma forma que na seleção de ativos financeiros para carteiras de investimento. O processo de seleção e formação de carteiras de projetos de investimento pela área de petróleo de uma empresa do setor de energia foi analisado. Carteiras de projetos constituídas de acordo com a prática usual da empresa de ordenamento pelo IL foram comparadas com as que resultariam da aplicação da otimização de m

  8. Mean-Variance Portfolio Selection Problem with Stochastic Salary for a Defined Contribution Pension Scheme: A Stochastic Linear-Quadratic-Exponential Framework

    Directory of Open Access Journals (Sweden)

    Charles Nkeki

    2013-11-01

    Full Text Available This paper examines a mean-variance portfolio selection problem with stochastic salary and inflation protection strategy in the accumulation phase of a defined contribution (DC pension plan. The utility function is assumed to be quadratic. It was assumed that the flow of contributions made by the PPM are invested into a market that is characterized by a cash account, an inflation-linked bond and a stock. In this paper, inflationlinked bond is traded and used to hedge inflation risks associated with the investment. The aim of this paper is to maximize the expected final wealth and minimize its variance. Efficient frontier for the three classes of assets (under quadratic utility function that will enable pension plan members (PPMs to decide their own wealth and risk in their investment profile at retirement was obtained.

  9. A Project Strategic Index proposal for portfolio selection in electrical company based on the Analytic Network Process

    Energy Technology Data Exchange (ETDEWEB)

    Smith-Perera, Aida [Universidad Metropolitana de Caracas, Departamento de Gestion Tecnologica, Caracas 1071, Edo Miranda (Venezuela); Garcia-Melon, Monica; Poveda-Bautista, Rocio; Pastor-Ferrando, Juan-Pascual [Universidad Politecnica de Valencia, Departamento de Proyectos de Ingenieria, Camino de vera s/n 46022 Valencia (Spain)

    2010-08-15

    In this paper a new approach to prioritize project portfolio in an efficient and reliable way is presented. It is based on strategic objectives of the company and multicriteria decision methods. The paper introduces a rigorous method with acceptable complexity which seeks to assist managers of a big Electrical Company of Venezuela to distribute the annual budget among the possible improvement actions to be conducted on the electrical network of Caracas. A total of 15 network improvement actions grouped into three clusters according to the strategic objectives of the company have been analyzed using the Project Strategic Index (PSI) proposed. The approach combines the use of the Analytic Network Process (ANP) method with the information obtained from the experts during the decision-making process. The ANP method allows the aggregation of the experts' judgments on each of the indicators used into one Project Strategic Index. In addition, ANP is based on utility ratio functions which are the most appropriate for the analysis of uncertain data, like experts' estimations. Finally, unlike the other multicriteria techniques, ANP allows the decision problem to be modelled using the relationships among dependent criteria. The participating experts coincided in the appreciation that the method proposed in this paper is useful and an improvement from traditional budget distribution techniques. They find the results obtained coherent, the process seems sufficiently rigorous and precise, and the use of resources is significantly less than in other methods. (author)

  10. A Project Strategic Index proposal for portfolio selection in electrical company based on the Analytic Network Process

    International Nuclear Information System (INIS)

    Smith-Perera, Aida; Garcia-Melon, Monica; Poveda-Bautista, Rocio; Pastor-Ferrando, Juan-Pascual

    2010-01-01

    In this paper a new approach to prioritize project portfolio in an efficient and reliable way is presented. It is based on strategic objectives of the company and multicriteria decision methods. The paper introduces a rigorous method with acceptable complexity which seeks to assist managers of a big Electrical Company of Venezuela to distribute the annual budget among the possible improvement actions to be conducted on the electrical network of Caracas. A total of 15 network improvement actions grouped into three clusters according to the strategic objectives of the company have been analyzed using the Project Strategic Index (PSI) proposed. The approach combines the use of the Analytic Network Process (ANP) method with the information obtained from the experts during the decision-making process. The ANP method allows the aggregation of the experts' judgments on each of the indicators used into one Project Strategic Index. In addition, ANP is based on utility ratio functions which are the most appropriate for the analysis of uncertain data, like experts' estimations. Finally, unlike the other multicriteria techniques, ANP allows the decision problem to be modelled using the relationships among dependent criteria. The participating experts coincided in the appreciation that the method proposed in this paper is useful and an improvement from traditional budget distribution techniques. They find the results obtained coherent, the process seems sufficiently rigorous and precise, and the use of resources is significantly less than in other methods. (author)

  11. HEURISTIC APPROACHES FOR PORTFOLIO OPTIMIZATION

    OpenAIRE

    Manfred Gilli, Evis Kellezi

    2000-01-01

    The paper first compares the use of optimization heuristics to the classical optimization techniques for the selection of optimal portfolios. Second, the heuristic approach is applied to problems other than those in the standard mean-variance framework where the classical optimization fails.

  12. Multi-objective optimization of inverse planning for accurate radiotherapy

    International Nuclear Information System (INIS)

    Cao Ruifen; Pei Xi; Cheng Mengyun; Li Gui; Hu Liqin; Wu Yican; Jing Jia; Li Guoli

    2011-01-01

    The multi-objective optimization of inverse planning based on the Pareto solution set, according to the multi-objective character of inverse planning in accurate radiotherapy, was studied in this paper. Firstly, the clinical requirements of a treatment plan were transformed into a multi-objective optimization problem with multiple constraints. Then, the fast and elitist multi-objective Non-dominated Sorting Genetic Algorithm (NSGA-II) was introduced to optimize the problem. A clinical example was tested using this method. The results show that an obtained set of non-dominated solutions were uniformly distributed and the corresponding dose distribution of each solution not only approached the expected dose distribution, but also met the dose-volume constraints. It was indicated that the clinical requirements were better satisfied using the method and the planner could select the optimal treatment plan from the non-dominated solution set. (authors)

  13. Robust Active Portfolio Management

    National Research Council Canada - National Science Library

    Erdogan, E; Goldfarb, D; Iyengar, G

    2006-01-01

    ... on the portfolio beta, and limits on cash and industry exposure. We show that the optimal portfolios can be computed by solving second-order cone programs -- a class of optimization problems with a worst case complexity (i.e...

  14. Online Learning of Commission Avoidant Portfolio Ensembles

    OpenAIRE

    Uziel, Guy; El-Yaniv, Ran

    2016-01-01

    We present a novel online ensemble learning strategy for portfolio selection. The new strategy controls and exploits any set of commission-oblivious portfolio selection algorithms. The strategy handles transaction costs using a novel commission avoidance mechanism. We prove a logarithmic regret bound for our strategy with respect to optimal mixtures of the base algorithms. Numerical examples validate the viability of our method and show significant improvement over the state-of-the-art.

  15. Performance of finite order distribution-generated universal portfolios

    Science.gov (United States)

    Pang, Sook Theng; Liew, How Hui; Chang, Yun Fah

    2017-04-01

    A Constant Rebalanced Portfolio (CRP) is an investment strategy which reinvests by redistributing wealth equally among a set of stocks. The empirical performance of the distribution-generated universal portfolio strategies are analysed experimentally concerning 10 higher volume stocks from different categories in Kuala Lumpur Stock Exchange. The time interval of study is from January 2000 to December 2015, which includes the credit crisis from September 2008 to March 2009. The performance of the finite-order universal portfolio strategies has been shown to be better than Constant Rebalanced Portfolio with some selected parameters of proposed universal portfolios.

  16. Comprehensive Education Portfolio with a Career Focus

    Science.gov (United States)

    Kruger, Evonne J.; Holtzman, Diane M.; Dagavarian, Debra A.

    2013-01-01

    There are many types of student portfolios used within academia: the prior learning portfolio, credentialing portfolio, developmental portfolio, capstone portfolio, individual course portfolio, and the comprehensive education portfolio. The comprehensive education portfolio (CEP), as used by the authors, is a student portfolio, developed over…

  17. Concurrent credit portfolio losses.

    Science.gov (United States)

    Sicking, Joachim; Guhr, Thomas; Schäfer, Rudi

    2018-01-01

    We consider the problem of concurrent portfolio losses in two non-overlapping credit portfolios. In order to explore the full statistical dependence structure of such portfolio losses, we estimate their empirical pairwise copulas. Instead of a Gaussian dependence, we typically find a strong asymmetry in the copulas. Concurrent large portfolio losses are much more likely than small ones. Studying the dependences of these losses as a function of portfolio size, we moreover reveal that not only large portfolios of thousands of contracts, but also medium-sized and small ones with only a few dozens of contracts exhibit notable portfolio loss correlations. Anticipated idiosyncratic effects turn out to be negligible. These are troublesome insights not only for investors in structured fixed-income products, but particularly for the stability of the financial sector. JEL codes: C32, F34, G21, G32, H81.

  18. A dynamic decision model for portfolio investment and assets management

    Institute of Scientific and Technical Information of China (English)

    QIAN Edward Y.; FENG Ying; HIGGISION James

    2005-01-01

    This paper addresses a dynamic portfolio investment problem. It discusses how we can dynamically choose candidate assets, achieve the possible maximum revenue and reduce the risk to the minimum level. The paper generalizes Markowitz's portfolio selection theory and Sharpe's rule for investment decision. An analytical solution is presented to show how an institutional or individual investor can combine Markowitz's portfolio selection theory, generalized Sharpe's rule and Value-at-Risk(VaR) to find candidate assets and optimal level of position sizes for investment (dis-investment). The result shows that the generalized Markowitz's portfolio selection theory and generalized Sharpe's rule improve decision making for investment.

  19. Decentralized portfolio management

    OpenAIRE

    Coutinho, Paulo; Tabak, Benjamin Miranda

    2003-01-01

    We use a mean-variance model to analyze the problem of decentralized portfolio management. We find the solution for the optimal portfolio allocation for a head trader operating in n different markets, which is called the optimal centralized portfolio. However, as there are many traders specialized in different markets, the solution to the problem of optimal decentralized allocation should be different from the centralized case. In this paper we derive conditions for the solutions to be equiva...

  20. Risk modelling in portfolio optimization

    Science.gov (United States)

    Lam, W. H.; Jaaman, Saiful Hafizah Hj.; Isa, Zaidi

    2013-09-01

    Risk management is very important in portfolio optimization. The mean-variance model has been used in portfolio optimization to minimize the investment risk. The objective of the mean-variance model is to minimize the portfolio risk and achieve the target rate of return. Variance is used as risk measure in the mean-variance model. The purpose of this study is to compare the portfolio composition as well as performance between the optimal portfolio of mean-variance model and equally weighted portfolio. Equally weighted portfolio means the proportions that are invested in each asset are equal. The results show that the portfolio composition of the mean-variance optimal portfolio and equally weighted portfolio are different. Besides that, the mean-variance optimal portfolio gives better performance because it gives higher performance ratio than the equally weighted portfolio.

  1. Comparing Variance/Covariance and Historical Simulation in the Context of the Financial Crisis – Do Extreme Movements Have an Influence onto Portfolio Selection?

    Directory of Open Access Journals (Sweden)

    Svend Reuse

    2010-09-01

    Full Text Available Portfolio theory and the basic ideas of Markowitz have been extended in the recent past by alternative risk models as historical simulation or even copula functions. The central question of this paper is if these approaches lead to different results compared to the classical variance/covariance approach. Therefore, empirical data of the last 10 years is analysed. Both approaches are compared in the special context of the financial crisis. The worst case optimization and the Value at Risk (VaR are defined in order to define the minimum risk portfolio before and after the financial crisis. The result is that the financial crisis has nearly no impact onto the portfolio, but the two approaches lead to different results.

  2. Program and Portfolio Tradeoffs Under Uncertainty Using Epoch-Era Analysis: A Case Application to Carrier Strike Group Design

    Science.gov (United States)

    2015-05-01

    Modern Portfolio Theory (MPT) • Joint EEA and MPT Method... Modern Portfolio Theory (MPT) for Engineering Portfolios Consistencies • Value elicitation from stakeholders • Modeling of asset value • Founded...correlation • Asset availability is dynamic • Costs may accompany diversification Select elements of Modern Portfolio Theory can improve the design

  3. AREVA's nuclear reactors portfolio

    International Nuclear Information System (INIS)

    Marincic, A.

    2009-01-01

    A reasonable assumption for the estimated new build market for the next 25 years is over 340 GWe net. The number of prospect countries is growing almost each day. To address this new build market, AREVA is developing a comprehensive portfolio of reactors intended to meet a wide range of power requirements and of technology choices. The EPR reactor is the flagship of the fleet. Intended for large power requirements, the four first EPRs are being built in Finland, France and China. Other countries and customers are in view, citing just two examples: the Usa where the U.S. EPR has been selected as the technology of choice by several U.S utilities; and the United Kingdom where the Generic Design Acceptance process of the EPR design submitted by AREVA and EDF is well under way, and where there is a strong will to have a plant on line in 2017. For medium power ranges, the AREVA portfolio includes a boiling water reactor and a pressurized water reactor which both offer all of the advantages of an advanced plant design, with excellent safety performance and competitive power generation cost: -) KERENA (1250+ MWe), developed in collaboration with several European utilities, and in particular with Eon; -) ATMEA 1 (1100+ MWe), a 3-loop evolutionary PWR which is being developed by AREVA and Mitsubishi. AREVA is also preparing the future and is deeply involved into Gen IV concepts. It has developed the ANTARES modular HTR reactor (pre-conceptual design completed) and is building upon its vast Sodium Fast Reactor experience to take part into the development of the next prototype. (author)

  4. Project Portfolio Management: An Investigation of One Air Force Product Center

    National Research Council Canada - National Science Library

    Edmunds, Bryan D

    2005-01-01

    .... This research focuses on the portfolio management (project selection and resource allocation) part of the CTRRP. The purpose of this research effort was to investigate the use of portfolio management within the Air Force...

  5. METHODICAL BASES OF MANAGEMENT OF INSURANCE PORTFOLIO

    Directory of Open Access Journals (Sweden)

    Serdechna Yulia

    2018-01-01

    Full Text Available Introduction. Despite the considerable arsenal of developments in the issues of assessing the management of the insurance portfolio remains unresolved. In order to detail, specify and further systematize the indicators for the indicated evaluation, the publications of scientists are analyzed. The purpose of the study is to analyze existing methods by which it is possible to formulate and manage the insurance portfolio in order to achieve its balance, which will contribute to ensuring the financial reliability of the insurance company. Results. The description of the essence of the concept of “management of insurance portfolio”, as the application of actuarial methods and techniques to the combination of various insurance risks offered for insurance or are already part of the insurance portfolio, allowing to adjust the size and structure of the portfolio in order to ensure its financial stability, achievement the maximum level of income of an insurance organization, preservation of the value of its equity and financial security of insurance liabilities. It is determined that the main methods by which the insurer’s insurance portfolio can be formed and managed is the selection of risks; reinsurance operations that ensure diversification of risks; formation and placement of insurance reserves, which form the financial basis of insurance activities. The method of managing an insurance portfolio, which can be both active and passive, is considered. Conclusions. It is determined that the insurance portfolio is the basis on which all the activities of the insurer are based and which determines its financial stability. The combination of methods and technologies applied to the insurance portfolio is a management method that can be both active and passive and has a number of specific methods through which the insurer’s insurance portfolio can be formed and managed. It is substantiated that each insurance company aims to form an efficient and

  6. Portfolio analysis based on the example of Zagreb Stock Exchange

    OpenAIRE

    Bogdan, Sinisa; Baresa, Suzana; Ivanovic, Sasa

    2010-01-01

    In this paper we analyze the portfolio that was selected from the Zagreb Stock Exchange and also try to assess its risks and its future offerings that are relevant in making the decisions about investments. Through the work we will explain the importance of diversification and how the very diversification reduces risk. We will also analyze the systemic risk of individual stocks within the portfolio and the systemic risk of the given portfolio and explain its importance. Through regression ana...

  7. Digital portfolio for learning: A new communication channel for education

    Directory of Open Access Journals (Sweden)

    Judit Coromina

    2011-04-01

    Full Text Available Purpose: The Catalonian Government has the intention of introducing the digital portfolio before 2017, an initiative related to new approaches for learning. Taking in consideration the increasing interest for digital portfolio as a new communication channel for education, the article aims are: on the one hand to describe how the digital portfolio works and on the other hand, to identify a list of criteria that should be useful for educative centers to select the best application to create the digital portfolio according to their needs.Design/methodology/approach: Firstly, a theoretical framework for portfolio functioning is described. After, applications to support the digital portfolio are classified. Next, a requirement analysis on an ideal application to support the portfolio is made, according to those phases for the portfolio creation identified in the theoretical framework. Lastly, a list of criteria is established to select the application for creating the digital portfolio.Findings and Originality/value: The article contributes to structure the portfolio creation process in some stages and phases in a wider way that it is described in the literature. In addition, a list of criteria is defined to help educative centers to select the application for managing the portfolio that fits better with their objectives. These criteria have been obtained with an exhaustive methodology.Research limitations/implications: In order to put in practice the identified criteria it is proposed to complete the multi-criteria decision model in a new study. It should include processes to weigh criteria and define normalizations. Afterwards it would be able to analyze the value of the model studying the satisfaction for using it by a sample of educative centers.Practical implications: The list of criteria identified should facilitate the selection of the more adequate application to create the learning portfolio to the educative centers, according to their

  8. Methods of Choosing an Optimal Portfolio of Projects

    OpenAIRE

    Yakovlev, A.; Chernenko, M.

    2016-01-01

    This paper presents an analysis of existing methods for a portfolio of project optimization. The necessity for their improvement is shown. It is suggested to assess the portfolio of projects on the basis of the amount in the difference between the results and costs during development and implementation of selected projects and the losses caused by non-implementation or delayed implementation of projects that were not included in the portfolio. Consideration of capital and current costs compon...

  9. PSN: Portfolio Social Network

    DEFF Research Database (Denmark)

    Cortes, Jordi Magrina; Nizamani, Sarwat; Memon, Nasrullah

    2014-01-01

    In this paper we present a web-based information system which is a portfolio social network (PSN) that provides solutions to the recruiters and job seekers. The proposed system enables users to create portfolio so that he/she can add his specializations with piece of code if any specifically...

  10. Using Electronic Portfolios

    Science.gov (United States)

    Page, Deb

    2012-01-01

    The digitized collections of artifacts known as electronic portfolios are creating solutions to a variety of performance improvement needs in ways that are cost-effective and improve both individual and group learning and performance. When social media functionality is embedded in e-portfolios, the tools support collaboration, social learning,…

  11. Households' portfolio choices

    NARCIS (Netherlands)

    Hochgürtel, S.

    1998-01-01

    This thesis presents four topics on households' portfolio choices. Empirically, households do not hold well-diversified wealth portfolios. In particular, they refrain from putting their savings into risky assets. We explore several ways that might help explaining this observation. Using Dutch

  12. Portfolio i erhvervsuddannelserne

    DEFF Research Database (Denmark)

    2008-01-01

    Materialet kombinerer korte film med introducerende tekster og belyser fra forskellige vinkler, hvordan portfolio kan bruges som evalueringsmetode i erhvervsuddannelserne. Udgiver: Undervisningsministeriet Udgivelsessted: Pub.uvm.dk......Materialet kombinerer korte film med introducerende tekster og belyser fra forskellige vinkler, hvordan portfolio kan bruges som evalueringsmetode i erhvervsuddannelserne. Udgiver: Undervisningsministeriet Udgivelsessted: Pub.uvm.dk...

  13. Leptokurtic portfolio theory

    Science.gov (United States)

    Kitt, R.; Kalda, J.

    2006-03-01

    The question of optimal portfolio is addressed. The conventional Markowitz portfolio optimisation is discussed and the shortcomings due to non-Gaussian security returns are outlined. A method is proposed to minimise the likelihood of extreme non-Gaussian drawdowns of the portfolio value. The theory is called Leptokurtic, because it minimises the effects from “fat tails” of returns. The leptokurtic portfolio theory provides an optimal portfolio for investors, who define their risk-aversion as unwillingness to experience sharp drawdowns in asset prices. Two types of risks in asset returns are defined: a fluctuation risk, that has Gaussian distribution, and a drawdown risk, that deals with distribution tails. These risks are quantitatively measured by defining the “noise kernel” — an ellipsoidal cloud of points in the space of asset returns. The size of the ellipse is controlled with the threshold parameter: the larger the threshold parameter, the larger return are accepted for investors as normal fluctuations. The return vectors falling into the kernel are used for calculation of fluctuation risk. Analogously, the data points falling outside the kernel are used for the calculation of drawdown risks. As a result the portfolio optimisation problem becomes three-dimensional: in addition to the return, there are two types of risks involved. Optimal portfolio for drawdown-averse investors is the portfolio minimising variance outside the noise kernel. The theory has been tested with MSCI North America, Europe and Pacific total return stock indices.

  14. Comparisons and Characterizations of the Mean-Variance, Mean-VaR, Mean-CVaR Models for Portfolio Selection With Background Risk

    OpenAIRE

    Xu, Guo; Wing-Keung, Wong; Lixing, Zhu

    2013-01-01

    This paper investigates the impact of background risk on an investor’s portfolio choice in a mean-VaR, mean-CVaR and mean-variance framework, and analyzes the characterizations of the mean-variance boundary and mean-VaR efficient frontier in the presence of background risk. We also consider the case with a risk-free security.

  15. Financial planning working capital ventures using software «analyzer bdds» sold on the basis of selection of optimal bond portfolio

    Directory of Open Access Journals (Sweden)

    N.J. Timofeeva

    2011-05-01

    Full Text Available This article examines the financial planning of working capital organizations, in particular presented a software implementation of the algorithm analyzes the budget forecast working capital, identify and take advantage of temporarily free money using a model of a decision on the choice of the optimal bond portfolio, consistent with the free flow of liquidity of the enterprise.

  16. Project Portfolio Risk Identification and Analysis, Considering Project Risk Interactions and Using Bayesian Networks

    Directory of Open Access Journals (Sweden)

    Foroogh Ghasemi

    2018-05-01

    Full Text Available An organization’s strategic objectives are accomplished through portfolios. However, the materialization of portfolio risks may affect a portfolio’s sustainable success and the achievement of those objectives. Moreover, project interdependencies and cause–effect relationships between risks create complexity for portfolio risk analysis. This paper presents a model using Bayesian network (BN methodology for modeling and analyzing portfolio risks. To develop this model, first, portfolio-level risks and risks caused by project interdependencies are identified. Then, based on their cause–effect relationships all portfolio risks are organized in a BN. Conditional probability distributions for this network are specified and the Bayesian networks method is used to estimate the probability of portfolio risk. This model was applied to a portfolio of a construction company located in Iran and proved effective in analyzing portfolio risk probability. Furthermore, the model provided valuable information for selecting a portfolio’s projects and making strategic decisions.

  17. Multi-objective optimization approach for air traffic flow management

    Directory of Open Access Journals (Sweden)

    Fadil Rabie

    2017-01-01

    The decision-making stage was then performed with the aid of data clustering techniques to reduce the sizeof the Pareto-optimal set and obtain a smaller representation of the multi-objective design space, there by making it easier for the decision-maker to find satisfactory and meaningful trade-offs, and to select a preferred final design solution.

  18. The standard for portfolio management

    CERN Document Server

    2017-01-01

    The Standard for Portfolio Management – Fourth Edition has been updated to best reflect the current state of portfolio management. It describe the principles that drive accepted good portfolio management practices in today’s organizations. It also expands the description of portfolio management to reflect its relation to organizational project management and the organization.

  19. Adaptive scalarization methods in multiobjective optimization

    CERN Document Server

    Eichfelder, Gabriele

    2008-01-01

    This book presents adaptive solution methods for multiobjective optimization problems based on parameter dependent scalarization approaches. Readers will benefit from the new adaptive methods and ideas for solving multiobjective optimization.

  20. A Case Study of a Multiobjective Elitist Recombinative Genetic Algorithm with Coevolutionary Sharing

    NARCIS (Netherlands)

    Neef, R.M.; Thierens, D.; Arciszewski, H.F.R.

    1999-01-01

    We present a multiobjective genetic algorithm that incorporates various genetic algorithm techniques that have been proven to be efficient and robust in their problem domain. More specifically, we integrate rank based selection, adaptive niching through coevolutionary sharing, elitist recombination,

  1. A case study of a multiobjective recombinative genetic algorithm with coevolutionary sharing

    NARCIS (Netherlands)

    Neef, R.M.; Thierens, D.; Arciszewski, H.F.R.

    1999-01-01

    We present a multiobjective genetic algorithm that incorporates various genetic algorithm techniques that have been proven to be efficient and robust in their problem domain. More specifically, we integrate rank based selection, adaptive niching through coevolutionary sharing, elitist recombination,

  2. Strategic biopharmaceutical portfolio development: an analysis of constraint-induced implications.

    Science.gov (United States)

    George, Edmund D; Farid, Suzanne S

    2008-01-01

    Optimizing the structure and development pathway of biopharmaceutical drug portfolios are core concerns to the developer that come with several attached complexities. These include strategic decisions for the choice of drugs, the scheduling of critical activities, and the possible involvement of third parties for development and manufacturing at various stages for each drug. Additional complexities that must be considered include the impact of making such decisions in an uncertain environment. Presented here is the development of a stochastic multi-objective optimization framework designed to address these issues. The framework harnesses the ability of Bayesian networks to characterize the probabilistic structure of superior decisions via machine learning and evolve them to multi-objective optimality. Case studies that entailed three- and five-drug portfolios alongside a range of cash flow constraints were constructed to derive insight from the framework where results demonstrate that a variety of options exist for formulating nondominated strategies in the objective space considered, giving the manufacturer a range of pursuable options. In all cases limitations on cash flow reduce the potential for generating profits for a given probability of success. For the sizes of portfolio considered, results suggest that naïvely applying strategies optimal for a particular size of portfolio to a portfolio of another size is inappropriate. For the five-drug portfolio the most preferred means for development across the set of optimized strategies is to fully integrate development and commercial activities in-house. For the three-drug portfolio, the preferred means of development involves a mixture of in-house, outsourced, and partnered activities. Also, the size of the portfolio appears to have a larger impact on strategy and the quality of objectives than the magnitude of cash flow constraint.

  3. Utility portfolio diversification

    International Nuclear Information System (INIS)

    Griffes, P.H.

    1990-01-01

    This paper discusses portfolio analysis as a method to evaluate utility supply decisions. Specifically a utility is assumed to increase the value of its portfolio of assets whenever it invests in a new supply technology. This increase in value occurs because the new asset either enhances the return or diversifies the risks of the firm's portfolio of assets. This evaluation method is applied to two supply innovations in the electric utility industry: jointly-owned generating plants and supply contracts with independent power producers (IPPs)

  4. Constant Proportion Portfolio Insurance

    DEFF Research Database (Denmark)

    Jessen, Cathrine

    2014-01-01

    on the theme, originally proposed by Fischer Black. In CPPI, a financial institution guarantees a floor value for the “insured” portfolio and adjusts the stock/bond mix to produce a leveraged exposure to the risky assets, which depends on how far the portfolio value is above the floor. Plain-vanilla portfolio...... insurance largely died with the crash of 1987, but CPPI is still going strong. In the frictionless markets of finance theory, the issuer’s strategy to hedge its liability under the contract is clear, but in the real world with transactions costs and stochastic jump risk, the optimal strategy is less obvious...

