共查询到20条相似文献,搜索用时 15 毫秒
1.
Joel Weiqiang Goh Kian Guan Lim Melvyn Sim Weina Zhang 《European Journal of Operational Research》2012
We propose a new approach to portfolio optimization by separating asset return distributions into positive and negative half-spaces. The approach minimizes a newly-defined Partitioned Value-at-Risk (PVaR) risk measure by using half-space statistical information. Using simulated data, the PVaR approach always generates better risk-return tradeoffs in the optimal portfolios when compared to traditional Markowitz mean–variance approach. When using real financial data, our approach also outperforms the Markowitz approach in the risk-return tradeoff. Given that the PVaR measure is also a robust risk measure, our new approach can be very useful for optimal portfolio allocations when asset return distributions are asymmetrical. 相似文献
2.
E. G. Coffman Jr D. Matsypura V. G. Timkovsky 《4OR: A Quarterly Journal of Operations Research》2010,8(4):375-386
The strategy-based approach to portfolio margining has been used for margining customer accounts for more than four decades.
The risk-based approach was proposed in the mid eighties for margining some inventory accounts of brokers but permitted for
margining customer accounts only in 2005. This paper presents a computational experiment with the strategy-based approach
and the risk-based approach with the purpose of clarifying which one yields lower margin requirements under different scenarios.
There exists a widespread opinion, cf. (Reuters 2007; Longo 2007; Smith 2008), that the risk-based approach is always a winner
in this competition, and therefore the strategy-based approach must be disqualified as outdated. However, the results of our
experiment with portfolios of stock options show that, in many practical situations, the strategy-based approach yields substantially
lower margin requirements in comparison with the risk-based approach. 相似文献
3.
Anurag Agarwal 《Annals of Operations Research》2009,168(1):101-117
The augmented-neural-network (AugNN) approach has been applied lately to some NP-Hard combinatorial problems, such as task
scheduling, open-shop scheduling and resource-constraint project scheduling. In this approach the problem of search in the
solution-space is transformed to a search in a weight-matrix space, much like in a neural-network approach. Some weight adjustment
strategies are then used to converge to a good set of weights for a locally optimal solution. While empirical results have
demonstrated the effectiveness of the AugNN approach vis-à-vis a few other metaheuristics, little theoretical insights exist
which justify this approach and explain the effectiveness thereof. This paper provides some theoretical insights and justification
for the AugNN approach through some basic theorems and also describes the algorithm and the formulation with the help of examples. 相似文献
4.
T H Trinh V Kachitvichyanukul D B Khang 《The Journal of the Operational Research Society》2014,65(2):161-168
The paper develops a theoretical background on the co-production approach as an extension of operations management principles, in which co-production function assumes well-defined functional form with the input presence of both firm and customers. The co-production approach not only views a customer as a co-producer, but also conducts strategic trade-offs between a firm and customers in service systems. Moreover, the value and the process of value co-creation are also explored under the co-production approach. The experimental study with a hypothetical service system indicates that the co-production function is feasible under economic and institutional considerations, and the co-production approach generalizes both the firm approach and the customer approach. Furthermore, the co-production approach creates many rich opportunities for future research on service operations management. 相似文献
5.
《Applied Mathematical Modelling》2014,38(15-16):4099-4119
The more common approaches used in the SCM consider only the physical logistic operations and ignore the financial aspects of the chain. This paper presents a financial approach to model a closed-loop supply chain design in which financial aspects are explicitly considered as exogenous variables. The model decides to determine the strategic decisions as well as the tactical decisions. The main contribution of this paper is to incorporate the financial aspects (i.e. current and fixed assets and liabilities) and a set of budgetary constraints representing balances of cash, debt, securities, payment delays, and discounts in the supply chain planning. Moreover, the financial approach applies the change in equity (instead of the measure of profit/cost in traditional approaches) as the objective function to be optimized in the presented model.To show the advantages of the presented approach, the results attributed to the financial approach and the traditional approach are compared, where the latter firstly decides on operations and fits finances afterwards. The results indicate that the traditional approach leads to lower change in equity compared to the financial approach. This fact illustrates the inadequacy of treating process operations and finances in isolated environments and pursuing as objective myopic performance indicators such as profit or cost. Moreover, a sensitivity analysis of the parameters using ANOVA for different levels of the parameters under different customer order patterns is performed to enhance the managerial insights of the study. The results clearly reveal the better improvement of using the financial approach over the traditional approach, and convince the decision makers to take advantage of the proposed approach. 相似文献
6.
《Applied Mathematical Modelling》2014,38(7-8):2141-2150
Zou et al. (2008) [21] presented weighted-average of all possible choice values approach of soft sets under incomplete information system in decision making. However, the approach is hard to understand and involves a great amount of computation. In order to simplify the approach, we present the simplified probability to directly instead of the incomplete information, and demonstrate the equivalence between the weighted-average of all possible choice values approach and the simplified probability approach. Finally, comparison results show that the proposed approach involves relatively less computation and is easier to implement and understand as compared with the weighted-average of all possible choice values approach. 相似文献
7.
8.