  5. The Effects of Portfolio Assessment on Writing of EFL Students

    Science.gov (United States)

    Nezakatgoo, Behzad

    2011-01-01

    The primary focus of this study was to determine the effect of portfolio assessment on final examination scores of EFL students' writing skill. To determine the impact of portfolio-based writing assessment 40 university students who enrolled in composition course were initially selected and divided randomly into two experimental and control…

  6. Can One Portfolio Measure the Six ACGME General Competencies?

    Science.gov (United States)

    Jarvis, Robert M.; O'Sullivan, Patricia S.; McClain, Tina; Clardy, James A.

    2004-01-01

    Objective: To determine that portfolios, useable by any program, can provide needed evidence of resident performance within the ACGME general competencies. Methods: Eighteen residents constructed portfolios with selected entries from thirteen psychiatric skills. Two raters assessed whether entries reflected resident performance within the general…

  7. 2-Phase NSGA II: An Optimized Reward and Risk Measurements Algorithm in Portfolio Optimization

    Directory of Open Access Journals (Sweden)

    Seyedeh Elham Eftekharian

    2017-11-01

    Full Text Available Portfolio optimization is a serious challenge for financial engineering and has pulled down special attention among investors. It has two objectives: to maximize the reward that is calculated by expected return and to minimize the risk. Variance has been considered as a risk measure. There are many constraints in the world that ultimately lead to a non–convex search space such as cardinality constraint. In conclusion, parametric quadratic programming could not be applied and it seems essential to apply multi-objective evolutionary algorithm (MOEA. In this paper, a new efficient multi-objective portfolio optimization algorithm called 2-phase NSGA II algorithm is developed and the results of this algorithm are compared with the NSGA II algorithm. It was found that 2-phase NSGA II significantly outperformed NSGA II algorithm.

  8. Portfolio Management System

    Data.gov (United States)

    US Agency for International Development — PfMS is an implementation of WorkLenz. WorkLenz is USAID's portfolio management system tool. It is a commercially available, off-the-shelf (COTS) package that...

  9. Markowitz portfolio optimization model employing fuzzy measure

    Science.gov (United States)

    Ramli, Suhailywati; Jaaman, Saiful Hafizah

    2017-04-01

    Markowitz in 1952 introduced the mean-variance methodology for the portfolio selection problems. His pioneering research has shaped the portfolio risk-return model and become one of the most important research fields in modern finance. This paper extends the classical Markowitz's mean-variance portfolio selection model applying the fuzzy measure to determine the risk and return. In this paper, we apply the original mean-variance model as a benchmark, fuzzy mean-variance model with fuzzy return and the model with return are modeled by specific types of fuzzy number for comparison. The model with fuzzy approach gives better performance as compared to the mean-variance approach. The numerical examples are included to illustrate these models by employing Malaysian share market data.

  10. Designing Modern Equity Portfolios

    OpenAIRE

    Ronald Jean Degen

    2011-01-01

    This aim of this paper is to describe possible ways of investing in equity; choosing the right stocks(among small-cap, large-cap, value, growth, and foreign) using fundamental analysis, defining their appropriate mix in the portfolios according to the desired return-risk profiles based on Markowitz?s modern portfolio theory, and using technical analysis to buy and sell them.

  11. Multiobjective Optimization Involving Quadratic Functions

    Directory of Open Access Journals (Sweden)

    Oscar Brito Augusto

    2014-01-01

    Full Text Available Multiobjective optimization is nowadays a word of order in engineering projects. Although the idea involved is simple, the implementation of any procedure to solve a general problem is not an easy task. Evolutionary algorithms are widespread as a satisfactory technique to find a candidate set for the solution. Usually they supply a discrete picture of the Pareto front even if this front is continuous. In this paper we propose three methods for solving unconstrained multiobjective optimization problems involving quadratic functions. In the first, for biobjective optimization defined in the bidimensional space, a continuous Pareto set is found analytically. In the second, applicable to multiobjective optimization, a condition test is proposed to check if a point in the decision space is Pareto optimum or not and, in the third, with functions defined in n-dimensional space, a direct noniterative algorithm is proposed to find the Pareto set. Simple problems highlight the suitability of the proposed methods.

  12. PORTFOLIO OPTIMIZATION ON CROATIAN CAPITAL MARKET

    Directory of Open Access Journals (Sweden)

    Sinisa Bogdan

    2013-12-01

    Full Text Available Purpose of this paper was to research portfolio optimization problem on Croatian capital market using Markowitz theory. Research systematically investigated the selection of securities, and defined the importance of using fundamental analysis when selecting the best combination of securities. Since fundamental analysis involves a large number of indicators, this paper selected key indicators that enable a complete and quick securities review on the market. This paper clarifies diversification effect and influence of the correlation coefficient on diversification. Two basic types of assets (stocks and cash funds have been chosen to build the optimal portfolio. Cash funds were selected because they represent a form of risk-free investment, while stocks were chosen because of the high level of return which they achieve. At the end of paper, optimal portfolio was calculated with an excellent yield of 1.82% and deviation of 5.77% on a monthly basis which corresponds to the minimum deviation of the selected stocks. Calculated optimal portfolio achieves better expected value than investing in stock index CROBEX, which for the same period achieves the expected result of -0.02%.

  13. Making practice transparent through e-portfolio.

    Science.gov (United States)

    Stewart, Sarah M

    2013-12-01

    Midwives are required to maintain a professional portfolio as part of their statutory requirements. Some midwives are using open social networking tools and processes to develop an e-portfolio. However, confidentiality of patient and client data and professional reputation have to be taken into consideration when using online public spaces for reflection. There is little evidence about how midwives use social networking tools for ongoing learning. It is uncertain how reflecting in an e-portfolio with an audience impacts on learning outcomes. This paper investigates ways in which reflective midwifery practice be carried out using e-portfolio in open, social networking platforms using collaborative processes. Using an auto-ethnographic approach I explored my e-portfolio and selected posts that had attracted six or more comments. I used thematic analysis to identify themes within the textual conversations in the posts and responses posted by readers. The analysis identified that my collaborative e-portfolio had four themes: to provide commentary and discuss issues; to reflect and process learning; to seek advice, brainstorm and process ideas for practice, projects and research, and provide evidence of professional development. E-portfolio using open social networking tools and processes is a viable option for midwives because it facilitates collaborative reflection and shared learning. However, my experience shows that concerns about what people think, and client confidentiality does impact on the nature of open reflection and learning outcomes. I conclude this paper with a framework for managing midwifery statutory obligations using online public spaces and social networking tools. Copyright © 2013 Australian College of Midwives. Published by Elsevier Ltd. All rights reserved.

  14. On application of vector optimization in the problem of formation of portfolio of counterparties

    Science.gov (United States)

    Gorbich, A. L.; Medvedeva, M. A.; Medvedev, M. A.

    2016-12-01

    For the effective functioning of any enterprise it is necessary to choose the right partners: suppliers of raw material, buyers of finished products, with which the company interacts in the course of their business. However, the presence on the market of big amounts of enterprises makes the choice the most appropriate among them very difficult and requires the ability to objectively assess of the possible partners, based on multilateral analysis of their activities. This analysis can be carried out based on the solution of multiobjective problems of mathematical programming by using the methods of vector optimization. The work considers existing methods of selection of counterparties, as well as the theoretical foundations for the proposed methodology. It also describes a computer program that analyzes the raw data for contractors and allows choosing the best portfolio of suppliers of enterprise. The feature of selection of counterparties is that today's market has a large number of enterprises in similar activities. Successful choice of contractor will help to avoid unpleasant situations and financial losses, as well as to find a reliable partner in his person for the implementation of the production strategy of the company.

  15. Backtesting Portfolio Value-at-Risk with Estimated Portfolio Weights

    OpenAIRE

    Pei Pei

    2010-01-01

    This paper theoretically and empirically analyzes backtesting portfolio VaR with estimation risk in an intrinsically multivariate framework. For the first time in the literature, it takes into account the estimation of portfolio weights in forecasting portfolio VaR and its impact on backtesting. It shows that the estimation risk from estimating the portfolio weights as well as that from estimating the multivariate dynamic model of asset returns make the existing methods in a univariate framew...

  16. Multi-objective optimization in systematic conservation planning and the representation of genetic variability among populations.

    Science.gov (United States)

    Schlottfeldt, S; Walter, M E M T; Carvalho, A C P L F; Soares, T N; Telles, M P C; Loyola, R D; Diniz-Filho, J A F

    2015-06-18

    Biodiversity crises have led scientists to develop strategies for achieving conservation goals. The underlying principle of these strategies lies in systematic conservation planning (SCP), in which there are at least 2 conflicting objectives, making it a good candidate for multi-objective optimization. Although SCP is typically applied at the species level (or hierarchically higher), it can be used at lower hierarchical levels, such as using alleles as basic units for analysis, for conservation genetics. Here, we propose a method of SCP using a multi-objective approach. We used non-dominated sorting genetic algorithm II in order to identify the smallest set of local populations of Dipteryx alata (baru) (a Brazilian Cerrado species) for conservation, representing the known genetic diversity and using allele frequency information associated with heterozygosity and Hardy-Weinberg equilibrium. We worked in 3 variations for the problem. First, we reproduced a previous experiment, but using a multi-objective approach. We found that the smallest set of populations needed to represent all alleles under study was 7, corroborating the results of the previous study, but with more distinct solutions. In the 2nd and 3rd variations, we performed simultaneous optimization of 4 and 5 objectives, respectively. We found similar but refined results for 7 populations, and a larger portfolio considering intra-specific diversity and persistence with populations ranging from 8-22. This is the first study to apply multi-objective algorithms to an SCP problem using alleles at the population level as basic units for analysis.

  17. Reliability optimization using multiobjective ant colony system approaches

    International Nuclear Information System (INIS)

    Zhao Jianhua; Liu Zhaoheng; Dao, M.-T.

    2007-01-01

    The multiobjective ant colony system (ACS) meta-heuristic has been developed to provide solutions for the reliability optimization problem of series-parallel systems. This type of problems involves selection of components with multiple choices and redundancy levels that produce maximum benefits, and is subject to the cost and weight constraints at the system level. These are very common and realistic problems encountered in conceptual design of many engineering systems. It is becoming increasingly important to develop efficient solutions to these problems because many mechanical and electrical systems are becoming more complex, even as development schedules get shorter and reliability requirements become very stringent. The multiobjective ACS algorithm offers distinct advantages to these problems compared with alternative optimization methods, and can be applied to a more diverse problem domain with respect to the type or size of the problems. Through the combination of probabilistic search, multiobjective formulation of local moves and the dynamic penalty method, the multiobjective ACSRAP, allows us to obtain an optimal design solution very frequently and more quickly than with some other heuristic approaches. The proposed algorithm was successfully applied to an engineering design problem of gearbox with multiple stages

  18. Wireless Sensor Network Optimization: Multi-Objective Paradigm.

    Science.gov (United States)

    Iqbal, Muhammad; Naeem, Muhammad; Anpalagan, Alagan; Ahmed, Ashfaq; Azam, Muhammad

    2015-07-20

    Optimization problems relating to wireless sensor network planning, design, deployment and operation often give rise to multi-objective optimization formulations where multiple desirable objectives compete with each other and the decision maker has to select one of the tradeoff solutions. These multiple objectives may or may not conflict with each other. Keeping in view the nature of the application, the sensing scenario and input/output of the problem, the type of optimization problem changes. To address different nature of optimization problems relating to wireless sensor network design, deployment, operation, planing and placement, there exist a plethora of optimization solution types. We review and analyze different desirable objectives to show whether they conflict with each other, support each other or they are design dependent. We also present a generic multi-objective optimization problem relating to wireless sensor network which consists of input variables, required output, objectives and constraints. A list of constraints is also presented to give an overview of different constraints which are considered while formulating the optimization problems in wireless sensor networks. Keeping in view the multi facet coverage of this article relating to multi-objective optimization, this will open up new avenues of research in the area of multi-objective optimization relating to wireless sensor networks.

  19. A Novel Multiobjective Evolutionary Algorithm Based on Regression Analysis

    Directory of Open Access Journals (Sweden)

    Zhiming Song

    2015-01-01

    Full Text Available As is known, the Pareto set of a continuous multiobjective optimization problem with m objective functions is a piecewise continuous (m-1-dimensional manifold in the decision space under some mild conditions. However, how to utilize the regularity to design multiobjective optimization algorithms has become the research focus. In this paper, based on this regularity, a model-based multiobjective evolutionary algorithm with regression analysis (MMEA-RA is put forward to solve continuous multiobjective optimization problems with variable linkages. In the algorithm, the optimization problem is modelled as a promising area in the decision space by a probability distribution, and the centroid of the probability distribution is (m-1-dimensional piecewise continuous manifold. The least squares method is used to construct such a model. A selection strategy based on the nondominated sorting is used to choose the individuals to the next generation. The new algorithm is tested and compared with NSGA-II and RM-MEDA. The result shows that MMEA-RA outperforms RM-MEDA and NSGA-II on the test instances with variable linkages. At the same time, MMEA-RA has higher efficiency than the other two algorithms. A few shortcomings of MMEA-RA have also been identified and discussed in this paper.

  20. Wireless Sensor Network Optimization: Multi-Objective Paradigm

    Science.gov (United States)

    Iqbal, Muhammad; Naeem, Muhammad; Anpalagan, Alagan; Ahmed, Ashfaq; Azam, Muhammad

    2015-01-01

    Optimization problems relating to wireless sensor network planning, design, deployment and operation often give rise to multi-objective optimization formulations where multiple desirable objectives compete with each other and the decision maker has to select one of the tradeoff solutions. These multiple objectives may or may not conflict with each other. Keeping in view the nature of the application, the sensing scenario and input/output of the problem, the type of optimization problem changes. To address different nature of optimization problems relating to wireless sensor network design, deployment, operation, planing and placement, there exist a plethora of optimization solution types. We review and analyze different desirable objectives to show whether they conflict with each other, support each other or they are design dependent. We also present a generic multi-objective optimization problem relating to wireless sensor network which consists of input variables, required output, objectives and constraints. A list of constraints is also presented to give an overview of different constraints which are considered while formulating the optimization problems in wireless sensor networks. Keeping in view the multi facet coverage of this article relating to multi-objective optimization, this will open up new avenues of research in the area of multi-objective optimization relating to wireless sensor networks. PMID:26205271

  1. Decentralized Portfolio Management

    Directory of Open Access Journals (Sweden)

    Benjamin Miranda Tabak

    2003-12-01

    Full Text Available We use a mean-variance model to analyze the problem of decentralized portfolio management. We find the solution for the optimal portfolio allocation for a head trader operating in n different markets, which is called the optimal centralized portfolio. However, as there are many traders specialized in different markets, the solution to the problem of optimal decentralized allocation should be different from the centralized case. In this paper we derive conditions for the solutions to be equivalent. We use multivariate normal returns and a negative exponential function to solve the problem analytically. We generate the equivalence of solutions by assuming that different traders face different interest rates for borrowing and lending. This interest rate is dependent on the ratio of the degrees of risk aversion of the trader and the head trader, on the excess return, and on the correlation between asset returns.

  2. Linearly Adjustable International Portfolios

    Science.gov (United States)

    Fonseca, R. J.; Kuhn, D.; Rustem, B.

    2010-09-01

    We present an approach to multi-stage international portfolio optimization based on the imposition of a linear structure on the recourse decisions. Multiperiod decision problems are traditionally formulated as stochastic programs. Scenario tree based solutions however can become intractable as the number of stages increases. By restricting the space of decision policies to linear rules, we obtain a conservative tractable approximation to the original problem. Local asset prices and foreign exchange rates are modelled separately, which allows for a direct measure of their impact on the final portfolio value.

  3. Linearly Adjustable International Portfolios

    International Nuclear Information System (INIS)

    Fonseca, R. J.; Kuhn, D.; Rustem, B.

    2010-01-01

    We present an approach to multi-stage international portfolio optimization based on the imposition of a linear structure on the recourse decisions. Multiperiod decision problems are traditionally formulated as stochastic programs. Scenario tree based solutions however can become intractable as the number of stages increases. By restricting the space of decision policies to linear rules, we obtain a conservative tractable approximation to the original problem. Local asset prices and foreign exchange rates are modelled separately, which allows for a direct measure of their impact on the final portfolio value.

  4. Agile Project Portfolio Management

    DEFF Research Database (Denmark)

    Andersen, Jesper Rank; Riis, Jens Ove; Mikkelsen, Hans

    2005-01-01

    This paper will provide a preliminary introduction to the application of Agile Thinking in management of project portfolio and company development. At any point in time, companies have a crowd of development initiatives spread around the organisation and managed at different levels...... in the managerial hierarchy. They compete for resources and managerial attention, and they often take too long time - and some do not survive in the rapid changing context. Top man¬agers ask for speed, flexibility and effectiveness in the portfolio of development activities (projects). But which competencies...

  5. Portfolio Analysis for Vector Calculus

    Science.gov (United States)

    Kaplan, Samuel R.

    2015-01-01

    Classic stock portfolio analysis provides an applied context for Lagrange multipliers that undergraduate students appreciate. Although modern methods of portfolio analysis are beyond the scope of vector calculus, classic methods reinforce the utility of this material. This paper discusses how to introduce classic stock portfolio analysis in a…

  6. Portfolio Diversification in the South-East European Equity Markets

    Directory of Open Access Journals (Sweden)

    Zaimovic Azra

    2017-04-01

    Full Text Available Diversification potential enables investors to manage their risk and decrease risk exposure. Good diversification policy is a safety net that prevents a portfolio from losing its value. A well-diversified portfolio consists of different categories of property with low correlations, while highly correlated markets have the feature of low possibilities for diversification. The biggest riddle in the world of investments is to find the optimal portfolio within a set of available assets with limited capital. There are numerous studies and mathematical models that deal with portfolio investment strategies. These strategies take advantage of diversification by spreading risk over several financial assets. Modern portfolio theory seeks to find the optimal model with the best results. This paper tries to identify relationships between returns of companies traded in South-East European equity markets. A Markowitz mean-variance (MV portfolio optimization method is used to identify possibilities for diversification among these markets and world leading capital markets. This research also offers insight into to the level of integration of South-East European equity markets. Principal component analysis (PCA is used to determine components that describe the strong patterns and co-movements of the dataset. Finally, we combined MV efficient frontier and equity, which represent PCA components, to draw conclusions. Our findings show that PC analysis substantially simplifies asset selection process in portfolio management. The results of the paper have practical applications for portfolio investors.

  7. Fuzzy multi-objective approach for optimal selection of suppliers and transportation decisions in an eco-efficient closed loop supply chain network

    DEFF Research Database (Denmark)

    Govindan, Kannan; Darbari, Jyoti Dhingra; Agarwal, Vernika

    2017-01-01

    into the decision making process by selecting environmentally responsible suppliers to procure components based on sustainable criteria, choosing appropriate recovery options for end-of-use (EOU) inkjet printers, and planning an efficient transportation network design for reducing the carbon emission...... activities. A weighted fuzzy mathematical programming approach is utilised for generating a fuzzy, properly efficient solution as the desired compromised solution for the CLSC network problem configuration. The relevance of the model is justified using a real data set derived from a case study of the firm...... with higher sustainable performance and vehicles with lesser emission rate could substantially enhance firm's sustainable image and result in higher profits in the future....

  8. Evaluation of IP Portfolios

    DEFF Research Database (Denmark)

    Søberg, Peder Veng

    2009-01-01

    As a result of an inquiry concerning how to evaluate IP (intellectual property) portfolios in order to enable the best possible use of IP resources within organizations, an IP evaluation approach primarily applicable for patents and utility models is developed. The developed approach is useful...... of the organization owning the IP....

  9. Acreage portfolio management

    International Nuclear Information System (INIS)

    Schneider, Georges

    1994-01-01

    This chapter demonstrates the need for acreage portfolio management at the stage of maturity which has been reached in the UK sector of the North Sea petroleum industry. It outlines the goals, the main features of the deals and the business process. (UK)

  10. Portfolio, refleksion og feedback

    DEFF Research Database (Denmark)

    Hansen, Jens Jørgen; Qvortrup, Ane; Christensen, Inger-Marie F.

    2017-01-01

    Denne leder definerer indledningsvist begrebet portfolio og gør rede for anvendelsesmuligheder i en uddannelseskontekst. Dernæst behandles portfoliometodens kvalitet og effekt for læring og undervisning og de centrale begreber refleksion, progression og feedback præsenteres og diskuteres. Herefter...

  11. Portfolio optimization using median-variance approach

    Science.gov (United States)

    Wan Mohd, Wan Rosanisah; Mohamad, Daud; Mohamed, Zulkifli

    2013-04-01

    Optimization models have been applied in many decision-making problems particularly in portfolio selection. Since the introduction of Markowitz's theory of portfolio selection, various approaches based on mathematical programming have been introduced such as mean-variance, mean-absolute deviation, mean-variance-skewness and conditional value-at-risk (CVaR) mainly to maximize return and minimize risk. However most of the approaches assume that the distribution of data is normal and this is not generally true. As an alternative, in this paper, we employ the median-variance approach to improve the portfolio optimization. This approach has successfully catered both types of normal and non-normal distribution of data. With this actual representation, we analyze and compare the rate of return and risk between the mean-variance and the median-variance based portfolio which consist of 30 stocks from Bursa Malaysia. The results in this study show that the median-variance approach is capable to produce a lower risk for each return earning as compared to the mean-variance approach.

  12. Interactive Nonlinear Multiobjective Optimization Methods

    OpenAIRE

    Miettinen, Kaisa; Hakanen, Jussi; Podkopaev, Dmitry

    2016-01-01

    An overview of interactive methods for solving nonlinear multiobjective optimization problems is given. In interactive methods, the decision maker progressively provides preference information so that the most satisfactory Pareto optimal solution can be found for her or his. The basic features of several methods are introduced and some theoretical results are provided. In addition, references to modifications and applications as well as to other methods are indicated. As the...

  13. Portfolio optimization retail investor

    Directory of Open Access Journals (Sweden)

    I. А. Kiseleva

    2016-01-01

    Full Text Available The article notes that the task of the investor's risk management is to, on the one hand, as much as possible to strive to achieve the criterion of risk level, and on the other hand, in any case not exceed it. Since the domestic theory of risk management is under development, the problem of the optimal ratio of "risk-income" becomes now of particular relevance. This article discusses the different distribution areas of the private investor in order to obtain the maximum profit. The analysis showed us the overall economic and political system of the country, as well as the legislative provision of guarantees to the investor. To obtain sufficient income and reduce losses it is important to maintain the optimum value found between the amount of the investor's risk and capital transactions. Model of optimal placement of funds led to the conclusion about inexpediency strong increase in the diversification of the investment portfolio (more than 10 different types of assets in the portfolio, since it increases the complexity of its practical form, while the portfolio characteristics are improved significantly. It is concluded that it is impossible to increase revenue without increasing the risk or reduce risk without reducing income. The analysis shows that there is no single best asset portfolio. It is impossible to increase revenue without increasing the risk or reduce risk without reducing income. Possible combination of the "riskincome" will depend on the objective function. Most diversified and bringing the best return per unit of risk, is a portfolio that contains the most risky assets.

  14. Portfolio optimization in enhanced index tracking with goal programming approach

    Science.gov (United States)

    Siew, Lam Weng; Jaaman, Saiful Hafizah Hj.; Ismail, Hamizun bin

    2014-09-01

    Enhanced index tracking is a popular form of passive fund management in stock market. Enhanced index tracking aims to generate excess return over the return achieved by the market index without purchasing all of the stocks that make up the index. This can be done by establishing an optimal portfolio to maximize the mean return and minimize the risk. The objective of this paper is to determine the portfolio composition and performance using goal programming approach in enhanced index tracking and comparing it to the market index. Goal programming is a branch of multi-objective optimization which can handle decision problems that involve two different goals in enhanced index tracking, a trade-off between maximizing the mean return and minimizing the risk. The results of this study show that the optimal portfolio with goal programming approach is able to outperform the Malaysia market index which is FTSE Bursa Malaysia Kuala Lumpur Composite Index because of higher mean return and lower risk without purchasing all the stocks in the market index.

  15. PORTFOLIO ANALYSIS BASED ON THE EXAMPLE OF ZAGREB STOCK EXCHANGE

    Directory of Open Access Journals (Sweden)

    Sinisa Bogdan

    2010-06-01

    Full Text Available In this paper we analyze the portfolio that was selected from the Zagreb Stock Exchange and also try to assess its risks and its future offerings that are relevant in making the decisions about investments. Through the work we will explain the importance of diversification and how the very diversification reduces risk. We will also analyze the systemic risk of individual stocks within the portfolio and the systemic risk of the given portfolio and explain its importance. Through regression analysis we will analyze the securities with the highest and lowest systemic risk and will clarify the results. At the end we will explain the correlation in the selected portfolio and point out the importance of the correlation and diversification itself.

  16. Aircraft technology portfolio optimization using ant colony optimization

    Science.gov (United States)

    Villeneuve, Frederic J.; Mavris, Dimitri N.

    2012-11-01

    Technology portfolio selection is a combinatorial optimization problem often faced with a large number of combinations and technology incompatibilities. The main research question addressed in this article is to determine if Ant Colony Optimization (ACO) is better suited than Genetic Algorithms (GAs) and Simulated Annealing (SA) for technology portfolio optimization when incompatibility constraints between technologies are present. Convergence rate, capability to find optima, and efficiency in handling of incompatibilities are the three criteria of comparison. The application problem consists of finding the best technology portfolio from 29 aircraft technologies. The results show that ACO and GAs converge faster and find optima more easily than SA, and that ACO can optimize portfolios with technology incompatibilities without using penalty functions. This latter finding paves the way for more use of ACO when the number of constraints increases, such as in the technology and concept selection for complex engineering systems.

  17. Approximating multi-objective scheduling problems

    NARCIS (Netherlands)

    Dabia, S.; Talbi, El-Ghazali; Woensel, van T.; Kok, de A.G.

    2013-01-01

    In many practical situations, decisions are multi-objective by nature. In this paper, we propose a generic approach to deal with multi-objective scheduling problems (MOSPs). The aim is to determine the set of Pareto solutions that represent the interactions between the different objectives. Due to

  18. Strategic innovation portfolio management

    Directory of Open Access Journals (Sweden)

    Stanković Ljiljana

    2015-01-01

    Full Text Available In knowledge-based economy, strategic innovation portfolio management becomes more and more important and critical factor of enterprise's success. Value creation for all the participants in value chain is more successful if it is based on efficient resource allocation and improvement of innovation performances. Numerous researches have shown that companies with best position on the market found their competitiveness on efficient development and exploitation of innovations. In decision making process, enterprise's management is constantly faced with challenge to allocate resources and capabilities as efficiently as possible, in both short and long term. In this paper authors present preliminary results of realized empirical research related to strategic innovation portfolio management in ten chosen enterprises in Serbia. The structure of the paper includes the following parts: theoretical background, explanation of research purpose and methodology, discussion of the results and concluding remarks, including limitations and directions for further research.

  19. Acreage portfolio management

    International Nuclear Information System (INIS)

    Schneider, G.M.

    1992-01-01

    This paper reports that the need for managing the acreage portfolio in the UK North Sea arises from fragmentation of holdings and complex field partnerships. The main concepts are building up the heartlands and balancing cashflow forecasts. This has generated a number of friendly win-win deals, motivated by differences in perception of values. The business process includes identifying, evaluating and negotiating deals. The Petroleum Economist plays a central role throughout this process, seeking value gaps and supporting negotiations. Variations in reserves estimates present a major source of value gaps between buyer and seller. Economists need to work closely with engineers and geologists. Portfolio management is an exciting and challenging task which broadens the traditional role of the Petroleum Economist

  20. On portfolio risk diversification

    Science.gov (United States)

    Takada, Hellinton H.; Stern, Julio M.

    2017-06-01

    The first portfolio risk diversification strategy was put into practice by the All Weather fund in 1996. The idea of risk diversification is related to the risk contribution of each available asset class or investment factor to the total portfolio risk. The maximum diversification or the risk parity allocation is achieved when the set of risk contributions is given by a uniform distribution. Meucci (2009) introduced the maximization of the Rényi entropy as part of a leverage constrained optimization problem to achieve such diversified risk contributions when dealing with uncorrelated investment factors. A generalization of the risk parity is the risk budgeting when there is a prior for the distribution of the risk contributions. Our contribution is the generalization of the existent optimization frameworks to be able to solve the risk budgeting problem. In addition, our framework does not possess any leverage constraint.

  1. Hvorfor anvende portfolio eksamen?

    DEFF Research Database (Denmark)

    Elley, Tina Ninka

    2015-01-01

    from the clinical part. The two topics are weighted according to the distribution of ECTS points between theory and clinic. We implemented the portfolio format in November 2012, and the evaluations from the students have shown that the format is good; the students get less stressed at the exam......In Denmark the Biomedical Laboratory Scientist programme lasts for 3½ years, divided into 14 modules of 10 weeks. Every module concludes with an exam, which can be very stressful for the students. A survey was made among the students, confirming this. How can we change some of the exams in order...... to minimize the students' stress level? Then the pedagogical considerations started – where and how to do this? The conclusion was to work with the portfolio format at module 6 and module 7 and make it the exam form, as it was possible to divide the expected learning outcome for the two modules into topics...

  2. How Do Severe Constraints Affect the Search Ability of Multiobjective Evolutionary Algorithms in Water Resources?

    Science.gov (United States)

    Clarkin, T. J.; Kasprzyk, J. R.; Raseman, W. J.; Herman, J. D.

    2015-12-01

    This study contributes a diagnostic assessment of multiobjective evolutionary algorithm (MOEA) search on a set of water resources problem formulations with different configurations of constraints. Unlike constraints in classical optimization modeling, constraints within MOEA simulation-optimization represent limits on acceptable performance that delineate whether solutions within the search problem are feasible. Constraints are relevant because of the emergent pressures on water resources systems: increasing public awareness of their sustainability, coupled with regulatory pressures on water management agencies. In this study, we test several state-of-the-art MOEAs that utilize restricted tournament selection for constraint handling on varying configurations of water resources planning problems. For example, a problem that has no constraints on performance levels will be compared with a problem with several severe constraints, and a problem with constraints that have less severe values on the constraint thresholds. One such problem, Lower Rio Grande Valley (LRGV) portfolio planning, has been solved with a suite of constraints that ensure high reliability, low cost variability, and acceptable performance in a single year severe drought. But to date, it is unclear whether or not the constraints are negatively affecting MOEAs' ability to solve the problem effectively. Two categories of results are explored. The first category uses control maps of algorithm performance to determine if the algorithm's performance is sensitive to user-defined parameters. The second category uses run-time performance metrics to determine the time required for the algorithm to reach sufficient levels of convergence and diversity on the solution sets. Our work exploring the effect of constraints will better enable practitioners to define MOEA problem formulations for real-world systems, especially when stakeholders are concerned with achieving fixed levels of performance according to one or

  3. Acreage portfolio management

    International Nuclear Information System (INIS)

    Schneider

    1992-01-01

    This paper reports that the need to manage U.K. North Sea acreage portfolios arises from fragmentation of holdings and complex partnerships. This management has generated friendly rationalization deals motivated by differences in perception of values and aimed at building up heartlands and balancing cash-flow forecasts. The business process includes identifying, evaluating, and negotiating deals. The economist plays a central role within the evaluation team and supports the negotiators

  4. Non-convex multi-objective optimization

    CERN Document Server

    Pardalos, Panos M; Žilinskas, Julius

    2017-01-01

    Recent results on non-convex multi-objective optimization problems and methods are presented in this book, with particular attention to expensive black-box objective functions. Multi-objective optimization methods facilitate designers, engineers, and researchers to make decisions on appropriate trade-offs between various conflicting goals. A variety of deterministic and stochastic multi-objective optimization methods are developed in this book. Beginning with basic concepts and a review of non-convex single-objective optimization problems; this book moves on to cover multi-objective branch and bound algorithms, worst-case optimal algorithms (for Lipschitz functions and bi-objective problems), statistical models based algorithms, and probabilistic branch and bound approach. Detailed descriptions of new algorithms for non-convex multi-objective optimization, their theoretical substantiation, and examples for practical applications to the cell formation problem in manufacturing engineering, the process design in...

  5. Improved multi-objective clustering algorithm using particle swarm optimization.

    Directory of Open Access Journals (Sweden)

    Congcong Gong

    Full Text Available Multi-objective clustering has received widespread attention recently, as it can obtain more accurate and reasonable solution. In this paper, an improved multi-objective clustering framework using particle swarm optimization (IMCPSO is proposed. Firstly, a novel particle representation for clustering problem is designed to help PSO search clustering solutions in continuous space. Secondly, the distribution of Pareto set is analyzed. The analysis results are applied to the leader selection strategy, and make algorithm avoid trapping in local optimum. Moreover, a clustering solution-improved method is proposed, which can increase the efficiency in searching clustering solution greatly. In the experiments, 28 datasets are used and nine state-of-the-art clustering algorithms are compared, the proposed method is superior to other approaches in the evaluation index ARI.

  6. Improved multi-objective clustering algorithm using particle swarm optimization.

    Science.gov (United States)

    Gong, Congcong; Chen, Haisong; He, Weixiong; Zhang, Zhanliang

    2017-01-01

    Multi-objective clustering has received widespread attention recently, as it can obtain more accurate and reasonable solution. In this paper, an improved multi-objective clustering framework using particle swarm optimization (IMCPSO) is proposed. Firstly, a novel particle representation for clustering problem is designed to help PSO search clustering solutions in continuous space. Secondly, the distribution of Pareto set is analyzed. The analysis results are applied to the leader selection strategy, and make algorithm avoid trapping in local optimum. Moreover, a clustering solution-improved method is proposed, which can increase the efficiency in searching clustering solution greatly. In the experiments, 28 datasets are used and nine state-of-the-art clustering algorithms are compared, the proposed method is superior to other approaches in the evaluation index ARI.

  7. portfolio optimization based on nonparametric estimation methods

    Directory of Open Access Journals (Sweden)

    mahsa ghandehari

    2017-03-01

    Full Text Available One of the major issues investors are facing with in capital markets is decision making about select an appropriate stock exchange for investing and selecting an optimal portfolio. This process is done through the risk and expected return assessment. On the other hand in portfolio selection problem if the assets expected returns are normally distributed, variance and standard deviation are used as a risk measure. But, the expected returns on assets are not necessarily normal and sometimes have dramatic differences from normal distribution. This paper with the introduction of conditional value at risk ( CVaR, as a measure of risk in a nonparametric framework, for a given expected return, offers the optimal portfolio and this method is compared with the linear programming method. The data used in this study consists of monthly returns of 15 companies selected from the top 50 companies in Tehran Stock Exchange during the winter of 1392 which is considered from April of 1388 to June of 1393. The results of this study show the superiority of nonparametric method over the linear programming method and the nonparametric method is much faster than the linear programming method.

  8. Portfolios in Saudi medical colleges

    Science.gov (United States)

    Fida, Nadia M.; Shamim, Muhammad S.

    2016-01-01

    Over recent decades, the use of portfolios in medical education has evolved, and is being applied in undergraduate and postgraduate programs worldwide. Portfolios, as a learning process and method of documenting and assessing learning, is supported as a valuable tool by adult learning theories that stress the need for learners to be self-directed and to engage in experiential learning. Thoughtfully implemented, a portfolio provides learning experiences unequaled by any single learning tool. The credibility (validity) and dependability (reliability) of assessment through portfolios have been questioned owing to its subjective nature; however, methods to safeguard these features have been described in the literature. This paper discusses some of this literature, with particular attention to the role of portfolios in relation to self-reflective learning, provides an overview of current use of portfolios in undergraduate medical education in Saudi Arabia, and proposes research-based guidelines for its implementation and other similar contexts. PMID:26905344

  9. Solving stochastic multiobjective vehicle routing problem using probabilistic metaheuristic

    Directory of Open Access Journals (Sweden)

    Gannouni Asmae

    2017-01-01

    closed form expression. This novel approach is based on combinatorial probability and can be incorporated in a multiobjective evolutionary algorithm. (iiProvide probabilistic approaches to elitism and diversification in multiobjective evolutionary algorithms. Finally, The behavior of the resulting Probabilistic Multi-objective Evolutionary Algorithms (PrMOEAs is empirically investigated on the multi-objective stochastic VRP problem.

  10. Cluster analysis for portfolio optimization

    OpenAIRE

    Vincenzo Tola; Fabrizio Lillo; Mauro Gallegati; Rosario N. Mantegna

    2005-01-01

    We consider the problem of the statistical uncertainty of the correlation matrix in the optimization of a financial portfolio. We show that the use of clustering algorithms can improve the reliability of the portfolio in terms of the ratio between predicted and realized risk. Bootstrap analysis indicates that this improvement is obtained in a wide range of the parameters N (number of assets) and T (investment horizon). The predicted and realized risk level and the relative portfolio compositi...

  11. Do portfolios have a future?

    Science.gov (United States)

    Driessen, Erik

    2017-03-01

    While portfolios have seen an unprecedented surge in popularity, they have also become the subject of controversy: learners often perceive little gain from writing reflections as part of their portfolios; scholars question the ethics of such obligatory reflection; and students, residents, teachers and scholars alike condemn the bureaucracy surrounding portfolio implementation in competency-based education. It could be argued that mass adoption without careful attention to purpose and format may well jeopardize portfolios' viability in health sciences education. This paper explores this proposition by addressing the following three main questions: (1) Why do portfolios meet with such resistance from students and teachers, while educators love them?; (2) Is it ethical to require students to reflect and then grade their reflections?; (3) Does competency-based education empower or hamper the learner during workplace-based learning? Twenty-five years of portfolio reveal a clear story: without mentoring, portfolios have no future and are nothing short of bureaucratic hurdles in our competency-based education programs. Moreover, comprehensive portfolios, which are integrated into the curriculum and much more diverse in content than reflective portfolios, can serve as meaningful patient charts, providing doctor and patient with useful information to discuss well-being and treatment. In this sense, portfolios are also learner charts that comprehensively document progress in a learning trajectory which is lubricated by meaningful dialogue between learner and mentor in a trusting relationship to foster learning. If we are able to make such comprehensive and meaningful use of portfolios, then, yes, portfolios do have a bright future in medical education.

  12. Project Portfolio Management Applications Testing

    OpenAIRE

    Paul POCATILU

    2006-01-01

    Many IT companies are running project simultaneously. In order to achieve the best results, they have to group to the project in portfolios, and to use specific software that helps to manage them. Project portfolio management applications have a high degree of complexity and they are very important for the companies that are using it. This paper focuses on some characteristics of the testing process for project portfolio management applications

  13. Project Portfolio Management Applications Testing

    Directory of Open Access Journals (Sweden)

    Paul POCATILU

    2006-01-01

    Full Text Available Many IT companies are running project simultaneously. In order to achieve the best results, they have to group to the project in portfolios, and to use specific software that helps to manage them. Project portfolio management applications have a high degree of complexity and they are very important for the companies that are using it. This paper focuses on some characteristics of the testing process for project portfolio management applications

  14. Portfolio insurance using traded options

    OpenAIRE

    Machado-Santos, Carlos

    2001-01-01

    Literature concerning the institutional use of options indicates that the main purpose of option trading is to provide investors with the opportunity to create return distributions previously unavailable, considering that options provide the means to manipulate portfolio returns. In such a context, this study intends to analyse the returns of insured portfolios generated by hedging strategies on underlying stock portfolios. Because dynamic hedging is too expensive, we have hedged the stock po...

  15. Specific patterns in portfolio analysis

    Directory of Open Access Journals (Sweden)

    Gabriela Victoria ANGHELACHE

    2013-11-01

    Full Text Available In the mid-twentieth century, under an unprecedented growth of the business of trading in securities, the need to provide a modern framework for assessing the performance of portfolios of financial instruments was felt. To that effect, it is noted that over this period, more and more economists have attempted to develop statistical mathematical models that ensure the evaluation of profitability and portfolio risk securities. These models are considered to be part of "the modern portfolio theory".

  16. Geometrical framework for robust portfolio optimization

    OpenAIRE

    Bazovkin, Pavel

    2014-01-01

    We consider a vector-valued multivariate risk measure that depends on the user's profile given by the user's utility. It is constructed on the basis of weighted-mean trimmed regions and represents the solution of an optimization problem. The key feature of this measure is convexity. We apply the measure to the portfolio selection problem, employing different measures of performance as objective functions in a common geometrical framework.

  17. Financial Advice and Individual Investor Portfolio Performance

    NARCIS (Netherlands)

    Kramer, M.M.

    2012-01-01

    This paper investigates whether financial advisers add value to individual investors portfolio decisions by comparing portfolios of advised and self-directed (execution-only) Dutch individual investors. The results indicate significant differences in characteristics and portfolios between these

  18. A class of multi-period semi-variance portfolio for petroleum exploration and development

    Science.gov (United States)

    Guo, Qiulin; Li, Jianzhong; Zou, Caineng; Guo, Yujuan; Yan, Wei

    2012-10-01

    Variance is substituted by semi-variance in Markowitz's portfolio selection model. For dynamic valuation on exploration and development projects, one period portfolio selection is extended to multi-period. In this article, a class of multi-period semi-variance exploration and development portfolio model is formulated originally. Besides, a hybrid genetic algorithm, which makes use of the position displacement strategy of the particle swarm optimiser as a mutation operation, is applied to solve the multi-period semi-variance model. For this class of portfolio model, numerical results show that the mode is effective and feasible.

  19. Portfolio langagier en francais (Language Portfolios in French).

    Science.gov (United States)

    Laplante, Bernard; Christiansen, Helen

    2001-01-01

    Suggests that first-year college students learning French should create a language portfolio that contains documents that illustrate what they have learned in French, along with a brief statement of what linguistic skill the document demonstrates. The goal of the portfolio is to make students more aware of their own learning, their strengths, and…

  20. Portfolio optimization with structured products under return constraint

    Directory of Open Access Journals (Sweden)

    Baweja Meena

    2015-01-01

    Full Text Available A new approach for optimizing risk in a portfolio of financial instruments involving structured products is presented. This paper deals with a portfolio selection model which uses optimization methodology to minimize conditional Value-at-Risk (CVaR under return constraint. It focuses on minimizing CVaR rather than on minimizing value-at-Risk VaR, as portfolios with low CVaR necessarily have low VaR as well. We consider a simple investment problem where besides stocks and bonds, the investor can also include structured products into the investment portfolio. Due to possible intermediate payments from structured product, we have to deal with a re-investment problem modeled as a linear optimization problem.

  1. Management of Portfolio Investment Held by Pension Funds

    Directory of Open Access Journals (Sweden)

    Dan Armeanu

    2008-09-01

    Full Text Available As a result of the fact that pension funds are financial intermediaries, the value of their assets and liabilities is influenced by changing conditions in financial markets. The market image of a pension fund (and hence its perceived value are closely tied to the “financial health” of the fund. Setting up and managing complex investment portfolios requires that pension administrators use scientific models of portfolio selection and optimization based on the risk-expected return relationship. Most investment portfolios are modified in time as result of changing stock prices and investment policy objectives. Having established investment policy guidelines, the administrators of pension funds have to determine the structure of their portfolios so that the latter meet legal requirements.

  2. Multi-objective evacuation routing optimization for toxic cloud releases

    International Nuclear Information System (INIS)

    Gai, Wen-mei; Deng, Yun-feng; Jiang, Zhong-an; Li, Jing; Du, Yan

    2017-01-01

    This paper develops a model for assessing the risks associated with the evacuation process in response to potential chemical accidents, based on which a multi-objective evacuation routing model for toxic cloud releases is proposed taking into account that the travel speed on each arc will be affected by disaster extension. The objectives of the evacuation routing model are to minimize travel time and individual evacuation risk along a path respectively. Two heuristic algorithms are proposed to solve the multi-objective evacuation routing model. Simulation results show the effectiveness and feasibility of the model and algorithms presented in this paper. And, the methodology with appropriate modification is suitable for supporting decisions in assessing emergency route selection in other cases (fires, nuclear accidents). - Highlights: • A model for assessing and visualizing the risks is developed. • A multi-objective evacuation routing model is proposed for toxic cloud releases. • A modified Dijkstra algorithm is designed to obtain an solution of the model. • Two heuristic algorithms have been developed as the optimization tool.

  3. A General Framework for Portfolio Theory. Part I: theory and various models

    OpenAIRE

    Maier-Paape, Stanislaus; Zhu, Qiji Jim

    2017-01-01

    Utility and risk are two often competing measurements on the investment success. We show that efficient trade-off between these two measurements for investment portfolios happens, in general, on a convex curve in the two dimensional space of utility and risk. This is a rather general pattern. The modern portfolio theory of Markowitz [H. Markowitz, Portfolio Selection, 1959] and its natural generalization, the capital market pricing model, [W. F. Sharpe, Mutual fund performance , 1966] are spe...

  4. Pareto-Ranking Based Quantum-Behaved Particle Swarm Optimization for Multiobjective Optimization

    Directory of Open Access Journals (Sweden)

    Na Tian

    2015-01-01

    Full Text Available A study on pareto-ranking based quantum-behaved particle swarm optimization (QPSO for multiobjective optimization problems is presented in this paper. During the iteration, an external repository is maintained to remember the nondominated solutions, from which the global best position is chosen. The comparison between different elitist selection strategies (preference order, sigma value, and random selection is performed on four benchmark functions and two metrics. The results demonstrate that QPSO with preference order has comparative performance with sigma value according to different number of objectives. Finally, QPSO with sigma value is applied to solve multiobjective flexible job-shop scheduling problems.

  5. UK Household Portfolios

    OpenAIRE

    Banks, James; Smith, Sarah

    2000-01-01

    This paper presents a detailed analysis of the composition of household portfolios, using both aggregate and micro-data. Among the key findings are that: Most household wealth is held in the form of housing and pensions. Over time, there has been a shift away from housing towards financial assets, driven largely by the growth in life and pension funds. Liquid financial wealth (excluding life and pension funds) is not predominantly held in risky form. By far the most commonly held asset is an ...

  6. IT Portfolio Management

    DEFF Research Database (Denmark)

    Hansen, Lars Kristian; Kræmmergaard, Pernille

    2012-01-01

    As public organizations increasingly rely on IT-enabled development to provide faster cycle times and better services, IT Project Portfolio Management (IT PPM) has become a high priority issue. This research adopts engaged scholarship to investigate IT PPM practices within a large local government...... information about internal recourses, (4) Lack of operational goals to hold IT projects accountable, (5) No account of actual IT project costs. These results may be used to inform further research into IT PPM and to help managers improve IT PPM practices in public organizations in their effort of increase...

  7. Portfolios of quantum algorithms.

    Science.gov (United States)

    Maurer, S M; Hogg, T; Huberman, B A

    2001-12-17

    Quantum computation holds promise for the solution of many intractable problems. However, since many quantum algorithms are stochastic in nature they can find the solution of hard problems only probabilistically. Thus the efficiency of the algorithms has to be characterized by both the expected time to completion and the associated variance. In order to minimize both the running time and its uncertainty, we show that portfolios of quantum algorithms analogous to those of finance can outperform single algorithms when applied to the NP-complete problems such as 3-satisfiability.

  8. Multiobjective optimization in bioinformatics and computational biology.

    Science.gov (United States)

    Handl, Julia; Kell, Douglas B; Knowles, Joshua

    2007-01-01

    This paper reviews the application of multiobjective optimization in the fields of bioinformatics and computational biology. A survey of existing work, organized by application area, forms the main body of the review, following an introduction to the key concepts in multiobjective optimization. An original contribution of the review is the identification of five distinct "contexts," giving rise to multiple objectives: These are used to explain the reasons behind the use of multiobjective optimization in each application area and also to point the way to potential future uses of the technique.

  9. Æstetik og portfolio

    DEFF Research Database (Denmark)

    Hyldahl, Kirsten Kofod; Sams, Pernille; Egelund, Karen Stine

    2017-01-01

    Nærværende artikel præsenterer resultaterne af udviklingsprojektet ”Portfolio og æstetik” på pædagoguddannelsen i Hjørring. Projektet har til formål, gennem æstetisk formsprog, at stilladsere og fastholde de studerendes læreprocesser samt udvikle og implementere portfolio i studieaktiviteter på...

  10. Uncertain multiobjective redundancy allocation problem of repairable systems based on artificial bee colony algorithm

    Institute of Scientific and Technical Information of China (English)

    Guo Jiansheng; Wang Zutong; Zheng Mingfa; Wang Ying

    2014-01-01

    Based on the uncertainty theory, this paper is devoted to the redundancy allocation problem in repairable parallel-series systems with uncertain factors, where the failure rate, repair rate and other relative coefficients involved are considered as uncertain variables. The availability of the system and the corresponding designing cost are considered as two optimization objectives. A crisp multiobjective optimization formulation is presented on the basis of uncertainty theory to solve this resultant problem. For solving this problem efficiently, a new multiobjective artificial bee colony algorithm is proposed to search the Pareto efficient set, which introduces rank value and crowding distance in the greedy selection strategy, applies fast non-dominated sort procedure in the exploitation search and inserts tournament selection in the onlooker bee phase. It shows that the proposed algorithm outperforms NSGA-II greatly and can solve multiobjective redundancy allocation problem efficiently. Finally, a numerical example is provided to illustrate this approach.

  11. Venture capital and efficiency of portfolio companies

    Directory of Open Access Journals (Sweden)

    A. Thillai Rajan

    2010-12-01

    Full Text Available Venture Capital (VC has emerged as the dominant source of finance for entrepreneurial and early stage businesses, and the Indian VC industry in particular has clocked the fastest growth rate globally. Academic literature reveals that VC funded companies show superior performance to non VC funded companies. However, given that venture capitalists (VCs select and fund only the best companies, how much credit can they take for the performance of the companies they fund? Do the inherent characteristics of the firm result in superior performance or do VCs contribute to the performance of the portfolio company after they have entered the firm? A panel that comprised VCs, an entrepreneur and an academic debated these and other research questions on the inter-relationships between VC funding and portfolio firm performance. Most empirical literature indicates that the value addition effect dominates the selection effect in accounting for the superior performance of VC funded companies. The panel discussion indicates that the context as well as the experience of the General Partners in the VC firms can influence the way VCs contribute to the efficiency of their portfolio companies.

  12. USEFULNESS OF BOOTSTRAPPING IN PORTFOLIO MANAGEMENT

    Directory of Open Access Journals (Sweden)

    Boris Radovanov

    2012-12-01

    Full Text Available This paper contains a comparison of in-sample and out-of-sample performances between the resampled efficiency technique, patented by Richard Michaud and Robert Michaud (1999, and traditional Mean-Variance portfolio selection, presented by Harry Markowitz (1952. Based on the Monte Carlo simulation, data (samples generation process determines the algorithms by using both, parametric and nonparametric bootstrap techniques. Resampled efficiency provides the solution to use uncertain information without the need for constrains in portfolio optimization. Parametric bootstrap process starts with a parametric model specification, where we apply Capital Asset Pricing Model. After the estimation of specified model, the series of residuals are used for resampling process. On the other hand, nonparametric bootstrap divides series of price returns into the new series of blocks containing previous determined number of consecutive price returns. This procedure enables smooth resampling process and preserves the original structure of data series.

  13. Seleção e alocação de recursos em portfólio de projetos: estudo de caso no setor químico Portfolio of projects: case study of selection and balancing

    Directory of Open Access Journals (Sweden)

    Marisa Padovani

    2010-01-01

    Full Text Available Escolher dentre dezenas ou centenas de alternativas, aquelas que deverão compor o portfólio de projetos de uma organização e com qual prioridade, é um problema de decisão multicritério complexo. Este trabalho teve como foco duas etapas críticas da gestão de portfólio: a seleção de projetos e a alocação de recursos. A abordagem metodológica utilizada foi a pesquisa-ação, partindo-se de uma estrutura teórico-conceitual que integra os métodos AHP (Analytic Hierarchy Process e programação inteira em um modelo híbrido. A pesquisa de campo foi desenvolvida em uma empresa do setor químico, escolhida como unidade de análise, na qual foi implementado o modelo híbrido, de tal forma que os diferentes cenários propostos fossem comparados com o cenário real da organização estudada. Pretendeu-se avaliar a importância e utilidade desse modelo no auxílio à tomada de decisões relacionadas à seleção, priorização e alocação de recursos em projetos. Como principal resultado obtido, verificou-se que o uso do modelo contribui para o alinhamento estratégico, melhora a troca de informações entre os tomadores de decisão da empresa; possibilita a simulação de cenários estratégicos em tempo real e a verificação do impacto na carteira de projetos em execução; prioriza os projetos de forma justificável e estruturada; e permite a alocação de recursos baseada em prioridades.Among dozens or hundreds of alternatives, choosing those which should make up the projects portfolio of an organization and which priority level is a complex multi-criteria decision matter. This work aims to apply a management model of projects portfolio, using the AHP (Analytic Hierarchy Process method and an integrated integer program. Another purpose is to validate and evaluate the importance and use of the model to help the decision-making related to the selection, prioritization and balance of projects. Thus, such a model was applied to select and

  14. An unbalanced portfolio.

    Science.gov (United States)

    Federsel, Hans-Jurgen

    2009-06-01

    An excellent demonstration of how meaningful and valuable conferences devoted to the topic of project and portfolio management in the pharmaceutical industry can be, was given at an event organized in Barcelona, September 2008. Thus, over this 2-day meeting the delegates were updated on the state of the art in this wide-reaching area from speakers representing an array of companies; from small, relatively new players, via mid-sized, to established large and big pharmas. One common theme that emerged was the importance of assessing the value of drug projects as correctly as possible, especially under the current financial climate and the many challenges facing the industry. Furthermore, experiences from constructing portfolios with the aim to minimize risk and maximize return on investment were shared alongside mathematical approaches to obtain the data required for this purpose and accounts of the pleasures and hardships working in a global context and in partnership constellations. Copyright 2009 Prous Science, S.A.U. or its licensors. All rights reserved.

  15. Regularizing portfolio optimization

    International Nuclear Information System (INIS)

    Still, Susanne; Kondor, Imre

    2010-01-01

    The optimization of large portfolios displays an inherent instability due to estimation error. This poses a fundamental problem, because solutions that are not stable under sample fluctuations may look optimal for a given sample, but are, in effect, very far from optimal with respect to the average risk. In this paper, we approach the problem from the point of view of statistical learning theory. The occurrence of the instability is intimately related to over-fitting, which can be avoided using known regularization methods. We show how regularized portfolio optimization with the expected shortfall as a risk measure is related to support vector regression. The budget constraint dictates a modification. We present the resulting optimization problem and discuss the solution. The L2 norm of the weight vector is used as a regularizer, which corresponds to a diversification 'pressure'. This means that diversification, besides counteracting downward fluctuations in some assets by upward fluctuations in others, is also crucial because it improves the stability of the solution. The approach we provide here allows for the simultaneous treatment of optimization and diversification in one framework that enables the investor to trade off between the two, depending on the size of the available dataset.

  16. Regularizing portfolio optimization

    Science.gov (United States)

    Still, Susanne; Kondor, Imre

    2010-07-01

    The optimization of large portfolios displays an inherent instability due to estimation error. This poses a fundamental problem, because solutions that are not stable under sample fluctuations may look optimal for a given sample, but are, in effect, very far from optimal with respect to the average risk. In this paper, we approach the problem from the point of view of statistical learning theory. The occurrence of the instability is intimately related to over-fitting, which can be avoided using known regularization methods. We show how regularized portfolio optimization with the expected shortfall as a risk measure is related to support vector regression. The budget constraint dictates a modification. We present the resulting optimization problem and discuss the solution. The L2 norm of the weight vector is used as a regularizer, which corresponds to a diversification 'pressure'. This means that diversification, besides counteracting downward fluctuations in some assets by upward fluctuations in others, is also crucial because it improves the stability of the solution. The approach we provide here allows for the simultaneous treatment of optimization and diversification in one framework that enables the investor to trade off between the two, depending on the size of the available dataset.

  17. Analysis Of Dynamic Portfolio Allocation Of Indonesian LQ45 During 2005 – 2011 Following The Markowitz Theowry

    Directory of Open Access Journals (Sweden)

    Agustini Hamid

    2016-09-01

    Full Text Available The research observed that equity portfolio and investment managers were facing challenges in determining the optimum portfolio, especially during the turbulent times. As a result, they needed to implement portfolio management strategies to overcome the risk associated with stock return volatility in turbulence periods. This research focused on selecting stocks from the LQ-45 index during 2005-2011 using The Markowitz theory combining the Solver Linear Programming. The portfolio selection method which has been introduced by Markowitz (1952 used variance or standard deviation as a risk measurement. The result of this research proves that the composition of the portfolio is not the same in the different period. In the bearish period, the composition of the optimum portfolio is dominated by the banking sector and manufacture sector. In the bullish period, the optimum portfolio is dominated by the commodity stocks.

  18. Equity portfolio optimization: A DEA based methodology applied to the Zagreb Stock Exchange

    Directory of Open Access Journals (Sweden)

    Margareta Gardijan

    2015-10-01

    Full Text Available Most strategies for selection portfolios focus on utilizing solely market data and implicitly assume that stock markets communicate all relevant information to all market stakeholders, and that these markets cannot be influenced by investor activities. However convenient, this is a limited approach, especially when applied to small and illiquid markets such as the Croatian market, where such assumptions are hardly realistic. Thus, there is a demand for including other sources of data, such as financial reports. Research poses the question of whether financial ratios as criteria for stock selection are of any use to Croatian investors. Financial and market data from selected publicly companies listed on the Croatian capital market are used. A two-stage portfolio selection strategy is applied, where the first stage involves selecting stocks based on the respective Data Envelopment Analysis (DEA efficiency scores. DEA models are becoming popular in stock portfolio selection given that the methodology includes numerous models that provide a great flexibility in selecting inputs and outputs, which in turn are considered as criteria for portfolio selection. Accordingly, there is much room for improvement of the current proposed strategies for selecting portfolios. In the second stage, two portfolio-weighting strategies are applied using equal proportions and score-weighting. To show whether these strategies create outstanding out–of–sample portfolios in time, time-dependent DEA Window Analysis is applied using a reference time of one year, and portfolio returns are compared with the market portfolio for each period. It is found that the financial data are a significant indicator of the future performance of a stock and a DEA-based portfolio strategy outperforms market return.

  19. Fuzzy portfolio model with fuzzy-input return rates and fuzzy-output proportions

    Science.gov (United States)

    Tsaur, Ruey-Chyn

    2015-02-01

    In the finance market, a short-term investment strategy is usually applied in portfolio selection in order to reduce investment risk; however, the economy is uncertain and the investment period is short. Further, an investor has incomplete information for selecting a portfolio with crisp proportions for each chosen security. In this paper we present a new method of constructing fuzzy portfolio model for the parameters of fuzzy-input return rates and fuzzy-output proportions, based on possibilistic mean-standard deviation models. Furthermore, we consider both excess or shortage of investment in different economic periods by using fuzzy constraint for the sum of the fuzzy proportions, and we also refer to risks of securities investment and vagueness of incomplete information during the period of depression economics for the portfolio selection. Finally, we present a numerical example of a portfolio selection problem to illustrate the proposed model and a sensitivity analysis is realised based on the results.

  20. Benchmarks for dynamic multi-objective optimisation

    CSIR Research Space (South Africa)

    Helbig, M

    2013-06-01

    Full Text Available When algorithms solve dynamic multi-objective optimisation problems (DMOOPs), benchmark functions should be used to determine whether the algorithm can overcome specific difficulties that can occur in real-world problems. However, for dynamic multi...

  1. The electricity portfolio simulation model (EPSim) technical description.

    Energy Technology Data Exchange (ETDEWEB)

    Drennen, Thomas E.; Klotz, Richard (Hobart and William Smith Colleges, Geneva, NY)

    2005-09-01

    Stakeholders often have competing interests when selecting or planning new power plants. The purpose of developing this preliminary Electricity Portfolio Simulation Model (EPSim) is to provide a first cut, dynamic methodology and approach to this problem, that can subsequently be refined and validated, that may help energy planners, policy makers, and energy students better understand the tradeoffs associated with competing electricity portfolios. EPSim allows the user to explore competing electricity portfolios annually from 2002 to 2025 in terms of five different criteria: cost, environmental impacts, energy dependence, health and safety, and sustainability. Four additional criteria (infrastructure vulnerability, service limitations, policy needs and science and technology needs) may be added in future versions of the model. Using an analytic hierarchy process (AHP) approach, users or groups of users apply weights to each of the criteria. The default energy assumptions of the model mimic Department of Energy's (DOE) electricity portfolio to 2025 (EIA, 2005). At any time, the user can compare alternative portfolios to this reference case portfolio.

  2. Analysis of the Capability Portfolio Review (CPR)

    Science.gov (United States)

    2014-06-01

    10  2.4.1.1.  The Basics of Modern Portfolio Theory ...of Modern Portfolio Theory Much of modern portfolio management has been motivated by the influential work of Harry Markowitz (Markowitz, 1952) and...unsystematic risk associated with individual stocks, leaving only the generally market risk (Walls, 2004). The basic assumption of modern portfolio theory is

  3. 12 CFR 347.108 - Portfolio investments.

    Science.gov (United States)

    2010-01-01

    ... 12 Banks and Banking 4 2010-01-01 2010-01-01 false Portfolio investments. 347.108 Section 347.108... INTERNATIONAL BANKING § 347.108 Portfolio investments. (a) Portfolio investments. If a bank, directly or indirectly, acquires or holds an equity interest in a foreign organization as a portfolio investment and the...

  4. Investigation on multi-objective performance optimization algorithm application of fan based on response surface method and entropy method

    Science.gov (United States)

    Zhang, Li; Wu, Kexin; Liu, Yang

    2017-12-01

    A multi-objective performance optimization method is proposed, and the problem that single structural parameters of small fan balance the optimization between the static characteristics and the aerodynamic noise is solved. In this method, three structural parameters are selected as the optimization variables. Besides, the static pressure efficiency and the aerodynamic noise of the fan are regarded as the multi-objective performance. Furthermore, the response surface method and the entropy method are used to establish the optimization function between the optimization variables and the multi-objective performances. Finally, the optimized model is found when the optimization function reaches its maximum value. Experimental data shows that the optimized model not only enhances the static characteristics of the fan but also obviously reduces the noise. The results of the study will provide some reference for the optimization of multi-objective performance of other types of rotating machinery.

  5. Portfolio optimization and performance evaluation

    DEFF Research Database (Denmark)

    Juhl, Hans Jørn; Christensen, Michael

    2013-01-01

    Based on an exclusive business-to-business database comprising nearly 1,000 customers, the applicability of portfolio analysis is documented, and it is examined how such an optimization analysis can be used to explore the growth potential of a company. As opposed to any previous analyses, optimal...... customer portfolios are determined, and it is shown how marketing decision-makers can use this information in their marketing strategies to optimize the revenue growth of the company. Finally, our analysis is the first analysis which applies portfolio based methods to measure customer performance......, and it is shown how these performance measures complement the optimization analysis....

  6. Portfolio i Praksis

    DEFF Research Database (Denmark)

    Saltofte, Margit; Krill, Cecilia

    . Præsentationsfolien fokuserer på at præsentere et færdigt produkt eller resultat, mens arbejdsportfolien har fokus på proces, refleksion og læring. Til denne forskel knytter sig desuden helt naturligt en sondring imellem det delte og det private. Hvor præsentationsportfolio per definition er åben og har en modtager i...... sigte, er arbejdsportfolien i udgangspunktet lukket og privat. Det vil sige at man selv udvælger, hvad der skal ses af fx vejleder eller medstuderende – og hvad, der skal forblive privat. Portfolio i Praksis tilbyder desuden en række håndgribelige øvelser, der kan bruges som hjælp til at understøtte det...

  7. IT Portfolio Management

    DEFF Research Database (Denmark)

    Hansen, Lars Kristian; Kræmmergaard, Pernille

    2012-01-01

    information about internal recourses, (4) Lack of operational goals to hold IT projects accountable, (5) No account of actual IT project costs. These results may be used to inform further research into IT PPM and to help managers improve IT PPM practices in public organizations in their effort of increase......As public organizations increasingly rely on IT-enabled development to provide faster cycle times and better services, IT Project Portfolio Management (IT PPM) has become a high priority issue. This research adopts engaged scholarship to investigate IT PPM practices within a large local government...... on the theory’s distinction between different modes of control five problems in control is identified: (1) weak accountability processes between the political and the administrative level, (2) weak accountability processes between director level and the IT executives, (3) IT projects established on incomplete...

  8. Multi-objective engineering design using preferences

    Science.gov (United States)

    Sanchis, J.; Martinez, M.; Blasco, X.

    2008-03-01

    System design is a complex task when design parameters have to satisy a number of specifications and objectives which often conflict with those of others. This challenging problem is called multi-objective optimization (MOO). The most common approximation consists in optimizing a single cost index with a weighted sum of objectives. However, once weights are chosen the solution does not guarantee the best compromise among specifications, because there is an infinite number of solutions. A new approach can be stated, based on the designer's experience regarding the required specifications and the associated problems. This valuable information can be translated into preferences for design objectives, and will lead the search process to the best solution in terms of these preferences. This article presents a new method, which enumerates these a priori objective preferences. As a result, a single objective is built automatically and no weight selection need be performed. Problems occuring because of the multimodal nature of the generated single cost index are managed with genetic algorithms (GAs).

  9. Hydrogen patent portfolios in the automotive industry - the search for promising storage methods

    NARCIS (Netherlands)

    Bakker, S.

    2010-01-01

    In the development of hydrogen vehicle technologies, the automotive industry adopts a portfolio approach; a multitude of technological options is developed for hydrogen storage and conversion. Patent portfolios of car manufacturers are used as indicators of the variation and selection dynamics of

  10. e-Portfolios Enhancing Students' Self-Directed Learning: A Systematic Review of Influencing Factors

    Science.gov (United States)

    Beckers, Jorrick; Dolmans, Diana; Van Merriënboer, Jeroen

    2016-01-01

    e-Portfolios have become increasingly popular among educators as learning tools. Some research even shows that e-portfolios can be utilised to facilitate the development of skills for self-directed learning. Such skills include self-assessment of performance, formulation of learning goals, and selection of future tasks. However, it is not yet…

  11. A Mean variance analysis of arbitrage portfolios

    Science.gov (United States)

    Fang, Shuhong

    2007-03-01

    Based on the careful analysis of the definition of arbitrage portfolio and its return, the author presents a mean-variance analysis of the return of arbitrage portfolios, which implies that Korkie and Turtle's results ( B. Korkie, H.J. Turtle, A mean-variance analysis of self-financing portfolios, Manage. Sci. 48 (2002) 427-443) are misleading. A practical example is given to show the difference between the arbitrage portfolio frontier and the usual portfolio frontier.

  12. Image de-noising based on mathematical morphology and multi-objective particle swarm optimization

    Science.gov (United States)

    Dou, Liyun; Xu, Dan; Chen, Hao; Liu, Yicheng

    2017-07-01

    To overcome the problem of image de-noising, an efficient image de-noising approach based on mathematical morphology and multi-objective particle swarm optimization (MOPSO) is proposed in this paper. Firstly, constructing a series and parallel compound morphology filter based on open-close (OC) operation and selecting a structural element with different sizes try best to eliminate all noise in a series link. Then, combining multi-objective particle swarm optimization (MOPSO) to solve the parameters setting of multiple structural element. Simulation result shows that our algorithm can achieve a superior performance compared with some traditional de-noising algorithm.

  13. Design of a centrifugal compressor impeller using multi-objective optimization algorithm

    International Nuclear Information System (INIS)

    Kim, Jin Hyuk; Husain, Afzal; Kim, Kwang Yong; Choi, Jae Ho

    2009-01-01

    This paper presents a design optimization of a centrifugal compressor impeller with hybrid multi-objective evolutionary algorithm (hybrid MOEA). Reynolds-averaged Navier-Stokes equations with shear stress transport turbulence model are discretized by finite volume approximations and solved on hexahedral grids for flow analyses. Two objectives, i.e., isentropic efficiency and total pressure ratio are selected with four design variables defining impeller hub and shroud contours in meridional contours to optimize the system. Non-dominated Sorting of Genetic Algorithm (NSGA-II) with ε-constraint strategy for local search coupled with Radial Basis Neural Network model is used for multi-objective optimization. The optimization results show that isentropic efficiencies and total pressure ratios of the five cluster points at the Pareto-optimal solutions are enhanced by multi-objective optimization.

  14. Design of a centrifugal compressor impeller using multi-objective optimization algorithm

    Energy Technology Data Exchange (ETDEWEB)

    Kim, Jin Hyuk; Husain, Afzal; Kim, Kwang Yong [Inha University, Incheon (Korea, Republic of); Choi, Jae Ho [Samsung Techwin Co., Ltd., Changwon (Korea, Republic of)

    2009-07-01

    This paper presents a design optimization of a centrifugal compressor impeller with hybrid multi-objective evolutionary algorithm (hybrid MOEA). Reynolds-averaged Navier-Stokes equations with shear stress transport turbulence model are discretized by finite volume approximations and solved on hexahedral grids for flow analyses. Two objectives, i.e., isentropic efficiency and total pressure ratio are selected with four design variables defining impeller hub and shroud contours in meridional contours to optimize the system. Non-dominated Sorting of Genetic Algorithm (NSGA-II) with {epsilon}-constraint strategy for local search coupled with Radial Basis Neural Network model is used for multi-objective optimization. The optimization results show that isentropic efficiencies and total pressure ratios of the five cluster points at the Pareto-optimal solutions are enhanced by multi-objective optimization.

  15. Multi-objective optimization of a plate and frame heat exchanger via genetic algorithm

    Energy Technology Data Exchange (ETDEWEB)

    Najafi, Hamidreza; Najafi, Behzad [K. N. Toosi University of Technology, Department of Mechanical Engineering, Tehran (Iran)

    2010-06-15

    In the present paper, a plate and frame heat exchanger is considered. Multi-objective optimization using genetic algorithm is developed in order to obtain a set of geometric design parameters, which lead to minimum pressure drop and the maximum overall heat transfer coefficient. Vividly, considered objective functions are conflicting and no single solution can satisfy both objectives simultaneously. Multi-objective optimization procedure yields a set of optimal solutions, called Pareto front, each of which is a trade-off between objectives and can be selected by the user, regarding the application and the project's limits. The presented work takes care of numerous geometric parameters in the presence of logical constraints. A sensitivity analysis is also carried out to study the effects of different geometric parameters on the considered objective functions. Modeling the system and implementing the multi-objective optimization via genetic algorithm has been performed by MATLAB. (orig.)

  16. Multi-objective optimization design method of radiation shielding

    International Nuclear Information System (INIS)

    Yang Shouhai; Wang Weijin; Lu Daogang; Chen Yixue

    2012-01-01

    Due to the shielding design goals of diversification and uncertain process of many factors, it is necessary to develop an optimization design method of intelligent shielding by which the shielding scheme selection will be achieved automatically and the uncertainties of human impact will be reduced. For economical feasibility to achieve a radiation shielding design for automation, the multi-objective genetic algorithm optimization of screening code which combines the genetic algorithm and discrete-ordinate method was developed to minimize the costs, size, weight, and so on. This work has some practical significance for gaining the optimization design of shielding. (authors)

  17. 78 FR 21045 - Confirmation, Portfolio Reconciliation, Portfolio Compression, and Swap Trading Relationship...

    Science.gov (United States)

    2013-04-09

    ... COMMODITY FUTURES TRADING COMMISSION 17 CFR Part 23 RIN 3038-AC96 Confirmation, Portfolio Reconciliation, Portfolio Compression, and Swap Trading Relationship Documentation Requirements for Swap Dealers... CFTC published final rules setting forth requirements for swap confirmation, portfolio reconciliation...

  18. Optimization Stock Portfolio With Mean-Variance and Linear Programming: Case In Indonesia Stock Market

    Directory of Open Access Journals (Sweden)

    Yen Sun

    2010-05-01

    Full Text Available It is observed that the number of Indonesia’s domestic investor who involved in the stock exchange is very less compare to its total number of population (only about 0.1%. As a result, Indonesia Stock Exchange (IDX is highly affected by foreign investor that can threat the economy. Domestic investor tends to invest in risk-free asset such as deposit in the bank since they are not familiar yet with the stock market and anxious about the risk (risk-averse type of investor. Therefore, it is important to educate domestic investor to involve in the stock exchange. Investing in portfolio of stock is one of the best choices for risk-averse investor (such as Indonesia domestic investor since it offers lower risk for a given level of return. This paper studies the optimization of Indonesian stock portfolio. The data is the historical return of 10 stocks of LQ 45 for 5 time series (January 2004 – December 2008. It will be focus on selecting stocks into a portfolio, setting 10 of stock portfolios using mean variance method combining with the linear programming (solver. Furthermore, based on Efficient Frontier concept and Sharpe measurement, there will be one stock portfolio picked as an optimum Portfolio (Namely Portfolio G. Then, Performance of portfolio G will be evaluated by using Sharpe, Treynor and Jensen Measurement to show whether the return of Portfolio G exceeds the market return. This paper also illustrates how the stock composition of the Optimum Portfolio (G succeeds to predict the portfolio return in the future (5th January – 3rd April 2009. The result of the study observed that optimization portfolio using Mean-Variance (consistent with Markowitz theory combine with linear programming can be applied into Indonesia stock’s portfolio. All the measurements (Sharpe, Jensen, and Treynor show that the portfolio G is a superior portfolio. It is also been found that the composition (weights stocks of optimum portfolio (G can be used to

  19. Robust Portfolio Optimization Using Pseudodistances.

    Science.gov (United States)

    Toma, Aida; Leoni-Aubin, Samuela

    2015-01-01

    The presence of outliers in financial asset returns is a frequently occurring phenomenon which may lead to unreliable mean-variance optimized portfolios. This fact is due to the unbounded influence that outliers can have on the mean returns and covariance estimators that are inputs in the optimization procedure. In this paper we present robust estimators of mean and covariance matrix obtained by minimizing an empirical version of a pseudodistance between the assumed model and the true model underlying the data. We prove and discuss theoretical properties of these estimators, such as affine equivariance, B-robustness, asymptotic normality and asymptotic relative efficiency. These estimators can be easily used in place of the classical estimators, thereby providing robust optimized portfolios. A Monte Carlo simulation study and applications to real data show the advantages of the proposed approach. We study both in-sample and out-of-sample performance of the proposed robust portfolios comparing them with some other portfolios known in literature.

  20. Analysis of Various Multi-Objective Optimization Evolutionary Algorithms for Monte Carlo Treatment Planning System

    CERN Document Server

    Tydrichova, Magdalena

    2017-01-01

    In this project, various available multi-objective optimization evolutionary algorithms were compared considering their performance and distribution of solutions. The main goal was to select the most suitable algorithms for applications in cancer hadron therapy planning. For our purposes, a complex testing and analysis software was developed. Also, many conclusions and hypothesis have been done for the further research.

  1. MOONS: a multi-object optical and near-infrared spectrograph for the VLT

    NARCIS (Netherlands)

    Cirasuolo, M.; Afonso, J.; Bender, R.; Bonifacio, P.; Evans, C.; Kaper, L.; Oliva, Ernesto; Vanzi, Leonardo; Abreu, Manuel; Atad-Ettedgui, Eli; Babusiaux, Carine; Bauer, Franz E.; Best, Philip; Bezawada, Naidu; Bryson, Ian R.; Cabral, Alexandre; Caputi, Karina; Centrone, Mauro; Chemla, Fanny; Cimatti, Andrea; Cioni, Maria-Rosa; Clementini, Gisella; Coelho, João.; Daddi, Emanuele; Dunlop, James S.; Feltzing, Sofia; Ferguson, Annette; Flores, Hector; Fontana, Adriano; Fynbo, Johan; Garilli, Bianca; Glauser, Adrian M.; Guinouard, Isabelle; Hammer, Jean-François; Hastings, Peter R.; Hess, Hans-Joachim; Ivison, Rob J.; Jagourel, Pascal; Jarvis, Matt; Kauffman, G.; Lawrence, A.; Lee, D.; Li Causi, G.; Lilly, S.; Lorenzetti, D.; Maiolino, R.; Mannucci, F.; McLure, R.; Minniti, D.; Montgomery, D.; Muschielok, B.; Nandra, K.; Navarro, R.; Norberg, P.; Origlia, L.; Padilla, N.; Peacock, J.; Pedicini, F.; Pentericci, L.; Pragt, J.; Puech, M.; Randich, S.; Renzini, A.; Ryde, N.; Rodrigues, M.; Royer, F.; Saglia, R.; Sánchez, A.; Schnetler, H.; Sobral, D.; Speziali, R.; Todd, S.; Tolstoy, E.; Torres, M.; Venema, L.; Vitali, F.; Wegner, M.; Wells, M.; Wild, V.; Wright, G.

    MOONS is a new conceptual design for a Multi-Object Optical and Near-infrared Spectrograph for the Very Large Telescope (VLT), selected by ESO for a Phase A study. The baseline design consists of ~1000 fibers deployable over a field of view of ~500 square arcmin, the largest patrol field offered by

  2. A ubiquitous reflective e-portfolio architecture.

    Science.gov (United States)

    Forte, Marcos; de Souza, Wanderley L; da Silva, Roseli F; do Prado, Antonio F; Rodrigues, Jose F

    2013-11-01

    and in group activities, and for the paper-based version while in patient attendance. There is evidence that the environment where the professional practice takes place influences the usage of the e-portfolio. Mobile devices were able to support students in their professional practice; however, these devices present characteristics that must be judiciously selected, otherwise, they may limit the execution of important tasks. The main shortcoming identified during the evaluation tests was about the use of the module, and of the access device, during patient attendance. For this reason, we have envisioned a new version of the Professional Practice Module that shall follow a twofold requisite: by one side, it will include all the features of the module, to be used at the university or in the students' homes; from the other side, it will include only the features that are essential for the practice of patient attendance. Copyright © 2013 Elsevier Ireland Ltd. All rights reserved.

  3. Multi-objective convex programming problem arising in multivariate ...

    African Journals Online (AJOL)

    user

    Multi-objective convex programming problem arising in ... However, although the consideration of multiple objectives may seem a novel concept, virtually any nontrivial ..... Solving multiobjective programming problems by discrete optimization.

  4. Application of Markowitz Portfolio Theory by Building Optimal Portfolio on the US Stock Market

    OpenAIRE

    Širůček, Martin; Křen, Lukáš

    2015-01-01

    ŠIRŮČEK MARTIN, KŘEN LUKÁŠ. 2015. Application of Markowitz Portfolio Theory by Building Optimal Portfolio on the US Stock Market. Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 63(4): 1375–1386. This paper is focused on building investment portfolios by using the Markowitz Portfolio Theory (MPT). Derivation based on the Capital Asset Pricing Model (CAPM) is used to calculate the weights of individual securities in portfolios. The calculated portfolios include a po...

  5. Information Acquisition and Portfolio Performance

    OpenAIRE

    Guiso, Luigi; Jappelli, Tullio

    2006-01-01

    Rational investors perceive correctly the value of financial information. Investment in information is therefore rewarded with a higher Sharpe ratio. Overconfident investors overstate the quality of their own information, and thus attain a lower Sharpe ratio. We contrast the implications of the two models using a unique survey of customers of an Italian leading bank with portfolio data and measures of financial information. We find that the portfolio Sharpe ratio is negatively associated with...

  6. Optimal Investment Under Transaction Costs: A Threshold Rebalanced Portfolio Approach

    Science.gov (United States)

    Tunc, Sait; Donmez, Mehmet Ali; Kozat, Suleyman Serdar

    2013-06-01

    We study optimal investment in a financial market having a finite number of assets from a signal processing perspective. We investigate how an investor should distribute capital over these assets and when he should reallocate the distribution of the funds over these assets to maximize the cumulative wealth over any investment period. In particular, we introduce a portfolio selection algorithm that maximizes the expected cumulative wealth in i.i.d. two-asset discrete-time markets where the market levies proportional transaction costs in buying and selling stocks. We achieve this using "threshold rebalanced portfolios", where trading occurs only if the portfolio breaches certain thresholds. Under the assumption that the relative price sequences have log-normal distribution from the Black-Scholes model, we evaluate the expected wealth under proportional transaction costs and find the threshold rebalanced portfolio that achieves the maximal expected cumulative wealth over any investment period. Our derivations can be readily extended to markets having more than two stocks, where these extensions are pointed out in the paper. As predicted from our derivations, we significantly improve the achieved wealth over portfolio selection algorithms from the literature on historical data sets.

  7. Optimal consumption—portfolio problem with CVaR constraints

    International Nuclear Information System (INIS)

    Zhang, Qingye; Gao, Yan

    2016-01-01

    The optimal portfolio selection is a fundamental issue in finance, and its two most important ingredients are risk and return. Merton's pioneering work in dynamic portfolio selection emphasized only the expected utility of the consumption and the terminal wealth. To make the optimal portfolio strategy be achievable, risk control over bankruptcy during the investment horizon is an indispensable ingredient. So, in this paper, we consider the consumption-portfolio problem coupled with a dynamic risk control. More specifically, different from the existing literature, we impose a dynamic relative CVaR constraint on it. By the stochastic dynamic programming techniques, we derive the corresponding Hamilton–Jacobi–Bellman (HJB) equation. Moreover, by the Lagrange multiplier method, the closed form solution is provided when the utility function is a logarithmic one. At last, an illustrative empirical study is given. The results show the distinct difference of the portfolio strategies with and without the CVaR constraints: the proportion invested in the risky assets is reduced over time with CVaR constraint instead of being constant without CVaR constraints. This can provide a good decision-making reference for the investors.

  8. A multiobjective approach to the genetic code adaptability problem.

    Science.gov (United States)

    de Oliveira, Lariza Laura; de Oliveira, Paulo S L; Tinós, Renato

    2015-02-19

    The organization of the canonical code has intrigued researches since it was first described. If we consider all codes mapping the 64 codes into 20 amino acids and one stop codon, there are more than 1.51×10(84) possible genetic codes. The main question related to the organization of the genetic code is why exactly the canonical code was selected among this huge number of possible genetic codes. Many researchers argue that the organization of the canonical code is a product of natural selection and that the code's robustness against mutations would support this hypothesis. In order to investigate the natural selection hypothesis, some researches employ optimization algorithms to identify regions of the genetic code space where best codes, according to a given evaluation function, can be found (engineering approach). The optimization process uses only one objective to evaluate the codes, generally based on the robustness for an amino acid property. Only one objective is also employed in the statistical approach for the comparison of the canonical code with random codes. We propose a multiobjective approach where two or more objectives are considered simultaneously to evaluate the genetic codes. In order to test our hypothesis that the multiobjective approach is useful for the analysis of the genetic code adaptability, we implemented a multiobjective optimization algorithm where two objectives are simultaneously optimized. Using as objectives the robustness against mutation with the amino acids properties polar requirement (objective 1) and robustness with respect to hydropathy index or molecular volume (objective 2), we found solutions closer to the canonical genetic code in terms of robustness, when compared with the results using only one objective reported by other authors. Using more objectives, more optimal solutions are obtained and, as a consequence, more information can be used to investigate the adaptability of the genetic code. The multiobjective approach

  9. Conflicts in Coalitions: A Stability Analysis of Robust Multi-City Regional Water Supply Portfolios

    Science.gov (United States)

    Gold, D.; Trindade, B. C.; Reed, P. M.; Characklis, G. W.

    2017-12-01

    Regional cooperation among water utilities can improve the robustness of urban water supply portfolios to deeply uncertain future conditions such as those caused by climate change or population growth. Coordination mechanisms such as water transfers, coordinated demand management, and shared infrastructure, can improve the efficiency of resource allocation and delay the need for new infrastructure investments. Regionalization does however come at a cost. Regionally coordinated water supply plans may be vulnerable to any emerging instabilities in the regional coalition. If one or more regional actors does not cooperate or follow the required regional actions in a time of crisis, the overall system performance may degrade. Furthermore, when crafting regional water supply portfolios, decision makers must choose a framework for measuring the performance of regional policies based on the evaluation of the objective values for each individual actor. Regional evaluations may inherently favor one actor's interests over those of another. This work focuses on four interconnected water utilities in the Research Triangle region of North Carolina for which robust regional water supply portfolios have previously been designed using multi-objective optimization to maximize the robustness of the worst performing utility across several objectives. This study 1) examines the sensitivity of portfolio performance to deviations from prescribed actions by individual utilities, 2) quantifies the implications of the regional formulation used to evaluate robustness for the portfolio performance of each individual utility and 3) elucidates the inherent regional tensions and conflicts that exist between utilities under this regionalization scheme through visual diagnostics of the system under simulated drought scenarios. Results of this analysis will help inform the creation of future regional water supply portfolios and provide insight into the nature of multi-actor water supply systems.

  10. Multiobjective RFID Network Optimization Using Multiobjective Evolutionary and Swarm Intelligence Approaches

    Directory of Open Access Journals (Sweden)

    Hanning Chen

    2014-01-01

    Full Text Available The development of radio frequency identification (RFID technology generates the most challenging RFID network planning (RNP problem, which needs to be solved in order to operate the large-scale RFID network in an optimal fashion. RNP involves many objectives and constraints and has been proven to be a NP-hard multi-objective problem. The application of evolutionary algorithm (EA and swarm intelligence (SI for solving multiobjective RNP (MORNP has gained significant attention in the literature, but these algorithms always transform multiple objectives into a single objective by weighted coefficient approach. In this paper, we use multiobjective EA and SI algorithms to find all the Pareto optimal solutions and to achieve the optimal planning solutions by simultaneously optimizing four conflicting objectives in MORNP, instead of transforming multiobjective functions into a single objective function. The experiment presents an exhaustive comparison of three successful multiobjective EA and SI, namely, the recently developed multiobjective artificial bee colony algorithm (MOABC, the nondominated sorting genetic algorithm II (NSGA-II, and the multiobjective particle swarm optimization (MOPSO, on MORNP instances of different nature, namely, the two-objective and three-objective MORNP. Simulation results show that MOABC proves to be more superior for planning RFID networks than NSGA-II and MOPSO in terms of optimization accuracy and computation robustness.

  11. Multi-objective evolutionary algorithms for fuzzy classification in survival prediction.

    Science.gov (United States)

    Jiménez, Fernando; Sánchez, Gracia; Juárez, José M

    2014-03-01

    This paper presents a novel rule-based fuzzy classification methodology for survival/mortality prediction in severe burnt patients. Due to the ethical aspects involved in this medical scenario, physicians tend not to accept a computer-based evaluation unless they understand why and how such a recommendation is given. Therefore, any fuzzy classifier model must be both accurate and interpretable. The proposed methodology is a three-step process: (1) multi-objective constrained optimization of a patient's data set, using Pareto-based elitist multi-objective evolutionary algorithms to maximize accuracy and minimize the complexity (number of rules) of classifiers, subject to interpretability constraints; this step produces a set of alternative (Pareto) classifiers; (2) linguistic labeling, which assigns a linguistic label to each fuzzy set of the classifiers; this step is essential to the interpretability of the classifiers; (3) decision making, whereby a classifier is chosen, if it is satisfactory, according to the preferences of the decision maker. If no classifier is satisfactory for the decision maker, the process starts again in step (1) with a different input parameter set. The performance of three multi-objective evolutionary algorithms, niched pre-selection multi-objective algorithm, elitist Pareto-based multi-objective evolutionary algorithm for diversity reinforcement (ENORA) and the non-dominated sorting genetic algorithm (NSGA-II), was tested using a patient's data set from an intensive care burn unit and a standard machine learning data set from an standard machine learning repository. The results are compared using the hypervolume multi-objective metric. Besides, the results have been compared with other non-evolutionary techniques and validated with a multi-objective cross-validation technique. Our proposal improves the classification rate obtained by other non-evolutionary techniques (decision trees, artificial neural networks, Naive Bayes, and case

  12. Land-Use Portfolio Modeler, Version 1.0

    Science.gov (United States)

    Taketa, Richard; Hong, Makiko

    2010-01-01

    Natural hazards pose significant threats to the public safety and economic health of many communities throughout the world. Community leaders and decision-makers continually face the challenges of planning and allocating limited resources to invest in protecting their communities against catastrophic losses from natural-hazard events. Public efforts to assess community vulnerability and encourage loss-reduction measures through mitigation often focused on either aggregating site-specific estimates or adopting standards based upon broad assumptions about regional risks. The site-specific method usually provided the most accurate estimates, but was prohibitively expensive, whereas regional risk assessments were often too general to be of practical use. Policy makers lacked a systematic and quantitative method for conducting a regional-scale risk assessment of natural hazards. In response, Bernknopf and others developed the portfolio model, an intermediate-scale approach to assessing natural-hazard risks and mitigation policy alternatives. The basis for the portfolio-model approach was inspired by financial portfolio theory, which prescribes a method of optimizing return on investment while reducing risk by diversifying investments in different security types. In this context, a security type represents a unique combination of features and hazard-risk level, while financial return is defined as the reduction in losses resulting from an investment in mitigation of chosen securities. Features are selected for mitigation and are modeled like investment portfolios. Earth-science and economic data for the features are combined and processed in order to analyze each of the portfolios, which are then used to evaluate the benefits of mitigating the risk in selected locations. Ultimately, the decision maker seeks to choose a portfolio representing a mitigation policy that maximizes the expected return-on-investment, while minimizing the uncertainty associated with that return

  13. Multiobjective Optimization for Electronic Circuit Design in Time and Frequency Domains

    Directory of Open Access Journals (Sweden)

    J. Dobes

    2013-04-01

    Full Text Available The multiobjective optimization provides an extraordinary opportunity for the finest design of electronic circuits because it allows to mathematically balance contradictory requirements together with possible constraints. In this paper, an original and substantial improvement of an existing method for the multiobjective optimization known as GAM (Goal Attainment Method is suggested. In our proposal, the GAM algorithm itself is combined with a procedure that automatically provides a set of parameters -- weights, coordinates of the reference point -- for which the method generates noninferior solutions uniformly spread over an appropriately selected part of the Pareto front. Moreover, the resulting set of obtained solutions is then presented in a suitable graphic form so that the solution representing the most satisfactory tradeoff can be easily chosen by the designer. Our system generates various types of plots that conveniently characterize results of up to four-dimensional problems. Technically, the procedures of the multiobjective optimization were created as a software add-on to the CIA (Circuit Interactive Analyzer program. This way enabled us to utilize many powerful features of this program, including the sensitivity analyses in time and frequency domains. As a result, the system is also able to perform the multiobjective optimization in the time domain and even highly nonlinear circuits can be significantly improved by our program. As a demonstration of this feature, a multiobjective optimization of a C-class power amplifier in the time domain is thoroughly described in the paper. Further, a four-dimensional optimization of a video amplifier is demonstrated with an original graphic representation of the Pareto front, and also some comparison with the weighting method is done. As an example of improving noise properties, a multiobjective optimization of a low-noise amplifier is performed, and the results in the frequency domain are shown

  14. Genetic algorithms and fuzzy multiobjective optimization

    CERN Document Server

    Sakawa, Masatoshi

    2002-01-01

    Since the introduction of genetic algorithms in the 1970s, an enormous number of articles together with several significant monographs and books have been published on this methodology. As a result, genetic algorithms have made a major contribution to optimization, adaptation, and learning in a wide variety of unexpected fields. Over the years, many excellent books in genetic algorithm optimization have been published; however, they focus mainly on single-objective discrete or other hard optimization problems under certainty. There appears to be no book that is designed to present genetic algorithms for solving not only single-objective but also fuzzy and multiobjective optimization problems in a unified way. Genetic Algorithms And Fuzzy Multiobjective Optimization introduces the latest advances in the field of genetic algorithm optimization for 0-1 programming, integer programming, nonconvex programming, and job-shop scheduling problems under multiobjectiveness and fuzziness. In addition, the book treats a w...

  15. Multiobjective optimization of a steering linkage

    Energy Technology Data Exchange (ETDEWEB)

    Sleesonsom, S.; Bureerat, S. [Sustainable and Infrastructure Research and Development Center, Dept. of Mechanical Engineering, Faculty of Engineering, Khon Kaen University, Khon Kaen (Thailand)

    2016-08-15

    In this paper, multi-objective optimization of a rack-and-pinion steering linkage is proposed. This steering linkage is a common mechanism used in small cars with three advantages as it is simple to construct, economical to manufacture, and compact and easy to operate. In the previous works, many researchers tried to minimize a steering error but minimization of a turning radius is somewhat ignored. As a result, a multi-objective optimization problem is assigned to simultaneously minimize a steering error and a turning radius. The design variables are linkage dimensions. The design problem is solved by the hybrid of multi-objective population-based incremental learning and differential evolution with various constraint handling schemes. The new design strategy leads to effective design of rack-and-pinion steering linkages satisfying both steering error and turning radius criteria.

  16. Multiobjective optimization of a steering linkage

    International Nuclear Information System (INIS)

    Sleesonsom, S.; Bureerat, S.

    2016-01-01

    In this paper, multi-objective optimization of a rack-and-pinion steering linkage is proposed. This steering linkage is a common mechanism used in small cars with three advantages as it is simple to construct, economical to manufacture, and compact and easy to operate. In the previous works, many researchers tried to minimize a steering error but minimization of a turning radius is somewhat ignored. As a result, a multi-objective optimization problem is assigned to simultaneously minimize a steering error and a turning radius. The design variables are linkage dimensions. The design problem is solved by the hybrid of multi-objective population-based incremental learning and differential evolution with various constraint handling schemes. The new design strategy leads to effective design of rack-and-pinion steering linkages satisfying both steering error and turning radius criteria

  17. An External Archive-Guided Multiobjective Particle Swarm Optimization Algorithm.

    Science.gov (United States)

    Zhu, Qingling; Lin, Qiuzhen; Chen, Weineng; Wong, Ka-Chun; Coello Coello, Carlos A; Li, Jianqiang; Chen, Jianyong; Zhang, Jun

    2017-09-01

    The selection of swarm leaders (i.e., the personal best and global best), is important in the design of a multiobjective particle swarm optimization (MOPSO) algorithm. Such leaders are expected to effectively guide the swarm to approach the true Pareto optimal front. In this paper, we present a novel external archive-guided MOPSO algorithm (AgMOPSO), where the leaders for velocity update are all selected from the external archive. In our algorithm, multiobjective optimization problems (MOPs) are transformed into a set of subproblems using a decomposition approach, and then each particle is assigned accordingly to optimize each subproblem. A novel archive-guided velocity update method is designed to guide the swarm for exploration, and the external archive is also evolved using an immune-based evolutionary strategy. These proposed approaches speed up the convergence of AgMOPSO. The experimental results fully demonstrate the superiority of our proposed AgMOPSO in solving most of the test problems adopted, in terms of two commonly used performance measures. Moreover, the effectiveness of our proposed archive-guided velocity update method and immune-based evolutionary strategy is also experimentally validated on more than 30 test MOPs.

  18. A Maximum Entropy Method for a Robust Portfolio Problem

    Directory of Open Access Journals (Sweden)

    Yingying Xu

    2014-06-01

    Full Text Available We propose a continuous maximum entropy method to investigate the robustoptimal portfolio selection problem for the market with transaction costs and dividends.This robust model aims to maximize the worst-case portfolio return in the case that allof asset returns lie within some prescribed intervals. A numerical optimal solution tothe problem is obtained by using a continuous maximum entropy method. Furthermore,some numerical experiments indicate that the robust model in this paper can result in betterportfolio performance than a classical mean-variance model.

  19. Optimal portfolio strategies under a shortfall constraint | Akume ...

    African Journals Online (AJOL)

    We impose dynamically, a shortfall constraint in terms of Tail Conditional Expectation on the portfolio selection problem in continuous time, in order to obtain optimal strategies. The nancial market is assumed to comprise n risky assets driven by geometric Brownian motion and one risk-free asset. The method of Lagrange ...

  20. Portfolio Effects of Renewable Energies - Basics, Models, Exemplary Results

    Energy Technology Data Exchange (ETDEWEB)

    Wiese, Andreas; Herrmann, Matthias

    2007-07-01

    The combination of sites and technologies to so-called renewable energy portfolios, which are being developed and implemented under the same financing umbrella, is currently the subject of intense discussion in the finance world. The resulting portfolio effect may allow the prediction of a higher return with the same risk or the same return with a lower risk - always in comparison with the investment in a single project. Models are currently being developed to analyse this subject and derive the portfolio effect. In particular, the effect of the spatial distribution, as well as the effects of using different technologies, suppliers and cost assumptions with different level of uncertainties, are of importance. Wind parks, photovoltaic, biomass, biogas and hydropower are being considered. The status of the model development and first results are being presented in the current paper. In a first example, the portfolio effect has been calculated and analysed using selected parameters for a wind energy portfolio of 39 sites distributed over Europe. Consequently it has been shown that the predicted yield, with the predetermined probabilities between 75 to 90%, is 3 - 8% higher than the sum of the yields for the individual wind parks using the same probabilities. (auth)

  1. Linear versus quadratic portfolio optimization model with transaction cost

    Science.gov (United States)

    Razak, Norhidayah Bt Ab; Kamil, Karmila Hanim; Elias, Siti Masitah

    2014-06-01

    Optimization model is introduced to become one of the decision making tools in investment. Hence, it is always a big challenge for investors to select the best model that could fulfill their goal in investment with respect to risk and return. In this paper we aims to discuss and compare the portfolio allocation and performance generated by quadratic and linear portfolio optimization models namely of Markowitz and Maximin model respectively. The application of these models has been proven to be significant and popular among others. However transaction cost has been debated as one of the important aspects that should be considered for portfolio reallocation as portfolio return could be significantly reduced when transaction cost is taken into consideration. Therefore, recognizing the importance to consider transaction cost value when calculating portfolio' return, we formulate this paper by using data from Shariah compliant securities listed in Bursa Malaysia. It is expected that, results from this paper will effectively justify the advantage of one model to another and shed some lights in quest to find the best decision making tools in investment for individual investors.

  2. Bi-objective integrating sustainable order allocation and sustainable supply chain network strategic design with stochastic demand using a novel robust hybrid multi-objective metaheuristic

    DEFF Research Database (Denmark)

    Govindan, Kannan; Jafarian, Ahmad; Nourbakhsh, Vahid

    2015-01-01

    simultaneously considering the sustainable OAP in the sustainable SCND as a strategic decision. The proposed supply chain network is composed of five echelons including suppliers classified in different classes, plants, distribution centers that dispatch products via two different ways, direct shipment......, a novel multi-objective hybrid approach called MOHEV with two strategies for its best particle selection procedure (BPSP), minimum distance, and crowding distance is proposed. MOHEV is constructed through hybridization of two multi-objective algorithms, namely the adapted multi-objective electromagnetism...

  3. 77 FR 55903 - Confirmation, Portfolio Reconciliation, Portfolio Compression, and Swap Trading Relationship...

    Science.gov (United States)

    2012-09-11

    ... Vol. 77 Tuesday, No. 176 September 11, 2012 Part II Commodity Futures Trading Commission 17 CFR Part 23 Confirmation, Portfolio Reconciliation, Portfolio Compression, and Swap Trading Relationship... FUTURES TRADING COMMISSION 17 CFR Part 23 RIN 3038-AC96 Confirmation, Portfolio Reconciliation, Portfolio...

  4. Portfolio optimization with mean-variance model

    Science.gov (United States)

    Hoe, Lam Weng; Siew, Lam Weng

    2016-06-01

    Investors wish to achieve the target rate of return at the minimum level of risk in their investment. Portfolio optimization is an investment strategy that can be used to minimize the portfolio risk and can achieve the target rate of return. The mean-variance model has been proposed in portfolio optimization. The mean-variance model is an optimization model that aims to minimize the portfolio risk which is the portfolio variance. The objective of this study is to construct the optimal portfolio using the mean-variance model. The data of this study consists of weekly returns of 20 component stocks of FTSE Bursa Malaysia Kuala Lumpur Composite Index (FBMKLCI). The results of this study show that the portfolio composition of the stocks is different. Moreover, investors can get the return at minimum level of risk with the constructed optimal mean-variance portfolio.

  5. The Use of Academic Portfolio in the Learning and Assessment of Physics Students

    Directory of Open Access Journals (Sweden)

    Meng Kay Ling

    2016-05-01

    Full Text Available The purpose of this research paper is to examine the use of portfolios in the teaching and learning of physics at a Singapore private college. The paper starts with a short introduction of the types of students and the purpose of using academic portfolios in their learning and assessment. Some ideas of how portfolios can be used in the local context will also be discussed. It is necessary for teachers to know how to incorporate portfolio assessment in their daily lesson plans. At the same time, students who are studying physics at the college should also know how to use portfolios to their academic advantage. The paper also highlights three of the relevant work artifacts that can be included into the physics portfolios. The three work samples are concept-maps, internet research reports and newspaper articles reports. Concept-maps are useful tools to help students establish the connections between concepts. Internet research reports serve as important means for students to know more about how some scientific devices or technology use physics in the operations. Newspaper articles reports allow students to understand the real impact of physics on the lives of people. Subsequent sections of the paper discuss about the organizational flow of the portfolio, the timeline, the selection process, the portfolio checklist and assessment rubrics, the positive influences of using portfolios, the issues to consider and also the potential problems that physics teachers may face in implementing portfolios. These sections present the important framework which teachers can use as references for their portfolio initiatives in schools.

  6. Sygeplejestuderendes brug af portfolio i klinisk undervisning

    DEFF Research Database (Denmark)

    Hjorth, Anne Charlotte Overgaard; Bruhn, Helle

    2014-01-01

    Brugen af portfolio var mangelfuld, men et udviklingsprojekt i samarbejde med den kommunale sygepleje motiverede både sygeplejestuderende og kliniske vejledere til at anvende læringsdelen af portfolio aktivt.......Brugen af portfolio var mangelfuld, men et udviklingsprojekt i samarbejde med den kommunale sygepleje motiverede både sygeplejestuderende og kliniske vejledere til at anvende læringsdelen af portfolio aktivt....

  7. Enhanced index tracking modeling in portfolio optimization with mixed-integer programming z approach

    Science.gov (United States)

    Siew, Lam Weng; Jaaman, Saiful Hafizah Hj.; Ismail, Hamizun bin

    2014-09-01

    Enhanced index tracking is a popular form of portfolio management in stock market investment. Enhanced index tracking aims to construct an optimal portfolio to generate excess return over the return achieved by the stock market index without purchasing all of the stocks that make up the index. The objective of this paper is to construct an optimal portfolio using mixed-integer programming model which adopts regression approach in order to generate higher portfolio mean return than stock market index return. In this study, the data consists of 24 component stocks in Malaysia market index which is FTSE Bursa Malaysia Kuala Lumpur Composite Index from January 2010 until December 2012. The results of this study show that the optimal portfolio of mixed-integer programming model is able to generate higher mean return than FTSE Bursa Malaysia Kuala Lumpur Composite Index return with only selecting 30% out of the total stock market index components.

  8. Managing the New Product Portfolio

    DEFF Research Database (Denmark)

    Larsson, Flemming

    2008-01-01

    Product development companies are increasingly confronted with an unforgiving global marketplace, which urges the top management to pursue every product development opportunity that appears on the road. This situation incurs an important question: Which product development opportunities should a ....... The contributions encourage an improved understanding of the portfolio management concept and support industry professionals in their efforts to compose and continuously maintain a commercially strong product development portfolio.......Product development companies are increasingly confronted with an unforgiving global marketplace, which urges the top management to pursue every product development opportunity that appears on the road. This situation incurs an important question: Which product development opportunities should...

  9. Portfolios and the market geometry

    Science.gov (United States)

    Eleutério, Samuel; Araújo, Tanya; Vilela Mendes, R.

    2014-09-01

    A geometric analysis of return time series, performed in the past, implied that most of the systematic information in the market is contained in a space of small dimension. Here we have explored subspaces of this space to find out the relative performance of portfolios formed from companies that have the largest projections in each one of the subspaces. As expected, it was found that the best performance portfolios are associated with some of the small eigenvalue subspaces and not to the dominant dimensions. This is found to occur in a systematic fashion over an extended period (1990-2008).

  10. Application of Project Portfolio Management

    Science.gov (United States)

    Pankowska, Malgorzata

    The main goal of the chapter is the presentation of the application project portfolio management approach to support development of e-Municipality and public administration information systems. The models of how people publish and utilize information on the web have been transformed continually. Instead of simply viewing on static web pages, users publish their own content through blogs and photo- and video-sharing slides. Analysed in this chapter, ICT (Information Communication Technology) projects for municipalities cover the mixture of the static web pages, e-Government information systems, and Wikis. So, for the management of the ICT projects' mixtures the portfolio project management approach is proposed.

  11. Purchasing portfolio usage and purchasing sophistication

    NARCIS (Netherlands)

    Gelderman, C.J.; Weele, van A.J.

    2005-01-01

    Purchasing portfolio models have caused considerable controversy in literature. Many advantages and disadvantages have been put forward, revealing a strong disagreement on the merits of portfolio models. This study addresses the question whether or not the use of purchasing portfolio models should

  12. Hierarchical Portfolio Management: Theory and Applications

    NARCIS (Netherlands)

    H. Ning (Haikun)

    2007-01-01

    textabstractUnder his own preference, how should an investor coordinate the asset managers such that his aggregated portfolio is optimized? The efficiency of each managed sub portfolio and the aggregation of all the sub portfolios are the 2 main underlying problems considered in this dissertation.

  13. Modern Portfolio Theory: Some Main Results

    OpenAIRE

    Müller, Heinz H.

    2017-01-01

    This article summarizes some main results in modern portfolio theory. First, the Markowitz approach is presented. Then the capital asset pricing model is derived and its empirical testability is discussed. Afterwards Neumann-Morgenstern utility theory is applied to the portfolio problem. Finally, it is shown how optimal risk allocation in an economy may lead to portfolio insurance

  14. Using Electronic Portfolios for Second Language Assessment

    Science.gov (United States)

    Cummins, Patricia W.; Davesne, Celine

    2009-01-01

    Portfolio assessment as developed in Europe presents a learner-empowering alternative to computer-based testing. The authors present the European Language Portfolio (ELP) and its American adaptations, LinguaFolio and the Global Language Portfolio, as tools to be used with the Common European Framework of Reference for languages and the American…

  15. Household portfolios and implicit risk aversion

    NARCIS (Netherlands)

    Bucciol, A.; Miniaci, R.

    2008-01-01

    We derive from a sample of US households the distribution of the risk aversion implicit in their portfolio choice. Our estimate minimizes the distance between the certainty equivalent return generated with observed portfolios and portfolios that are optimal in a mean-variance framework. Taking into

  16. Quantitative investment strategies and portfolio management

    NARCIS (Netherlands)

    Guo, J.

    2012-01-01

    This book contains three essays on alternative investments and portfolio management. Taking from a portfolio investor’s perspective, the first essay analyzes the portfolio implication of investing in hedge funds when there is a hedge fund lockup period. The second essay studies the investment

  17. Formal Method of Description Supporting Portfolio Assessment

    Science.gov (United States)

    Morimoto, Yasuhiko; Ueno, Maomi; Kikukawa, Isao; Yokoyama, Setsuo; Miyadera, Youzou

    2006-01-01

    Teachers need to assess learner portfolios in the field of education. However, they need support in the process of designing and practicing what kind of portfolios are to be assessed. To solve the problem, a formal method of describing the relations between the lesson forms and portfolios that need to be collected and the relations between…

  18. The Impact of Transaction Costs on Rebalancing an Investment Portfolio in Portfolio Optimization

    OpenAIRE

    B. Marasović; S. Pivac; S. V. Vukasović

    2015-01-01

    Constructing a portfolio of investments is one of the most significant financial decisions facing individuals and institutions. In accordance with the modern portfolio theory maximization of return at minimal risk should be the investment goal of any successful investor. In addition, the costs incurred when setting up a new portfolio or rebalancing an existing portfolio must be included in any realistic analysis. In this paper rebalancing an investment portfolio in the pr...

  19. Conflicting Multi-Objective Compatible Optimization Control

    OpenAIRE

    Xu, Lihong; Hu, Qingsong; Hu, Haigen; Goodman, Erik

    2010-01-01

    Based on ideas developed in addressing practical greenhouse environmental control, we propose a new multi-objective compatible control method. Several detailed algorithms are proposed to meet the requirements of different kinds of problem: 1) A two-layer MOCC framework is presented for problems with a precise model; 2) To deal with situations

  20. Dynamic Uniform Scaling for Multiobjective Genetic Algorithms

    DEFF Research Database (Denmark)

    Pedersen, Gerulf; Goldberg, David E.

    2004-01-01

    Before Multiobjective Evolutionary Algorithms (MOEAs) can be used as a widespread tool for solving arbitrary real world problems there are some salient issues which require further investigation. One of these issues is how a uniform distribution of solutions along the Pareto non-dominated front c...

  1. Dynamic Uniform Scaling for Multiobjective Genetic Algorithms

    DEFF Research Database (Denmark)

    Pedersen, Gerulf; Goldberg, D.E.

    2004-01-01

    Before Multiobjective Evolutionary Algorithms (MOEAs) can be used as a widespread tool for solving arbitrary real world problems there are some salient issues which require further investigation. One of these issues is how a uniform distribution of solutions along the Pareto non-dominated front can...

  2. Multiobjective optimization of an extremal evolution model

    International Nuclear Information System (INIS)

    Elettreby, M.F.

    2004-09-01

    We propose a two-dimensional model for a co-evolving ecosystem that generalizes the extremal coupled map lattice model. The model takes into account the concept of multiobjective optimization. We find that the system self-organizes into a critical state. The distributions of the distances between subsequent mutations as well as the distribution of avalanches sizes follow power law. (author)

  3. Adaptive Gradient Multiobjective Particle Swarm Optimization.

    Science.gov (United States)

    Han, Honggui; Lu, Wei; Zhang, Lu; Qiao, Junfei

    2017-10-09

    An adaptive gradient multiobjective particle swarm optimization (AGMOPSO) algorithm, based on a multiobjective gradient (stocktickerMOG) method and a self-adaptive flight parameters mechanism, is developed to improve the computation performance in this paper. In this AGMOPSO algorithm, the stocktickerMOG method is devised to update the archive to improve the convergence speed and the local exploitation in the evolutionary process. Meanwhile, the self-adaptive flight parameters mechanism, according to the diversity information of the particles, is then established to balance the convergence and diversity of AGMOPSO. Attributed to the stocktickerMOG method and the self-adaptive flight parameters mechanism, this AGMOPSO algorithm not only has faster convergence speed and higher accuracy, but also its solutions have better diversity. Additionally, the convergence is discussed to confirm the prerequisite of any successful application of AGMOPSO. Finally, with regard to the computation performance, the proposed AGMOPSO algorithm is compared with some other multiobjective particle swarm optimization algorithms and two state-of-the-art multiobjective algorithms. The results demonstrate that the proposed AGMOPSO algorithm can find better spread of solutions and have faster convergence to the true Pareto-optimal front.

  4. Fostering EFL learners’ autonomy in light of portfolio assessment: Exploring the potential impact of gender

    Directory of Open Access Journals (Sweden)

    Mahmood Hashemian

    2013-07-01

    Full Text Available The purpose of this study was to investigate the impact of portfolio assessment as a process-oriented mechanism on the autonomy of Iranian advanced EFL learners. A particular concern was to examine the potential effect of gender on portfolio assessment by taking the learners’ writing ability into account. The participants were 80 male and female advanced EFL learners to whom the Learner Autonomy Questionnaire (Kashefian, 2002 was administered to check their homogeneity prior to the study in terms of autonomy; a truncated form of a TOEFL test was also given to the participants to assess their language proficiency. The participants were then randomly divided into 4 groups: 2 experimental groups (20 females in class A and 20 males in class B and 2 control groups (20 females in class C and 20 males in class D. The portfolio assessment was integrated into the experimental groups to explore whether and to what extent their autonomy might enhance and also to investigate the possible effect of gender on portfolio assessment in writing ability. The portfolio assessment was based on the classroom portfolio model adopted from Hamp-Lyons and Condon (2000, consisting of 3 procedures: collection, selection, and reflection. In contrast, the control groups received the traditional assessment of writing. The data were analyzed using 2 independent samples t tests, mean, and the effect size. The results showed that the portfolio procedures considerably improved the autonomy of the participants. Also, gender had no impact on portfolio assessment.

  5. Delegated Portfolio Management and Optimal Allocation of Portfolio Managers

    DEFF Research Database (Denmark)

    Christensen, Michael; Vangsgaard Christensen, Michael; Gamskjaer, Ken

    2015-01-01

    In this article, we investigate whether the application of the mean-variance framework on portfolio manager allocation offers any out-of-sample benefits compared to a naïve strategy of equal weighting. Based on an exclusive data-set of high-net-worth (HNW) investors, we utilize a wide variety of ...

  6. The Critical Infrastructure Portfolio Selection Model

    Science.gov (United States)

    2008-06-13

    metering/ billing 7 Rehabilitation of WTP 20 Maintain potable water production capacity and improve quality (esp. turbidity and color) 8 Construction of...junction/ segment of rail (rehab) 5 Shrine (rehab) 6 Rehabilitation of water distribution network 7 Rehabilitation of WTP 8 Construction of...

  7. A scalable coevolutionary multi-objective particle swarm optimizer

    Directory of Open Access Journals (Sweden)

    Xiangwei Zheng

    2010-11-01

    Full Text Available Multi-Objective Particle Swarm Optimizers (MOPSOs are easily trapped in local optima, cost more function evaluations and suffer from the curse of dimensionality. A scalable cooperative coevolution and ?-dominance based MOPSO (CEPSO is proposed to address these issues. In CEPSO, Multi-objective Optimization Problems (MOPs are decomposed in terms of their decision variables and are optimized by cooperative coevolutionary subswarms, and a uniform distribution mutation operator is adopted to avoid premature convergence. All subswarms share an external archive based on ?-dominance, which is also used as a leader set. Collaborators are selected from the archive and used to construct context vectors in order to evaluate particles in a subswarm. CEPSO is tested on several classical MOP benchmark functions and experimental results show that CEPSO can readily escape from local optima and optimize both low and high dimensional problems, but the number of function evaluations only increases linearly with respect to the number of decision variables. Therefore, CEPSO is competitive in solving various MOPs.

  8. A Relationship Strategy Perspective on Relationship Portfolios

    DEFF Research Database (Denmark)

    Ritter, Thomas; Andersen, Henrik

    2014-01-01

    The paper develops a three-dimensional portfolio model for business relationships which distinguishes among six different categories. Based on assessments of customer profitability, customer commitment, and growth potential, the positioning of a given customer relationship in the portfolio allows...... managers to determine appropriate customer relationship strategies and appropriate performance indicators. Results from applying the portfolio model are reported and managerial implications and future research are discussed.......The paper develops a three-dimensional portfolio model for business relationships which distinguishes among six different categories. Based on assessments of customer profitability, customer commitment, and growth potential, the positioning of a given customer relationship in the portfolio allows...

  9. Performance of the reverse Helmbold universal portfolio

    Science.gov (United States)

    Tan, Choon Peng; Kuang, Kee Seng; Lee, Yap Jia

    2017-04-01

    The universal portfolio is an important investment strategy in a stock market where no stochastic model is assumed for the stock prices. The zero-gradient set of the objective function estimating the next-day portfolio which contains the reverse Kullback-Leibler order-alpha divergence is considered. From the zero-gradient set, the explicit, reverse Helmbold universal portfolio is obtained. The performance of the explicit, reverse Helmbold universal portfolio is studied by running them on some stock-price data sets from the local stock exchange. It is possible to increase the wealth of the investor by using these portfolios in investment.

  10. A NAÏVE APPROACH TO SPEED UP PORTFOLIO OPTIMIZATION PROBLEM USING A MULTIOBJECTIVE GENETIC ALGORITHM

    Directory of Open Access Journals (Sweden)

    Baixauli-Soler, J. Samuel

    2012-05-01

    Full Text Available Genetic algorithms (GAs are appropriate when investors have the objective of obtaining mean‑variance (VaR efficient frontier as minimising VaR leads to non‑convex and non‑differential risk‑return optimisation problems. However GAs are a time‑consuming optimisation technique. In this paper, we propose to use a naïve approach consisting of using samples split by quartile of risk to obtain complete efficient frontiers in a reasonable computation time. Our results show that using reduced problems which only consider a quartile of the assets allow us to explore the efficient frontier for a large range of risk values. In particular, the third quartile allows us to obtain efficient frontiers from the 1.8% to 2.5% level of VaR quickly, while that of the first quartile of assets is from 1% to 1.3% level of VaR.

  11. Portfolios: A Vehicle for Inquiry.

    Science.gov (United States)

    McMackin, Mary C.

    By blending elements of inquiry with the components of portfolios, learning and thinking in teacher preparation courses can be extended and possible tensions between "covering content" and allowing "open-ended investigation" can be mitigated. Over the years, the author mused about how she might nudge graduate students in her…

  12. Dynamic Portfolio Choice with Frictions

    DEFF Research Database (Denmark)

    Garleanu, Nicolae; Heje Pedersen, Lasse

    2016-01-01

    We show how portfolio choice can be modeled in continuous time with transitory and persistent transaction costs, multiple assets, multiple signals predicting returns, and general signal dynamics. The objective function is derived from the limit of discrete-time models with endogenous transaction...

  13. Teaching Sociology through Student Portfolios

    Science.gov (United States)

    Trepagnier, Barbara

    2004-01-01

    After several years of teaching Sociological Thought--an upper division course that focuses on classical, modern, and contemporary sociological theories--the author came across the idea of student portfolios. As a consequence, the course has undergone far-reaching changes. The content remains relatively intact; however, today the theory course…

  14. Adaptation portfolios in water management

    NARCIS (Netherlands)

    Aerts, J.C.J.H.; Botzen, W.J.W.; Werners, S.

    2015-01-01

    This study explores how Modern Portfolio Theory (MPT) can guide investment decisions in integrated water resources management (IWRM) and climate change adaptation under uncertainty. The objectives of the paper are to: (i) explain the concept of diversification to reduce risk, as formulated in MPT;

  15. [New portfolio, a users' manual].

    Science.gov (United States)

    Cougnoux, Nadège; Deken, Éric; Juif, Isabelle; Papas, Anne

    2015-10-01

    The portfolio, a tool for monitoring nursing students throughout their internship period, has now been modified. The new 2015 version can be used to monitor and trace the student's career as well as progress made. One of the major new points is the integration of an intermediate internship assessment. Copyright © 2015 Elsevier Masson SAS. All rights reserved.

  16. Robust Portfolio Optimization Using Pseudodistances

    Science.gov (United States)

    2015-01-01

    The presence of outliers in financial asset returns is a frequently occurring phenomenon which may lead to unreliable mean-variance optimized portfolios. This fact is due to the unbounded influence that outliers can have on the mean returns and covariance estimators that are inputs in the optimization procedure. In this paper we present robust estimators of mean and covariance matrix obtained by minimizing an empirical version of a pseudodistance between the assumed model and the true model underlying the data. We prove and discuss theoretical properties of these estimators, such as affine equivariance, B-robustness, asymptotic normality and asymptotic relative efficiency. These estimators can be easily used in place of the classical estimators, thereby providing robust optimized portfolios. A Monte Carlo simulation study and applications to real data show the advantages of the proposed approach. We study both in-sample and out-of-sample performance of the proposed robust portfolios comparing them with some other portfolios known in literature. PMID:26468948

  17. Does health affect portfolio choice?

    Science.gov (United States)

    Love, David A; Smith, Paul A

    2010-12-01

    A number of recent studies find that poor health is empirically associated with a safer portfolio allocation. It is difficult to say, however, whether this relationship is truly causal. Both health status and portfolio choice are influenced by unobserved characteristics such as risk attitudes, impatience, information, and motivation, and these unobserved factors, if not adequately controlled for, can induce significant bias in the estimates of asset demand equations. Using the 1992-2006 waves of the Health and Retirement Study, we investigate how much of the connection between health and portfolio choice is causal and how much is due to the effects of unobserved heterogeneity. Accounting for unobserved heterogeneity with fixed effects and correlated random effects models, we find that health does not appear to significantly affect portfolio choice among single households. For married households, we find a small effect (about 2-3 percentage points) from being in the lowest of five self-reported health categories. Copyright © 2009 John Wiley & Sons, Ltd.

  18. Supply contract and portfolio insurance

    Science.gov (United States)

    Runsheng Yin; Bob Izlar

    2001-01-01

    The long-term growth of institutional timberland investments depends on the ability of timberland investment management organizations (TIMO) to deal effectively with securitization, leveraging, arbitraging, supply contracting, portfolio insurance, tax efficiency enhancement, and other issues. Financial engineering holds great promise for many of these issues. This...

  19. Turnover activity in wealth portfolios

    NARCIS (Netherlands)

    Castaldi, C.; Milakovic, M.

    2007-01-01

    We examine several subsets of the wealthiest individuals in the US and the UK that are compiled by Forbes Magazine and the Sunday Times. Since these are named subsets, we can calculate the returns to wealth portfolios, and calibrate a statistical equilibrium model of wealth distribution that

  20. Turnover activity in wealth portfolios

    NARCIS (Netherlands)

    Castaldi, Carolina; Milakovic, Mishael

    We examine several subsets of the wealthiest individuals in the US and the UK that are compiled by Forbes Magazine and the Sunday Times. Since these are named subsets, we can calculate the returns to wealth portfolios, and calibrate a statistical equilibrium model of wealth distribution that

  1. Optimal Portfolio Choice with Annuitization

    NARCIS (Netherlands)

    Koijen, R.S.J.; Nijman, T.E.; Werker, B.J.M.

    2006-01-01

    We study the optimal consumption and portfolio choice problem over an individual's life-cycle taking into account annuity risk at retirement. Optimally, the investor allocates wealth at retirement to nominal, inflation-linked, and variable annuities and conditions this choice on the state of the

  2. Household Portfolios in the Netherlands

    NARCIS (Netherlands)

    Alessie, R.J.M.; Hochgürtel, S.; van Soest, A.H.O.

    2000-01-01

    We describe and analyse the portfolio structure of Dutch households using micro panel data from the CentER Savings Survey, 1993-1998.The data allows for a distinction between many types of assets.Moreover, we have information on mortgage debt, consumer debt, etc.We analyse the composition of

  3. Managing a "N" Securities Portfolio

    Directory of Open Access Journals (Sweden)

    Costică Vlad

    2016-01-01

    For the application that will be described below, namely the management of a portfolio of eightsecurity bonds, a financial analyst should carry more than 10^15 computing operations. Thedemonstration focuses on the analysis of results and on summarizing the concepts used.

  4. Portfolio Optimization of Nanomaterial Use in Clean Energy Technologies.

    Science.gov (United States)

    Moore, Elizabeth A; Babbitt, Callie W; Gaustad, Gabrielle; Moore, Sean T

    2018-04-03

    While engineered nanomaterials (ENMs) are increasingly incorporated in diverse applications, risks of ENM adoption remain difficult to predict and mitigate proactively. Current decision-making tools do not adequately account for ENM uncertainties including varying functional forms, unique environmental behavior, economic costs, unknown supply and demand, and upstream emissions. The complexity of the ENM system necessitates a novel approach: in this study, the adaptation of an investment portfolio optimization model is demonstrated for optimization of ENM use in renewable energy technologies. Where a traditional investment portfolio optimization model maximizes return on investment through optimal selection of stock, ENM portfolio optimization maximizes the performance of energy technology systems by optimizing selective use of ENMs. Cumulative impacts of multiple ENM material portfolios are evaluated in two case studies: organic photovoltaic cells (OPVs) for renewable energy and lithium-ion batteries (LIBs) for electric vehicles. Results indicate ENM adoption is dependent on overall performance and variance of the material, resource use, environmental impact, and economic trade-offs. From a sustainability perspective, improved clean energy applications can help extend product lifespans, reduce fossil energy consumption, and substitute ENMs for scarce incumbent materials.

  5. Portfolio Analysis of Renewable Energy Opportunities: Preprint

    Energy Technology Data Exchange (ETDEWEB)

    Richards, Allison; Deprizio, Jodi; Anderson, Kate; DiOrio, Nick; Elgqvist, Emma; Simpkins, Travis

    2016-11-01

    Time Warner Cable (TWC), now Charter Communications (CC), partnered with the National Renewable Energy Laboratory (NREL) to assess the technical and economic potential for solar photovoltaic (PV), wind, and ground-source heat-pump systems at 696 TWC facilities. NREL identified 306 sites where adding a renewable energy system would provide cost savings over the project life-cycle. In general, the top sites have some combination of high electricity rates ($0.16-$0.29/kWh), significant state incentives, and favorable net-metering policies. If all projects were implemented via third-party power purchase agreements, TWC/CC would save $37 million over 25 years and meet 10.5% of their energy consumption with renewable energy. This paper describes the portfolio screening methodology used to identify and prioritize renewable energy opportunities across the TWC sites, as well as a summary of the potential cost savings that may be realized by implementing these projects. This may provide a template for other companies interested in identifying and prioritizing renewable energy opportunities across a large number of geographically dispersed sites. Following this initial portfolio analysis, NREL will be conducting in-depth analysis of project development opportunities at ten sites and evaluating off-grid solutions that may enable carbon emission reduction and grid independence at select facilities.

  6. An improved fast and elitist multi-objective genetic algorithm-ANSGA-II for multi-objective optimization of inverse radiotherapy treatment planning

    International Nuclear Information System (INIS)

    Cao Ruifen; Li Guoli; Song Gang; Zhao Pan; Lin Hui; Wu Aidong; Huang Chenyu; Wu Yican

    2007-01-01

    Objective: To provide a fast and effective multi-objective optimization algorithm for inverse radiotherapy treatment planning system. Methods: Non-dominated Sorting Genetic Algorithm-NSGA-II is a representative of multi-objective evolutionary optimization algorithms and excels the others. The paper produces ANSGA-II that makes use of advantage of NSGA-II, and uses adaptive crossover and mutation to improve its flexibility; according the character of inverse radiotherapy treatment planning, the paper uses the pre-known knowledge to generate individuals of every generation in the course of optimization, which enhances the convergent speed and improves efficiency. Results: The example of optimizing average dose of a sheet of CT, including PTV, OAR, NT, proves the algorithm could find satisfied solutions in several minutes. Conclusions: The algorithm could provide clinic inverse radiotherapy treatment planning system with selection of optimization algorithms. (authors)

  7. A Numerical Study for Robust Active Portfolio Management with Worst-Case Downside Risk Measure

    Directory of Open Access Journals (Sweden)

    Aifan Ling

    2014-01-01

    Full Text Available Recently, active portfolio management problems are paid close attention by many researchers due to the explosion of fund industries. We consider a numerical study of a robust active portfolio selection model with downside risk and multiple weights constraints in this paper. We compare the numerical performance of solutions with the classical mean-variance tracking error model and the naive 1/N portfolio strategy by real market data from China market and other markets. We find from the numerical results that the tested active models are more attractive and robust than the compared models.

  8. The Experimental Study on.the Risk Convergence of the Entrusted Portfolios of NSSF

    Institute of Scientific and Technical Information of China (English)

    QU Bao-zhong; PANG Qing

    2008-01-01

    This paper makes use of statistical tools of parameter correlation,multi-parameter regression,and does experimental analysis on issues of risk diversification of portfolios entrusted by National Social Security Fund (NSSF).The issues are industry related investment fieIds distribution,the trend of capitalization movement,and investment style factors in stock selection.The results show that there are risk problems with portfolios entrusted by NSSF,which include similar investment fields distribution trend,little difference among portfolios,and high risk preference degree.

  9. Multi-Objective Nonlinear Model Predictive Control: Lexicographic Method

    OpenAIRE

    Zheng, Tao; Wu, Gang; Liu, Guang-Hong; Ling, Qing

    2010-01-01

    In this chapter, to avoid the disadvantages of weight coefficients in multi-objective dynamic optimization, lexicographic (completely stratified) and partially stratified frameworks of multi-objective controller are proposed. The lexicographic framework is absolutely prioritydriven and the partially stratified framework is a modification of it, they both can solve the multi-objective control problem with the concept of priority for objective’s relative importance, while the latter one is mo...

  10. A multi-objective programming model for assessment the GHG emissions in MSW management

    International Nuclear Information System (INIS)

    Mavrotas, George; Skoulaxinou, Sotiria; Gakis, Nikos; Katsouros, Vassilis; Georgopoulou, Elena

    2013-01-01

    Highlights: • The multi-objective multi-period optimization model. • The solution approach for the generation of the Pareto front with mathematical programming. • The very detailed description of the model (decision variables, parameters, equations). • The use of IPCC 2006 guidelines for landfill emissions (first order decay model) in the mathematical programming formulation. - Abstract: In this study a multi-objective mathematical programming model is developed for taking into account GHG emissions for Municipal Solid Waste (MSW) management. Mathematical programming models are often used for structure, design and operational optimization of various systems (energy, supply chain, processes, etc.). The last twenty years they are used all the more often in Municipal Solid Waste (MSW) management in order to provide optimal solutions with the cost objective being the usual driver of the optimization. In our work we consider the GHG emissions as an additional criterion, aiming at a multi-objective approach. The Pareto front (Cost vs. GHG emissions) of the system is generated using an appropriate multi-objective method. This information is essential to the decision maker because he can explore the trade-offs in the Pareto curve and select his most preferred among the Pareto optimal solutions. In the present work a detailed multi-objective, multi-period mathematical programming model is developed in order to describe the waste management problem. Apart from the bi-objective approach, the major innovations of the model are (1) the detailed modeling considering 34 materials and 42 technologies, (2) the detailed calculation of the energy content of the various streams based on the detailed material balances, and (3) the incorporation of the IPCC guidelines for the CH 4 generated in the landfills (first order decay model). The equations of the model are described in full detail. Finally, the whole approach is illustrated with a case study referring to the application

  11. A multi-objective programming model for assessment the GHG emissions in MSW management

    Energy Technology Data Exchange (ETDEWEB)

    Mavrotas, George, E-mail: mavrotas@chemeng.ntua.gr [National Technical University of Athens, Iroon Polytechniou 9, Zografou, Athens, 15780 (Greece); Skoulaxinou, Sotiria [EPEM SA, 141 B Acharnon Str., Athens, 10446 (Greece); Gakis, Nikos [FACETS SA, Agiou Isidorou Str., Athens, 11471 (Greece); Katsouros, Vassilis [Athena Research and Innovation Center, Artemidos 6 and Epidavrou Str., Maroussi, 15125 (Greece); Georgopoulou, Elena [National Observatory of Athens, Thisio, Athens, 11810 (Greece)

    2013-09-15

    Highlights: • The multi-objective multi-period optimization model. • The solution approach for the generation of the Pareto front with mathematical programming. • The very detailed description of the model (decision variables, parameters, equations). • The use of IPCC 2006 guidelines for landfill emissions (first order decay model) in the mathematical programming formulation. - Abstract: In this study a multi-objective mathematical programming model is developed for taking into account GHG emissions for Municipal Solid Waste (MSW) management. Mathematical programming models are often used for structure, design and operational optimization of various systems (energy, supply chain, processes, etc.). The last twenty years they are used all the more often in Municipal Solid Waste (MSW) management in order to provide optimal solutions with the cost objective being the usual driver of the optimization. In our work we consider the GHG emissions as an additional criterion, aiming at a multi-objective approach. The Pareto front (Cost vs. GHG emissions) of the system is generated using an appropriate multi-objective method. This information is essential to the decision maker because he can explore the trade-offs in the Pareto curve and select his most preferred among the Pareto optimal solutions. In the present work a detailed multi-objective, multi-period mathematical programming model is developed in order to describe the waste management problem. Apart from the bi-objective approach, the major innovations of the model are (1) the detailed modeling considering 34 materials and 42 technologies, (2) the detailed calculation of the energy content of the various streams based on the detailed material balances, and (3) the incorporation of the IPCC guidelines for the CH{sub 4} generated in the landfills (first order decay model). The equations of the model are described in full detail. Finally, the whole approach is illustrated with a case study referring to the

  12. PARETO: A novel evolutionary optimization approach to multiobjective IMRT planning

    International Nuclear Information System (INIS)

    Fiege, Jason; McCurdy, Boyd; Potrebko, Peter; Champion, Heather; Cull, Andrew

    2011-01-01

    Purpose: In radiation therapy treatment planning, the clinical objectives of uniform high dose to the planning target volume (PTV) and low dose to the organs-at-risk (OARs) are invariably in conflict, often requiring compromises to be made between them when selecting the best treatment plan for a particular patient. In this work, the authors introduce Pareto-Aware Radiotherapy Evolutionary Treatment Optimization (pareto), a multiobjective optimization tool to solve for beam angles and fluence patterns in intensity-modulated radiation therapy (IMRT) treatment planning. Methods: pareto is built around a powerful multiobjective genetic algorithm (GA), which allows us to treat the problem of IMRT treatment plan optimization as a combined monolithic problem, where all beam fluence and angle parameters are treated equally during the optimization. We have employed a simple parameterized beam fluence representation with a realistic dose calculation approach, incorporating patient scatter effects, to demonstrate feasibility of the proposed approach on two phantoms. The first phantom is a simple cylindrical phantom containing a target surrounded by three OARs, while the second phantom is more complex and represents a paraspinal patient. Results: pareto results in a large database of Pareto nondominated solutions that represent the necessary trade-offs between objectives. The solution quality was examined for several PTV and OAR fitness functions. The combination of a conformity-based PTV fitness function and a dose-volume histogram (DVH) or equivalent uniform dose (EUD) -based fitness function for the OAR produced relatively uniform and conformal PTV doses, with well-spaced beams. A penalty function added to the fitness functions eliminates hotspots. Comparison of resulting DVHs to those from treatment plans developed with a single-objective fluence optimizer (from a commercial treatment planning system) showed good correlation. Results also indicated that pareto shows

  13. PARETO: A novel evolutionary optimization approach to multiobjective IMRT planning.

    Science.gov (United States)

    Fiege, Jason; McCurdy, Boyd; Potrebko, Peter; Champion, Heather; Cull, Andrew

    2011-09-01

    In radiation therapy treatment planning, the clinical objectives of uniform high dose to the planning target volume (PTV) and low dose to the organs-at-risk (OARs) are invariably in conflict, often requiring compromises to be made between them when selecting the best treatment plan for a particular patient. In this work, the authors introduce Pareto-Aware Radiotherapy Evolutionary Treatment Optimization (pareto), a multiobjective optimization tool to solve for beam angles and fluence patterns in intensity-modulated radiation therapy (IMRT) treatment planning. pareto is built around a powerful multiobjective genetic algorithm (GA), which allows us to treat the problem of IMRT treatment plan optimization as a combined monolithic problem, where all beam fluence and angle parameters are treated equally during the optimization. We have employed a simple parameterized beam fluence representation with a realistic dose calculation approach, incorporating patient scatter effects, to demonstrate feasibility of the proposed approach on two phantoms. The first phantom is a simple cylindrical phantom containing a target surrounded by three OARs, while the second phantom is more complex and represents a paraspinal patient. pareto results in a large database of Pareto nondominated solutions that represent the necessary trade-offs between objectives. The solution quality was examined for several PTV and OAR fitness functions. The combination of a conformity-based PTV fitness function and a dose-volume histogram (DVH) or equivalent uniform dose (EUD) -based fitness function for the OAR produced relatively uniform and conformal PTV doses, with well-spaced beams. A penalty function added to the fitness functions eliminates hotspots. Comparison of resulting DVHs to those from treatment plans developed with a single-objective fluence optimizer (from a commercial treatment planning system) showed good correlation. Results also indicated that pareto shows promise in optimizing the number

  14. Mean-variance model for portfolio optimization with background risk based on uncertainty theory

    Science.gov (United States)

    Zhai, Jia; Bai, Manying

    2018-04-01

    The aim of this paper is to develop a mean-variance model for portfolio optimization considering the background risk, liquidity and transaction cost based on uncertainty theory. In portfolio selection problem, returns of securities and assets liquidity are assumed as uncertain variables because of incidents or lacking of historical data, which are common in economic and social environment. We provide crisp forms of the model and a hybrid intelligent algorithm to solve it. Under a mean-variance framework, we analyze the portfolio frontier characteristic considering independently additive background risk. In addition, we discuss some effects of background risk and liquidity constraint on the portfolio selection. Finally, we demonstrate the proposed models by numerical simulations.

  15. Using multiobjective tradeoff sets and Multivariate Regression Trees to identify critical and robust decisions for long term water utility planning

    Science.gov (United States)

    Smith, R.; Kasprzyk, J. R.; Balaji, R.

    2017-12-01

    In light of deeply uncertain factors like future climate change and population shifts, responsible resource management will require new types of information and strategies. For water utilities, this entails potential expansion and efficient management of water supply infrastructure systems for changes in overall supply; changes in frequency and severity of climate extremes such as droughts and floods; and variable demands, all while accounting for conflicting long and short term performance objectives. Multiobjective Evolutionary Algorithms (MOEAs) are emerging decision support tools that have been used by researchers and, more recently, water utilities to efficiently generate and evaluate thousands of planning portfolios. The tradeoffs between conflicting objectives are explored in an automated way to produce (often large) suites of portfolios that strike different balances of performance. Once generated, the sets of optimized portfolios are used to support relatively subjective assertions of priorities and human reasoning, leading to adoption of a plan. These large tradeoff sets contain information about complex relationships between decisions and between groups of decisions and performance that, until now, has not been quantitatively described. We present a novel use of Multivariate Regression Trees (MRTs) to analyze tradeoff sets to reveal these relationships and critical decisions. Additionally, when MRTs are applied to tradeoff sets developed for different realizations of an uncertain future, they can identify decisions that are robust across a wide range of conditions and produce fundamental insights about the system being optimized.

  16. Economic Analysis on Value Chain of Taxi Fleet with Battery-Swapping Mode Using Multiobjective Genetic Algorithm

    Directory of Open Access Journals (Sweden)

    Guobao Ning

    2012-01-01

    Full Text Available This paper presents an economic analysis model on value chain of taxi fleet with battery-swapping mode in a pilot city. In the model, economic benefits of charging-swapping station group, taxi company, and taxi driver in the region have been taken into consideration. Thus, the model is a multiobjective function and multiobjective genetic algorithm is used to solve this problem. According to the real data collected from the pilot city, the multiobjective genetic algorithm is tested as an effective method to solve this problem. Furthermore, the effects of price of electricity, price of battery package, life cycle of battery package, cost of battery-swapping devices and infrastructure, and driving mileage per day on the benefits of value holders are analyzed, which provide theoretical and practical reference for the deployment of electric vehicles, for the national subsidy criteria adjusment, technological innovation instruction, commercial mode selection, and infrastructure construction.

  17. A portfolio risk analysis on electricity supply planning

    International Nuclear Information System (INIS)

    Huang, Y.-H.; Wu, J.-H.

    2008-01-01

    Conventional electricity planning selects from a range of alternative technologies based on the least-cost method without assessing cost-related risks. The current approach to determining energy generation portfolios creates a preference for fossil fuel. Consequently, this preference results in increased exposure to recent fluctuations in fossil fuel prices, particularly for countries heavily depend on imported energy. This paper applies portfolio theory in conventional electricity planning with Taiwan as a case study. The model objective is to minimize the 'risk-weighted present value of total generation cost'. Both the present value of generating cost and risk (variance of the generating cost) are considered. Risk of generating cost is introduced for volatile fuel prices and uncertainty of technological change and capital cost reduction. The impact of risk levels on the portfolio of power generation technologies is also examined to provide some valuable policy suggestions. Study results indicate that replacing fossil fuel with renewable energy helps reduce generating cost risk. However, due to limited renewable development potential in Taiwan, there is an upper bound of 15% on the maximum share of renewable energy in the generating portfolio. In the meantime, reevaluating the current nuclear energy policy for reduced exposure to fossil fuel price fluctuations is worthwhile

  18. Sustainability-Oriented Financial Resource Allocation in a Project Portfolio through Multi-Criteria Decision-Making

    Directory of Open Access Journals (Sweden)

    Nomeda Dobrovolskienė

    2016-05-01

    Full Text Available Modern portfolio theory attempts to maximize the expected return of a portfolio for a given level of portfolio risk, or equivalently minimize risk for a given level of expected return. The reality, however, shows that, when selecting projects to a portfolio and allocating resources in the portfolio, an increasing number of organizations take into account other aspects as well. As a result of the sole purpose (risk-return, it offers only a partial solution for a sustainable organization. Existing project portfolio selection and resource allocation methods and models do not consider sustainability. Therefore, the aim of this article is to develop a sustainability-oriented model of financial resource allocation in a project portfolio by integrating a composite sustainability index of a project into Markowitz’s classical risk-return scheme (mean-variance model. The model was developed by applying multi-criteria decision-making methods. The practicability of the model was tested by an empirical study in a selected construction company. The proposed sustainability-oriented financial resource allocation model could be used in allocating financial resources in any type of business. The use of the model would not only help organisations to manage risk and achieve higher return but would also allow carrying out sustainable projects, thereby promoting greater environmental responsibility and giving more consideration to the wellbeing of future generations. Moreover, the model allows quantifying the impact of the integration of sustainability into financial resource allocation on the return of a portfolio.

  19. Multiobjective Genetic Algorithm applied to dengue control.

    Science.gov (United States)

    Florentino, Helenice O; Cantane, Daniela R; Santos, Fernando L P; Bannwart, Bettina F

    2014-12-01

    Dengue fever is an infectious disease caused by a virus of the Flaviridae family and transmitted to the person by a mosquito of the genus Aedes aegypti. This disease has been a global public health problem because a single mosquito can infect up to 300 people and between 50 and 100 million people are infected annually on all continents. Thus, dengue fever is currently a subject of research, whether in the search for vaccines and treatments for the disease or efficient and economical forms of mosquito control. The current study aims to study techniques of multiobjective optimization to assist in solving problems involving the control of the mosquito that transmits dengue fever. The population dynamics of the mosquito is studied in order to understand the epidemic phenomenon and suggest strategies of multiobjective programming for mosquito control. A Multiobjective Genetic Algorithm (MGA_DENGUE) is proposed to solve the optimization model treated here and we discuss the computational results obtained from the application of this technique. Copyright © 2014 Elsevier Inc. All rights reserved.

  20. Fuzzy Multi-objective Linear Programming Approach

    Directory of Open Access Journals (Sweden)

    Amna Rehmat

    2007-07-01

    Full Text Available Traveling salesman problem (TSP is one of the challenging real-life problems, attracting researchers of many fields including Artificial Intelligence, Operations Research, and Algorithm Design and Analysis. The problem has been well studied till now under different headings and has been solved with different approaches including genetic algorithms and linear programming. Conventional linear programming is designed to deal with crisp parameters, but information about real life systems is often available in the form of vague descriptions. Fuzzy methods are designed to handle vague terms, and are most suited to finding optimal solutions to problems with vague parameters. Fuzzy multi-objective linear programming, an amalgamation of fuzzy logic and multi-objective linear programming, deals with flexible aspiration levels or goals and fuzzy constraints with acceptable deviations. In this paper, a methodology, for solving a TSP with imprecise parameters, is deployed using fuzzy multi-objective linear programming. An example of TSP with multiple objectives and vague parameters is discussed.

  1. Multiobjective Multifactorial Optimization in Evolutionary Multitasking.

    Science.gov (United States)

    Gupta, Abhishek; Ong, Yew-Soon; Feng, Liang; Tan, Kay Chen

    2016-05-03

    In recent decades, the field of multiobjective optimization has attracted considerable interest among evolutionary computation researchers. One of the main features that makes evolutionary methods particularly appealing for multiobjective problems is the implicit parallelism offered by a population, which enables simultaneous convergence toward the entire Pareto front. While a plethora of related algorithms have been proposed till date, a common attribute among them is that they focus on efficiently solving only a single optimization problem at a time. Despite the known power of implicit parallelism, seldom has an attempt been made to multitask, i.e., to solve multiple optimization problems simultaneously. It is contended that the notion of evolutionary multitasking leads to the possibility of automated transfer of information across different optimization exercises that may share underlying similarities, thereby facilitating improved convergence characteristics. In particular, the potential for automated transfer is deemed invaluable from the standpoint of engineering design exercises where manual knowledge adaptation and reuse are routine. Accordingly, in this paper, we present a realization of the evolutionary multitasking paradigm within the domain of multiobjective optimization. The efficacy of the associated evolutionary algorithm is demonstrated on some benchmark test functions as well as on a real-world manufacturing process design problem from the composites industry.

  2. δ-Similar Elimination to Enhance Search Performance of Multiobjective Evolutionary Algorithms

    Science.gov (United States)

    Aguirre, Hernán; Sato, Masahiko; Tanaka, Kiyoshi

    In this paper, we propose δ-similar elimination to improve the search performance of multiobjective evolutionary algorithms in combinatorial optimization problems. This method eliminates similar individuals in objective space to fairly distribute selection among the different regions of the instantaneous Pareto front. We investigate four eliminating methods analyzing their effects using NSGA-II. In addition, we compare the search performance of NSGA-II enhanced by our method and NSGA-II enhanced by controlled elitism.

  3. Differential evolution enhanced with multiobjective sorting-based mutation operators.

    Science.gov (United States)

    Wang, Jiahai; Liao, Jianjun; Zhou, Ying; Cai, Yiqiao

    2014-12-01

    Differential evolution (DE) is a simple and powerful population-based evolutionary algorithm. The salient feature of DE lies in its mutation mechanism. Generally, the parents in the mutation operator of DE are randomly selected from the population. Hence, all vectors are equally likely to be selected as parents without selective pressure at all. Additionally, the diversity information is always ignored. In order to fully exploit the fitness and diversity information of the population, this paper presents a DE framework with multiobjective sorting-based mutation operator. In the proposed mutation operator, individuals in the current population are firstly sorted according to their fitness and diversity contribution by nondominated sorting. Then parents in the mutation operators are proportionally selected according to their rankings based on fitness and diversity, thus, the promising individuals with better fitness and diversity have more opportunity to be selected as parents. Since fitness and diversity information is simultaneously considered for parent selection, a good balance between exploration and exploitation can be achieved. The proposed operator is applied to original DE algorithms, as well as several advanced DE variants. Experimental results on 48 benchmark functions and 12 real-world application problems show that the proposed operator is an effective approach to enhance the performance of most DE algorithms studied.

  4. Concordance measures and second order stochastic dominance-portfolio efficiency analysis

    Czech Academy of Sciences Publication Activity Database

    Kopa, Miloš; Tichý, T.

    2012-01-01

    Roč. 15, č. 4 (2012), s. 110-120 ISSN 1212-3609 R&D Projects: GA ČR(CZ) GBP402/12/G097 Institutional support: RVO:67985556 Keywords : dependency * concordance * portfolio selection * second order stochastic dominance Subject RIV: BB - Applied Statistics, Operational Research Impact factor: 0.633, year: 2012 http://library.utia.cas.cz/separaty/2013/E/kopa-concordance measures and second order stochastic dominance- portfolio efficiency analysis.pdf

  5. VAR Portfolio Optimal: Perbandingan Antara Metode Markowitz Dan Mean Absolute Deviation

    OpenAIRE

    Sartono, R. Agus; Setiawan, Arie Andika

    2006-01-01

    Portfolio selection method which have been introduced by Harry Markowitz (1952) used variance or deviation standard as a measure of risk. Kanno and Yamazaki (1991) introduced another method and used mean absolute deviation as a measure of risk instead of variance. The Value-at Risk (VaR) is a relatively new method to capitalized risk that been used by financial institutions. The aim of this research is compare between mean variance and mean absolute deviation of two portfolios. Next, we attem...

  6. Market Performance and Accounting Information as the Reference of Stocks Portfolio Formation in Indonesia Stock Exchange

    OpenAIRE

    Pasaribu, Rowland Bismark Fernando

    2009-01-01

    This study aimed to a stock portfolio formed with composite of companies market (PER, PBV, ROE, EPS, PSR, and B/M, VaR) and accounting performance (ROE, and EPS) also their market capitalization in Indonesia Stock Exchange period 2003-2006. Some clarification need to achieved, such as: real difference among variabel refer to their market capitalization and influence of predictor to stock return. Hereinafter, the performance of selected portfolio were evaluated. The evaluation result conclude ...

  7. Strategic leadership of portfolio and project management

    CERN Document Server

    Kloppenborg, Timothy J

    2014-01-01

    As an executive in today's economy, your organization may have limited resources and bench strength. How can you and other leaders make the most of your company's assets? This book will instruct you and your leadership teams on implementing strategy through identifying, selecting, prioritizing, resourcing, and governing an optimal combination of projects and other work. Inside, you'll learn how to sponsor every project stage, as well as instruct your project managers and direct reports to follow your lead. Detailed advice is given for project management competency on utilizing input from customers, employees, and processes. Much of your organization's work is probably dependent on information technology and understanding and using information technology as a strategic weapon, and with this book, you'll learn how your organization can become competitive and how to effectively implement smart business strategies. This book outlines how these portfolio and project decisions have to be made based on both qualitat...

  8. Portfolio optimization in electricity markets

    International Nuclear Information System (INIS)

    Liu, Min; Wu, Felix F.

    2007-01-01

    In a competitive electricity market, Generation companies (Gencos) face price risk and delivery risk that affect their profitability. Risk management is an important and essential part in the Genco's decision making. In this paper, risk management through diversification is considered. The problem of energy allocation between spot markets and bilateral contracts is formulated as a general portfolio optimization problem with a risk-free asset and n risky assets. Historical data of the PJM electricity market are used to demonstrate the approach. (author)

  9. Characteristics of Omega-Optimized Portfolios at Different Levels of Threshold Returns

    Directory of Open Access Journals (Sweden)

    Renaldas Vilkancas

    2014-12-01

    Full Text Available There is little literature considering effects that the loss-gain threshold used for dividing good and bad outcomes by all downside (upside risk measures has on portfolio optimization and performance. The purpose of this study is to assess the performance of portfolios optimized with respect to the Omega function developed by Keating and Shadwick at different levels of the threshold returns. The most common choices of the threshold values used in various Omega studies cover the risk-free rate and the average market return or simply a zero return, even though the inventors of this measure for risk warn that “using the values of the Omega function at particular points can be critically misleading” and that “only the entire Omega function contains information on distribution”. The obtained results demonstrate the importance of the selected values of the threshold return on portfolio performance – higher levels of the threshold lead to an increase in portfolio returns, albeit at the expense of a higher risk. In fact, within a certain threshold interval, Omega-optimized portfolios achieved the highest net return, compared with all other strategies for portfolio optimization using three different test datasets. However, beyond a certain limit, high threshold values will actually start hurting portfolio performance while meta-heuristic optimizers typically are able to produce a solution at any level of the threshold, and the obtained results would most likely be financially meaningless.

  10. Large deviations and portfolio optimization

    Science.gov (United States)

    Sornette, Didier

    Risk control and optimal diversification constitute a major focus in the finance and insurance industries as well as, more or less consciously, in our everyday life. We present a discussion of the characterization of risks and of the optimization of portfolios that starts from a simple illustrative model and ends by a general functional integral formulation. A major item is that risk, usually thought of as one-dimensional in the conventional mean-variance approach, has to be addressed by the full distribution of losses. Furthermore, the time-horizon of the investment is shown to play a major role. We show the importance of accounting for large fluctuations and use the theory of Cramér for large deviations in this context. We first treat a simple model with a single risky asset that exemplifies the distinction between the average return and the typical return and the role of large deviations in multiplicative processes, and the different optimal strategies for the investors depending on their size. We then analyze the case of assets whose price variations are distributed according to exponential laws, a situation that is found to describe daily price variations reasonably well. Several portfolio optimization strategies are presented that aim at controlling large risks. We end by extending the standard mean-variance portfolio optimization theory, first within the quasi-Gaussian approximation and then using a general formulation for non-Gaussian correlated assets in terms of the formalism of functional integrals developed in the field theory of critical phenomena.

  11. Making sense with ePortfolios

    DEFF Research Database (Denmark)

    Poulsen, Bo Klindt; Dimsits, Miriam

    2017-01-01

    of the statements from the students concerning their understanding of ePortfolio processes are fundamentally questions of how to make sense of the ePortfolio tool, both in their professional and personal lives. This calls for a didactical stance with the teachers who use ePortfolios, based on empowerment through......This article discusses the question of making sense out of working with ePortfolio in adult education. The article presents the results of a small-scale survey among adults in continuing education who have worked with ePortfolio as the central didactic principle. It is argued that many...... meaning-making, in order for ePortfolios to make sense. It is suggested that two relevant didactic perspectives for making sense of the world can be found in theories of biographicity and metaphor work. Moreover, a strong didactic stance that supports sense-making must be based on a strong teacher role...

  12. Considering Decision Variable Diversity in Multi-Objective Optimization: Application in Hydrologic Model Calibration

    Science.gov (United States)

    Sahraei, S.; Asadzadeh, M.

    2017-12-01

    Any modern multi-objective global optimization algorithm should be able to archive a well-distributed set of solutions. While the solution diversity in the objective space has been explored extensively in the literature, little attention has been given to the solution diversity in the decision space. Selection metrics such as the hypervolume contribution and crowding distance calculated in the objective space would guide the search toward solutions that are well-distributed across the objective space. In this study, the diversity of solutions in the decision-space is used as the main selection criteria beside the dominance check in multi-objective optimization. To this end, currently archived solutions are clustered in the decision space and the ones in less crowded clusters are given more chance to be selected for generating new solution. The proposed approach is first tested on benchmark mathematical test problems. Second, it is applied to a hydrologic model calibration problem with more than three objective functions. Results show that the chance of finding more sparse set of high-quality solutions increases, and therefore the analyst would receive a well-diverse set of options with maximum amount of information. Pareto Archived-Dynamically Dimensioned Search, which is an efficient and parsimonious multi-objective optimization algorithm for model calibration, is utilized in this study.

  13. Post-modern portfolio theory supports diversification in an investment portfolio to measure investment's performance

    OpenAIRE

    Rasiah, Devinaga

    2012-01-01

    This study looks at the Post-Modern Portfolio Theory that maintains greater diversification in an investment portfolio by using the alpha and the beta coefficient to measure investment performance. Post-Modern Portfolio Theory appreciates that investment risk should be tied to each investor's goals and the outcome of this goal did not symbolize economic of the financial risk. Post-Modern Portfolio Theory's downside measure generated a noticeable distinction between downside and upside volatil...

  14. Evaluation of an established learning portfolio.

    Science.gov (United States)

    Vance, Gillian; Williamson, Alyson; Frearson, Richard; O'Connor, Nicole; Davison, John; Steele, Craig; Burford, Bryan

    2013-02-01

    The trainee-held learning portfolio is integral to the foundation programme in the UK. In the Northern Deanery, portfolio assessment is standardised through the Annual Review of Competence Progression (ARCP) process. In this study we aimed to establish how current trainees evaluate portfolio-based learning and ARCP, and how these attitudes may have changed since the foundation programme was first introduced. Deanery-wide trainee attitudes were surveyed by an electronic questionnaire in 2009 and compared with perceptions recorded during the pilot phase (2004-2005).  Many trainees continue to view the e-portfolio negatively. Indeed, significantly fewer trainees in 2009 thought that the e-portfolio was a 'good idea' or a 'worthwhile investment of time' than in 2005. Trainees remain unconvinced about the educational value of the e-portfolio: fewer trainees in 2009 regarded it as a tool that might help focus on training or recognise individual strengths and weaknesses. Issues around unnecessary bureaucracy persist. Current trainees tend to understand how to use the e-portfolio, but many did not know how much, or what evidence to collect. Few supervisors were reported to provide useful guidance on the portfolio. ARCP encouraged portfolio completion but did not give meaningful feedback to drive future learning.   Continued support is needed for both trainees and supervisors in portfolio-building skills and in using the e-portfolio as an educational tool. Trainee-tailored feedback is needed to ensure that portfolio-based assessment promotes lifelong, self-directed and reflective learners. © Blackwell Publishing Ltd 2013.

  15. Portfolios with nonlinear constraints and spin glasses

    Science.gov (United States)

    Gábor, Adrienn; Kondor, I.

    1999-12-01

    In a recent paper Galluccio, Bouchaud and Potters demonstrated that a certain portfolio problem with a nonlinear constraint maps exactly onto finding the ground states of a long-range spin glass, with the concomitant nonuniqueness and instability of the optimal portfolios. Here we put forward geometric arguments that lead to qualitatively similar conclusions, without recourse to the methods of spin glass theory, and give two more examples of portfolio problems with convex nonlinear constraints.

  16. Correlation risk and optimal portfolio choice

    OpenAIRE

    Buraschi, Andrea; Porchia, Paolo; Trojani, Fabio

    2010-01-01

    We develop a new framework for multivariate intertemporal portfolio choice that allows us to derive optimal portfolio implications for economies in which the degree of correlation across industries, countries, or asset classes is stochastic. Optimal portfolios include distinct hedging components against both stochastic volatility and correlation risk. We find that the hedging demand is typically larger than in univariate models, and it includes an economically significant covariance hedging...

  17. Mean-Reverting Portfolio With Budget Constraint

    Science.gov (United States)

    Zhao, Ziping; Palomar, Daniel P.

    2018-05-01

    This paper considers the mean-reverting portfolio design problem arising from statistical arbitrage in the financial markets. We first propose a general problem formulation aimed at finding a portfolio of underlying component assets by optimizing a mean-reversion criterion characterizing the mean-reversion strength, taking into consideration the variance of the portfolio and an investment budget constraint. Then several specific problems are considered based on the general formulation, and efficient algorithms are proposed. Numerical results on both synthetic and market data show that our proposed mean-reverting portfolio design methods can generate consistent profits and outperform the traditional design methods and the benchmark methods in the literature.

  18. Low volatility sector-based portfolios: a South African case

    African Journals Online (AJOL)

    Black pointed out that when investors are restricted from using leverage or bor- ..... takes into account the correlation between the sectors in a portfolio. ..... 3The information ratio of a portfolio is the active premium (portfolio annualised return ...

  19. Portfolio Diversification with Commodity Futures: Properties of Levered Futures

    NARCIS (Netherlands)

    Woodard, J.D.; Egelkraut, T.M.; Garcia, P.; Pennings, J.M.E.

    2005-01-01

    Portfolio Diversification with Commodity Futures: Properties of Levered Futures This study extends previous work on the impact of commodity futures on portfolio performance by explicitly incorporating levered futures into the portfolio optimization problem. Using data on nine individual commodity

  20. Reliability of Portfolio: A Closer Look at Findings from Recent Publications

    Science.gov (United States)

    Oskay, Ozge Ozyalcin; Schallies, Michael; Morgil, Inci

    2008-01-01

    In this review article, conventional portfolio assessment and new developments in portfolio assessment are investigated. The concept of portfolio, portfolio building steps, contents of portfolio, evaluation of portfolio, advantages, disadvantages and concerns in using portfolio as well as validity and reliability of portfolio assessment are…

  1. Convex hull ranking algorithm for multi-objective evolutionary algorithms

    NARCIS (Netherlands)

    Davoodi Monfrared, M.; Mohades, A.; Rezaei, J.

    2012-01-01

    Due to many applications of multi-objective evolutionary algorithms in real world optimization problems, several studies have been done to improve these algorithms in recent years. Since most multi-objective evolutionary algorithms are based on the non-dominated principle, and their complexity

  2. Existence of pareto equilibria for multiobjective games without compactness

    OpenAIRE

    Shiraishi, Yuya; Kuroiwa, Daishi

    2013-01-01

    In this paper, we investigate the existence of Pareto and weak Pareto equilibria for multiobjective games without compactness. By employing an existence theorem of Pareto equilibria due to Yu and Yuan([10]), several existence theorems of Pareto and weak Pareto equilibria for the multiobjective games are established in a similar way to Flores-B´azan.

  3. Grey Relational Analyses for Multi-Objective Optimization of Turning S45C Carbon Steel

    International Nuclear Information System (INIS)

    Shah, A.H.A.; Azmi, A.I.; Khalil, A.N.M.

    2016-01-01

    The optimization of performance characteristics in turning process can be achieved through selection of proper machining parameters. It is well known that many researchers have successfully reported the optimization of single performance characteristic. Nevertheless, the multi-objective optimization can be difficult and challenging to be studied due to its complexity in analysis. This is because an improvement of one performance characteristic may lead to degradation of other performance characteristic. As a result, the study of multi-objective optimization in CNC turning of S45C carbon steel has been attempted in this paper through Taguchi and Grey Relational Analysis (GRA) method. Through this methodology, the multiple performance characteristics, namely; surface roughness, material removal rate (MRR), tool wear, and power consumption; can be optimized simultaneously. It appears from the experimental results that the multiple performance characteristics in CNC turning was achieved and improved through the methodology employed. (paper)

  4. Portfolio evaluation of health programs: a reply to Sendi et al.

    Science.gov (United States)

    Bridges, John F P; Terris, Darcey D

    2004-05-01

    Sendi et al. (Soc. Sci. Med. 57 (2003) 2207) extend previous research on cost-effectiveness analysis to the evaluation of a portfolio of interventions with risky outcomes using a "second best" approach that can identify improvements in efficiency in the allocation of resources. This method, however, cannot be used to directly identify the optimal solution to the resource allocation problem. Theoretically, a stricter adherence to the foundations of portfolio theory would permit direct optimization in portfolio selection, however, when we include uncertainty in our analysis in addition to the traditional concept of risk (which is often mislabelled uncertainty) complexities are introduced that create significant hurdles in the development of practical applications of portfolio theory for health care policy decision making.

  5. Multi-objective reliability optimization of series-parallel systems with a choice of redundancy strategies

    International Nuclear Information System (INIS)

    Safari, Jalal

    2012-01-01

    This paper proposes a variant of the Non-dominated Sorting Genetic Algorithm (NSGA-II) to solve a novel mathematical model for multi-objective redundancy allocation problems (MORAP). Most researchers about redundancy allocation problem (RAP) have focused on single objective optimization, while there has been some limited research which addresses multi-objective optimization. Also all mathematical multi-objective models of general RAP assume that the type of redundancy strategy for each subsystem is predetermined and known a priori. In general, active redundancy has traditionally received greater attention; however, in practice both active and cold-standby redundancies may be used within a particular system design. The choice of redundancy strategy then becomes an additional decision variable. Thus, the proposed model and solution method are to select the best redundancy strategy, type of components, and levels of redundancy for each subsystem that maximizes the system reliability and minimize total system cost under system-level constraints. This problem belongs to the NP-hard class. This paper presents a second-generation Multiple-Objective Evolutionary Algorithm (MOEA), named NSGA-II to find the best solution for the given problem. The proposed algorithm demonstrates the ability to identify a set of optimal solutions (Pareto front), which provides the Decision Maker (DM) with a complete picture of the optimal solution space. After finding the Pareto front, a procedure is used to select the best solution from the Pareto front. Finally, the advantages of the presented multi-objective model and of the proposed algorithm are illustrated by solving test problems taken from the literature and the robustness of the proposed NSGA-II is discussed.

  6. The Use of Academic Portfolio in the Learning and Assessment of Physics Students from a Singapore Private College

    Directory of Open Access Journals (Sweden)

    Meng Kay Ling

    2016-07-01

    Full Text Available The purpose of this research paper is to examine the use of portfolios in the teaching and learning of physics at a Singapore private college. The paper starts with a short introduction of the types of students and the purpose of using academic portfolios in their learning and assessment. Some ideas of how portfolios can be used in the local context will also be discussed. It is necessary for teachers to know how to incorporate portfolio assessment in their daily lesson plans. At the same time, students who are studying physics at the college should also know how to use portfolios to their academic advantage. The paper also highlights three of the relevant work artifacts that can be included into the physics portfolios. The three work samples are concept-maps, internet research reports and newspaper articles reports. Concept-maps are useful tools to help students establish the connections between concepts. Internet research reports serve as important means for students to know more about how some scientific devices or technology use physics in the operations. Newspaper articles reports allow students to understand the real impact of physics on the lives of people. Subsequent sections of the paper discuss about the organizational flow of the portfolio, the timeline, the selection process, the portfolio checklist and assessment rubrics, the positive influences of using portfolios, the issues to consider and also the potential problems that physics teachers may face in implementing portfolios. These sections present the important framework which teachers can use as references for their portfolio initiatives in schools.

  7. Academic portfolio in the digital era: organizing and maintaining a portfolio using reference managers.

    Science.gov (United States)

    Bhargava, Puneet; Patel, Vatsal B; Iyer, Ramesh S; Moshiri, Mariam; Robinson, Tracy J; Lall, Chandana; Heller, Matthew T

    2015-02-01

    The academic portfolio has become an integral part of the promotions process. Creating and maintaining an academic portfolio in paper-based or web-based formats can be a cumbersome and time-consuming task. In this article, we describe an alternative way to efficiently organize an academic portfolio using a reference manager software, and discuss some of the afforded advantages. The reference manager software Papers (Mekentosj, Amsterdam, The Netherlands) was used to create an academic portfolio. The article outlines the key steps in creating and maintaining a digital academic portfolio. Using reference manager software (Papers), we created an academic portfolio that allows the user to digitally organize clinical, teaching, and research accomplishments in an indexed library enabling efficient updating, rapid retrieval, and easy sharing. To our knowledge, this is the first digital portfolio of its kind.

  8. Model Risk in Portfolio Optimization

    Directory of Open Access Journals (Sweden)

    David Stefanovits

    2014-08-01

    Full Text Available We consider a one-period portfolio optimization problem under model uncertainty. For this purpose, we introduce a measure of model risk. We derive analytical results for this measure of model risk in the mean-variance problem assuming we have observations drawn from a normal variance mixture model. This model allows for heavy tails, tail dependence and leptokurtosis of marginals. The results show that mean-variance optimization is seriously compromised by model uncertainty, in particular, for non-Gaussian data and small sample sizes. To mitigate these shortcomings, we propose a method to adjust the sample covariance matrix in order to reduce model risk.

  9. Optimisation of the securities portfolio as a part of the risk management process

    Directory of Open Access Journals (Sweden)

    Srečko Devjak

    2004-01-01

    Full Text Available Securities of Slovene companies are listed at the Ljubljana Stock Exchange. Market capitalisation at the Ljubljana Stock Exchange has been growing since 1996 due to new listings of equities. On the basis of financial data time series for listed equities, the financial investor can calculate a risk for each individual security with a selected risk measure and can determine an optimal portfolio, subject to selected constraints. In this paper, we shall consequently determine an optimal portfolio of equities for the financial investor, investing his assets only in selected equities listed at the Ljubljana Stock Exchange. Selecting an appropriate risk measure is especially important for a commercial bank in a risk management process. Commercial banks can use internal models in the risk management process and for the purpose of capital charges as well. An optimal portfolio will be calculated, using a non-linear mathematical model.

  10. Comparative evaluation of fuzzy logic and genetic algorithms models for portfolio optimization

    Directory of Open Access Journals (Sweden)

    Heidar Masoumi Soureh

    2017-03-01

    Full Text Available Selection of optimum methods which have appropriate speed and precision for planning and de-cision-making has always been a challenge for investors and managers. One the most important concerns for them is investment planning and optimization for acquisition of desirable wealth under controlled risk with the best return. This paper proposes a model based on Markowitz the-orem by considering the aforementioned limitations in order to help effective decisions-making for portfolio selection. Then, the model is investigated by fuzzy logic and genetic algorithms, for the optimization of the portfolio in selected active companies listed in Tehran Stock Exchange over the period 2012-2016 and the results of the above models are discussed. The results show that the two studied models had functional differences in portfolio optimization, its tools and the possibility of supplementing each other and their selection.

  11. Multiobjective Optimization Methodology A Jumping Gene Approach

    CERN Document Server

    Tang, KS

    2012-01-01

    Complex design problems are often governed by a number of performance merits. These markers gauge how good the design is going to be, but can conflict with the performance requirements that must be met. The challenge is reconciling these two requirements. This book introduces a newly developed jumping gene algorithm, designed to address the multi-functional objectives problem and supplies a viably adequate solution in speed. The text presents various multi-objective optimization techniques and provides the technical know-how for obtaining trade-off solutions between solution spread and converg

  12. Purchasing portfolio models: a critique and update

    NARCIS (Netherlands)

    Gelderman, C.J.; Weele, van A.J.

    2005-01-01

    Purchasing portfolio models have spawned considerable discussion in the literature. Many advantages and disadvantages have been put forward, revealing considerable divergence in opinion on the merits of portfolio models. This study addresses the question of whether or not the use of purchasing

  13. Managing R&D Alliance Portfolios

    DEFF Research Database (Denmark)

    Engel Nielsen, Lars; Mahnke, Volker

    2003-01-01

    be observed in several companies engaged in the cross section of telecommunication and mobile technology where increased complexity magnifies managerial challenges. Drawing on modern portfolio theory, this paper offers a model for managing portfolios of R&D alliances. In particular, an analysis...

  14. Essays on intertemporal consumption and portfolio choice

    NARCIS (Netherlands)

    van Bilsen, Servaas

    2015-01-01

    This dissertation consists of two parts, preceded by an introductory chapter. Part I (Chapters 2, 3 and 4) considers optimal consumption and portfolio choice using preference models. Chapter 2 analyzes optimal consumption and portfolio choice under loss aversion and endogenous updating of the

  15. Portfolios for Majors in Professional Communication.

    Science.gov (United States)

    Killingsworth, M. Jimmie; Sanders, Scott P.

    1987-01-01

    Suggests general principles for developing assignments where students prepare portfolios that reveal their overall communication skills in addition to the usual job search tools. Emphasizes that students should concentrate on including works in the portfolio with the criteria of quality, variety, professionalism, and maturity in mind. (SKC)

  16. Capstone Portfolios and Geography Student Learning Outcomes

    Science.gov (United States)

    Mossa, Joann

    2014-01-01

    Due to increasing demands regarding student learning outcomes and accreditation, a capstone portfolio was added to assess critical thinking and communication skills of geography majors at a large public university in the USA. The portfolio guidelines were designed to be adaptable to a flexible curriculum where about half of the requirements within…

  17. Predictors and Portfolios Over the Life Cycle

    DEFF Research Database (Denmark)

    Kraft, Holger; Munk, Claus; Weiss, Farina

    In a calibrated consumption-portfolio model with stock, housing, and labor income predictability, we evaluate the welfare effects of predictability on life-cycle consumption-portfolio choice. We compare skilled investors who are able to take advantage of all sources of predictability with unskilled...

  18. Optimal Portfolio Choice with Wash Sale Constraints

    DEFF Research Database (Denmark)

    Astrup Jensen, Bjarne; Marekwica, Marcel

    2011-01-01

    We analytically solve the portfolio choice problem in the presence of wash sale constraints in a two-period model with one risky asset. Our results show that wash sale constraints can heavily affect portfolio choice of investors with unrealized losses. The trading behavior of such investors...

  19. On the Teaching of Portfolio Theory.

    Science.gov (United States)

    Biederman, Daniel K.

    1992-01-01

    Demonstrates how a simple portfolio problem expressed explicitly as an expected utility maximization problem can be used to instruct students in portfolio theory. Discusses risk aversion, decision making under uncertainty, and the limitations of the traditional mean variance approach. Suggests students may develop a greater appreciation of general…

  20. The Use of Portfolios in Leadership Education

    Science.gov (United States)

    Olsen, Paul E.

    2009-01-01

    This paper discusses the benefits of using student portfolios in undergraduate leadership education at Saint Michael's College. There appears to be a natural link between the use of portfolios as a tool to facilitate and document leadership growth and development. The Business Administration and Accounting Department at Saint Michael's College…

  1. Optimal portfolio choice under loss aversion

    NARCIS (Netherlands)

    A.B. Berkelaar (Arjan); R.R.P. Kouwenberg (Roy)

    2000-01-01

    textabstractProspect theory and loss aversion play a dominant role in behavioral finance. In this paper we derive closed-form solutions for optimal portfolio choice under loss aversion. When confronted with gains a loss averse investor behaves similar to a portfolio insurer. When confronted with

  2. Optimization of the bank's operating portfolio

    Science.gov (United States)

    Borodachev, S. M.; Medvedev, M. A.

    2016-06-01

    The theory of efficient portfolios developed by Markowitz is used to optimize the structure of the types of financial operations of a bank (bank portfolio) in order to increase the profit and reduce the risk. The focus of this paper is to check the stability of the model to errors in the original data.

  3. SunShot Initiative Portfolio Book 2014

    Energy Technology Data Exchange (ETDEWEB)

    Solar Energy Technologies Office

    2014-05-01

    The 2014 SunShot Initiative Portfolio Book outlines the progress towards the goals outlined in the SunShot Vision Study. Contents include overviews of each of SunShot’s five subprogram areas, as well as a description of every active project in the SunShot’s project portfolio as of May 2014.

  4. Portfolio Diversification Effects of Downside Risk

    NARCIS (Netherlands)

    N. Hyung (Namwon); C.G. de Vries (Casper)

    2004-01-01

    textabstractRisk managers use portfolios to diversify away the un-priced risk of individual securities. In this paper we compare the benefits of portfolio diversification for downside risk in case returns are normally distributed with the case fat tailed distributed returns. The downside risk of a

  5. The Shapley decomposition for portfolio risk

    OpenAIRE

    Stéphane Mussard; Virginie Terraza

    2006-01-01

    The aim of this paper is to provide an application of the Shapley Value to decompose financial portfolio risk. Decomposing the sample covariance risk measure yields relative measures, which enable securities of a portfolio to be classified according to risk scales.

  6. Optimal portfolio strategy with cross-correlation matrix composed by DCCA coefficients: Evidence from the Chinese stock market

    Science.gov (United States)

    Sun, Xuelian; Liu, Zixian

    2016-02-01

    In this paper, a new estimator of correlation matrix is proposed, which is composed of the detrended cross-correlation coefficients (DCCA coefficients), to improve portfolio optimization. In contrast to Pearson's correlation coefficients (PCC), DCCA coefficients acquired by the detrended cross-correlation analysis (DCCA) method can describe the nonlinear correlation between assets, and can be decomposed in different time scales. These properties of DCCA make it possible to improve the investment effect and more valuable to investigate the scale behaviors of portfolios. The minimum variance portfolio (MVP) model and the Mean-Variance (MV) model are used to evaluate the effectiveness of this improvement. Stability analysis shows the effect of two kinds of correlation matrices on the estimation error of portfolio weights. The observed scale behaviors are significant to risk management and could be used to optimize the portfolio selection.

  7. Portfolio Assessment: Production and Reduction of Complexity

    DEFF Research Database (Denmark)

    Keiding, Tina Bering; Qvortrup, Ane

    2015-01-01

    Over the last two decades, the education system has witnessed a shift from summative, product-oriented assessment towards formative, process-oriented assessment. Among the different learning and assessment initiatives introduced in the slipstream of this paradigmatic turn, the portfolio seems...... to have become one of the most popular. By re-describing the portfolio from a systems theoretical point of view, this article discusses established expectations of the portfolio in relation to transparency in learning, reflexivity and self-assessment. It shows that the majority of the literature deals...... with what-questions and that the portfolio is expected to handle a number of challenges with regard to the documentation of learning processes and achievements as well as the conditioning of learning activities. Furthermore, is becomes clear that descriptions of how the portfolio works are sparse. Based...

  8. Student evaluations of the portfolio process.

    Science.gov (United States)

    Murphy, John E; Airey, Tatum C; Bisso, Andrea M; Slack, Marion K

    2011-09-10

    To evaluate pharmacy students' perceived benefits of the portfolio process and to gather suggestions for improving the process. A questionnaire was designed and administered to 250 first-, second-, and third-year pharmacy students at the University of Arizona College of Pharmacy. Although the objectives of the portfolio process were for students to understand the expected outcomes, understand the impact of extracurricular activities on attaining competencies, identify what should be learned, identify their strengths and weaknesses, and modify their approach to learning, overall students perceived the portfolio process as having less than moderate benefit. First-year students wanted more examples of portfolios while second- and third-year students suggested that more time with their advisor would be beneficial. The portfolio process will continue to be refined and efforts made to improve students' perceptions of the process as it is intended to develop the self-assessments skills they will need to improve their knowledge and professional skills throughout their pharmacy careers.

  9. Public Project Portfolio Optimization under a Participatory Paradigm

    Directory of Open Access Journals (Sweden)

    Eduardo Fernandez

    2013-01-01

    Full Text Available A new democracy paradigm is emerging through participatory budgeting exercises, which can be defined as a public space in which the government and the society agree on how to adapt the priorities of the citizenship to the public policy agenda. Although these priorities have been identified and they are likely to be reflected in a ranking of public policy actions, there is still a challenge of solving a portfolio problem of public projects that should implement the agreed agenda. This work proposes two procedures for optimizing the portfolio of public actions with the information stemming from the citizen participatory exercise. The selection of the method depends on the information about preferences collected from the participatory group. When the information is sufficient, the method behaves as an instrument of legitimate democracy. The proposal performs very well in solving two real-size examples.

  10. Implementing Portfolio Assessment in Lower-Secondary School

    Directory of Open Access Journals (Sweden)

    Anna Czura

    2013-05-01

    Full Text Available Since alternative assessment embraces highly authentic tasks consistent with classroom goals and instruction, its implementation in the language classroom is believed to promote collaboration with peers, transfer responsibility to the learners and, consequently, foster learner autonomy. This paper presents the results of a research study aiming to determine whether portfolio assessment contributes to the development of autonomy in adolescent learners. In order to collect the data, qualitative and quantative methods of research were applied. The research results reveal that the implementation of portfolio assessment failed to affect the overall level of learner autonomy. Introducing one selected pedagogical procedure does not suffice to foster learner autonomy. Teachers need to be ready to pass a portion of their authority to the learners, who, in turn, need to know how to use the new privileges judiciously.

  11. Development of a web database portfolio system with PACS connectivity for undergraduate health education and continuing professional development.

    Science.gov (United States)

    Ng, Curtise K C; White, Peter; McKay, Janice C

    2009-04-01

    Increasingly, the use of web database portfolio systems is noted in medical and health education, and for continuing professional development (CPD). However, the functions of existing systems are not always aligned with the corresponding pedagogy and hence reflection is often lost. This paper presents the development of a tailored web database portfolio system with Picture Archiving and Communication System (PACS) connectivity, which is based on the portfolio pedagogy. Following a pre-determined portfolio framework, a system model with the components of web, database and mail servers, server side scripts, and a Query/Retrieve (Q/R) broker for conversion between Hypertext Transfer Protocol (HTTP) requests and Q/R service class of Digital Imaging and Communication in Medicine (DICOM) standard, is proposed. The system was piloted with seventy-seven volunteers. A tailored web database portfolio system (http://radep.hti.polyu.edu.hk) was developed. Technological arrangements for reinforcing portfolio pedagogy include popup windows (reminders) with guidelines and probing questions of 'collect', 'select' and 'reflect' on evidence of development/experience, limitation in the number of files (evidence) to be uploaded, the 'Evidence Insertion' functionality to link the individual uploaded artifacts with reflective writing, capability to accommodate diversity of contents and convenient interfaces for reviewing portfolios and communication. Evidence to date suggests the system supports users to build their portfolios with sound hypertext reflection under a facilitator's guidance, and with reviewers to monitor students' progress providing feedback and comments online in a programme-wide situation.

  12. Portfolio Optimization and Mortgage Choice

    Directory of Open Access Journals (Sweden)

    Maj-Britt Nordfang

    2017-01-01

    Full Text Available This paper studies the optimal mortgage choice of an investor in a simple bond market with a stochastic interest rate and access to term life insurance. The study is based on advances in stochastic control theory, which provides analytical solutions to portfolio problems with a stochastic interest rate. We derive the optimal portfolio of a mortgagor in a simple framework and formulate stylized versions of mortgage products offered in the market today. This allows us to analyze the optimal investment strategy in terms of optimal mortgage choice. We conclude that certain extreme investors optimally choose either a traditional fixed rate mortgage or an adjustable rate mortgage, while investors with moderate risk aversion and income prefer a mix of the two. By matching specific investor characteristics to existing mortgage products, our study provides a better understanding of the complex and yet restricted mortgage choice faced by many household investors. In addition, the simple analytical framework enables a detailed analysis of how changes to market, income and preference parameters affect the optimal mortgage choice.

  13. AMOBH: Adaptive Multiobjective Black Hole Algorithm.

    Science.gov (United States)

    Wu, Chong; Wu, Tao; Fu, Kaiyuan; Zhu, Yuan; Li, Yongbo; He, Wangyong; Tang, Shengwen

    2017-01-01

    This paper proposes a new multiobjective evolutionary algorithm based on the black hole algorithm with a new individual density assessment (cell density), called "adaptive multiobjective black hole algorithm" (AMOBH). Cell density has the characteristics of low computational complexity and maintains a good balance of convergence and diversity of the Pareto front. The framework of AMOBH can be divided into three steps. Firstly, the Pareto front is mapped to a new objective space called parallel cell coordinate system. Then, to adjust the evolutionary strategies adaptively, Shannon entropy is employed to estimate the evolution status. At last, the cell density is combined with a dominance strength assessment called cell dominance to evaluate the fitness of solutions. Compared with the state-of-the-art methods SPEA-II, PESA-II, NSGA-II, and MOEA/D, experimental results show that AMOBH has a good performance in terms of convergence rate, population diversity, population convergence, subpopulation obtention of different Pareto regions, and time complexity to the latter in most cases.

  14. A multi-objective approach for developing national energy efficiency plans

    International Nuclear Information System (INIS)

    Haydt, Gustavo; Leal, Vítor; Dias, Luís

    2014-01-01

    This paper proposes a new approach to deal with the problem of building national energy efficiency (EE) plans, considering multiple objectives instead of only energy savings. The objectives considered are minimizing the influence of energy use on climate change, minimizing the financial risk from the investment, maximizing the security of energy supply, minimizing investment costs, minimizing the impacts of building new power plants and transmission infrastructures, and maximizing the local air quality. These were identified through literature review and interaction with real decision makers. A database of measures is established, from which millions of potential EE plans can be built by combining measures and their respective degree of implementation. Finally, a hybrid multi-objective and multi-criteria decision analysis (MCDA) model is proposed to search and select the EE plans that best match the decision makers’ preferences. An illustration of the working mode and the type of results obtained from this novel hybrid model is provided through an application to Portugal. For each of five decision perspectives a wide range of potential best plans were identified. These wide ranges show the relevance of introducing multi-objective analysis in a comprehensive search space as a tool to inform decisions about national EE plans. - Highlights: • A multiple objective approach to aid the choice of national energy efficiency plans. • A hybrid multi-objective MCDA model is proposed to search among the possible plans. • The model identified relevant plans according to five different idealized DMs. • The approach is tested with Portugal

  15. A Novel Memetic Algorithm Based on Decomposition for Multiobjective Flexible Job Shop Scheduling Problem

    Directory of Open Access Journals (Sweden)

    Chun Wang

    2017-01-01

    Full Text Available A novel multiobjective memetic algorithm based on decomposition (MOMAD is proposed to solve multiobjective flexible job shop scheduling problem (MOFJSP, which simultaneously minimizes makespan, total workload, and critical workload. Firstly, a population is initialized by employing an integration of different machine assignment and operation sequencing strategies. Secondly, multiobjective memetic algorithm based on decomposition is presented by introducing a local search to MOEA/D. The Tchebycheff approach of MOEA/D converts the three-objective optimization problem to several single-objective optimization subproblems, and the weight vectors are grouped by K-means clustering. Some good individuals corresponding to different weight vectors are selected by the tournament mechanism of a local search. In the experiments, the influence of three different aggregation functions is first studied. Moreover, the effect of the proposed local search is investigated. Finally, MOMAD is compared with eight state-of-the-art algorithms on a series of well-known benchmark instances and the experimental results show that the proposed algorithm outperforms or at least has comparative performance to the other algorithms.

  16. Thermodynamic design of Stirling engine using multi-objective particle swarm optimization algorithm

    International Nuclear Information System (INIS)

    Duan, Chen; Wang, Xinggang; Shu, Shuiming; Jing, Changwei; Chang, Huawei

    2014-01-01

    Highlights: • An improved thermodynamic model taking into account irreversibility parameter was developed. • A multi-objective optimization method for designing Stirling engine was investigated. • Multi-objective particle swarm optimization algorithm was adopted in the area of Stirling engine for the first time. - Abstract: In the recent years, the interest in Stirling engine has remarkably increased due to its ability to use any heat source from outside including solar energy, fossil fuels and biomass. A large number of studies have been done on Stirling cycle analysis. In the present study, a mathematical model based on thermodynamic analysis of Stirling engine considering regenerative losses and internal irreversibilities has been developed. Power output, thermal efficiency and the cycle irreversibility parameter of Stirling engine are optimized simultaneously using Particle Swarm Optimization (PSO) algorithm, which is more effective than traditional genetic algorithms. In this optimization problem, some important parameters of Stirling engine are considered as decision variables, such as temperatures of the working fluid both in the high temperature isothermal process and in the low temperature isothermal process, dead volume ratios of each heat exchanger, volumes of each working spaces, effectiveness of the regenerator, and the system charge pressure. The Pareto optimal frontier is obtained and the final design solution has been selected by Linear Programming Technique for Multidimensional Analysis of Preference (LINMAP). Results show that the proposed multi-objective optimization approach can significantly outperform traditional single objective approaches

  17. Simulation-Based Multiobjective Optimization of Timber-Glass Residential Buildings in Severe Cold Regions

    Directory of Open Access Journals (Sweden)

    Yunsong Han

    2017-12-01

    Full Text Available In the current context of increasing energy demand, timber-glass buildings will become a necessary trend in sustainable architecture in the future. Especially in severe cold zones of China, energy consumption and the visual comfort of residential buildings have attracted wide attention, and there are always trade-offs between multiple objectives. This paper aims to propose a simulation-based multiobjective optimization method to improve the daylighting, energy efficiency, and economic performance of timber-glass buildings in severe cold regions. Timber-glass building form variables have been selected as the decision variables, including building width, roof height, south and north window-to-wall ratio (WWR, window height, and orientation. A simulation-based multiobjective optimization model has been developed to optimize these performance objectives simultaneously. The results show that Daylighting Autonomy (DA presents negative correlations with Energy Use Intensity (EUI and total cost. Additionally, with an increase in DA, Useful Daylighting Illuminance (UDI demonstrates a tendency of primary increase and then decrease. Using this optimization model, four building performances have been improved from the initial generation to the final generation, which proves that simulation-based multiobjective optimization is a promising approach to improve the daylighting, energy efficiency, and economic performances of timber-glass buildings in severe cold regions.

  18. Multi-objective optimization of an underwater compressed air energy storage system using genetic algorithm

    International Nuclear Information System (INIS)

    Cheung, Brian C.; Carriveau, Rupp; Ting, David S.K.

    2014-01-01

    This paper presents the findings from a multi-objective genetic algorithm optimization study on the design parameters of an underwater compressed air energy storage system (UWCAES). A 4 MWh UWCAES system was numerically simulated and its energy, exergy, and exergoeconomics were analysed. Optimal system configurations were determined that maximized the UWCAES system round-trip efficiency and operating profit, and minimized the cost rate of exergy destruction and capital expenditures. The optimal solutions obtained from the multi-objective optimization model formed a Pareto-optimal front, and a single preferred solution was selected using the pseudo-weight vector multi-criteria decision making approach. A sensitivity analysis was performed on interest rates to gauge its impact on preferred system designs. Results showed similar preferred system designs for all interest rates in the studied range. The round-trip efficiency and operating profit of the preferred system designs were approximately 68.5% and $53.5/cycle, respectively. The cost rate of the system increased with interest rates. - Highlights: • UWCAES system configurations were developed using multi-objective optimization. • System was optimized for energy efficiency, exergy, and exergoeconomics • Pareto-optimal solution surfaces were developed at different interest rates. • Similar preferred system configurations were found at all interest rates studied

  19. Level Diagrams analysis of Pareto Front for multiobjective system redundancy allocation

    International Nuclear Information System (INIS)

    Zio, E.; Bazzo, R.

    2011-01-01

    Reliability-based and risk-informed design, operation, maintenance and regulation lead to multiobjective (multicriteria) optimization problems. In this context, the Pareto Front and Set found in a multiobjective optimality search provide a family of solutions among which the decision maker has to look for the best choice according to his or her preferences. Efficient visualization techniques for Pareto Front and Set analyses are needed for helping decision makers in the selection task. In this paper, we consider the multiobjective optimization of system redundancy allocation and use the recently introduced Level Diagrams technique for graphically representing the resulting Pareto Front and Set. Each objective and decision variable is represented on separate diagrams where the points of the Pareto Front and Set are positioned according to their proximity to ideally optimal points, as measured by a metric of normalized objective values. All diagrams are synchronized across all objectives and decision variables. On the basis of the analysis of the Level Diagrams, we introduce a procedure for reducing the number of solutions in the Pareto Front; from the reduced set of solutions, the decision maker can more easily identify his or her preferred solution.

  20. Multi-objective optimization of a vertical ground source heat pump using evolutionary algorithm

    International Nuclear Information System (INIS)

    Sayyaadi, Hoseyn; Amlashi, Emad Hadaddi; Amidpour, Majid

    2009-01-01

    Thermodynamic and thermoeconomic optimization of a vertical ground source heat pump system has been studied. A model based on the energy and exergy analysis is presented here. An economic model of the system is developed according to the Total Revenue Requirement (TRR) method. The objective functions based on the thermodynamic and thermoeconomic analysis are developed. The proposed vertical ground source heat pump system including eight decision variables is considered for optimization. An artificial intelligence technique known as evolutionary algorithm (EA) has been utilized as an optimization method. This approach has been applied to minimize either the total levelized cost of the system product or the exergy destruction of the system. Three levels of optimization including thermodynamic single objective, thermoeconomic single objective and multi-objective optimizations are performed. In Multi-objective optimization, both thermodynamic and thermoeconomic objectives are considered, simultaneously. In the case of multi-objective optimization, an example of decision-making process for selection of the final solution from available optimal points on Pareto frontier is presented. The results obtained using the various optimization approaches are compared and discussed. Further, the sensitivity of optimized systems to the interest rate, to the annual number of operating hours and to the electricity cost are studied in detail.