An introduction and survey of the evidential reasoning approach for multiple criteria decision analysis 总被引:1,自引:0,他引:1
Dong-Ling Xu 《Annals of Operations Research》2012,195(1):163-187
The Evidential Reasoning (ER) approach is a general approach for analyzing multiple criteria decision problems under various
types of uncertainty using a unified framework—belief structure. In this paper, the ER approach is surveyed from two aspects:
theoretical development and applications. After a brief outline of its development and extension over a twenty year period,
the ER approach is outlined with a focus on the links among its various developments. Future research directions in the area
are also explored in the survey. 相似文献
9.
《Operations Research Letters》2014,42(3):226-230
We propose an Integer Linear Programming (ILP) approach for solving integer programs with bilinear objectives and linear constraints. Our approach is based on finding upper and lower bounds for the integer ensembles in the bilinear objective function, and using the bounds to obtain a tight ILP reformulation of the original problem, which can then be solved efficiently. Numerical experiments suggest that the proposed approach outperforms a latest iterative ILP approach, with notable reductions in the average solution time. 相似文献
10.
Nizami A. Gasilov Şahin Emrah Amrahov 《Mathematical Methods in the Applied Sciences》2020,43(4):1825-1837
In this study, a new approach is developed to solve the initial value problem for interval linear differential equations. In the considered problem, the coefficients and the initial values are constant intervals. In the developed approach, there is no need to define a derivative for interval-valued functions. All derivatives used in the approach are classical derivatives of real functions. The reason for this is that the solution of the problem is defined as a bunch of real functions. Such a solution concept is compatible also with the robust stability concept. Sufficient conditions are provided for the solution to be expressed analytically. In addition, on a numerical example, the solution obtained by the proposed approach is compared with the solution obtained by the generalized Hukuhara differentiability. It is shown that the proposed approach gives a new type of solution. The main advantage of the proposed approach is that the solution to the considered interval initial value problem exists and is unique, as in the real case. 相似文献
11.
This paper investigates the aggregation of multiple fuzzy preference relations into a collective fuzzy preference relation in fuzzy group decision analysis and proposes an optimization based aggregation approach to assess the relative importance weights of the multiple fuzzy preference relations. The proposed approach that is analytical in nature assesses the weights by minimizing the sum of squared distances between any two weighted fuzzy preference relations. Relevant theorems are offered in support of the proposed approach. Multiplicative preference relations are also incorporated into the approach using an appropriate transformation technique. An eigenvector method is introduced to derive the priorities from the collective fuzzy preference relation. The proposed aggregation approach is tested using two numerical examples. A third example involving broadband internet service selection is offered to illustrate that the proposed aggregation approach provides a simple, effective and practical way of aggregating multiple fuzzy preference relations in real-life situations. 相似文献
12.
We consider the problem of finding sparse solutions to a system of underdetermined non-linear system of equations. The methods are based on a Gauss–Newton approach with line search where the search direction is found by solving a linearized problem using only a subset of the columns in the Jacobian. The choice of columns in the Jacobian is made through a greedy approach looking at either maximum descent or an approach corresponding to orthogonal matching for linear problems. The methods are shown to be convergent and efficient and outperform the l1 approach on the test problems presented. 相似文献
13.
Yu. G. Rykov 《Proceedings of the Steklov Institute of Mathematics》2018,301(1):213-227
The paper contains results concerning the development of a new approach to the proof of existence theorems for generalized solutions to systems of quasilinear conservation laws. This approach is based on reducing the search for a generalized solution to analyzing extremal properties of a certain set of functionals and is referred to as a variational approach. The definition of a generalized solution can be naturally reformulated in terms of the existence of critical points for a set of functionals, which is convenient within the approach proposed. The variational representation of generalized solutions, which was earlier known for Hopf-type equations, is generalized to systems of quasilinear conservation laws. The extremal properties of the functionals corresponding to systems of conservation laws are described within the variational approach, and a strategy for proving the existence theorem is outlined. In conclusion, it is shown that the variational approach can be generalized to the two-dimensional case. 相似文献
14.
In this paper, a novel approach, namely, the linearization‐based approach of homotopy analysis method, to analytically treat non‐linear time‐fractional PDEs is proposed. The presented approach suggests a new optimized structure of the homotopy series solution based on a linear approximation of the non‐linear problem. A comparative study between the proposed approach and standard homotopy analysis approach is illustrated by solving two examples involving non‐linear time‐fractional parabolic PDEs. The performed numerical simulations demonstrate that the linearization‐based approach reduces the computational complexity and improves the performance of the homotopy analysis method. 相似文献
15.
Richard E. Wendell 《Mathematical Programming》1984,29(3):304-322
In contrast to traditional sensitivity analysis in linear programming, the tolerance approach considers simultaneous and independent
variations in a number of parameters. A primary focus of this approach is to determine a maximum tolerance percentage for
selected right-hand-side terms in which the same basis is optimal as long as each term is accurate to within that percentage
of its estimated value. Similarly, the approach yields a maximum tolerance percentage for selected objective function coefficients.
This paper shows how the tolerance approach can exploit information on the range of possible values over which terms and coefficients
can vary to yield larger maximum tolerance percentages. 相似文献
16.
A finite mixture model has been used to fit the data from heterogeneous populations to many applications. An Expectation Maximization (EM) algorithm is the most popular method to estimate parameters in a finite mixture model. A Bayesian approach is another method for fitting a mixture model. However, the EM algorithm often converges to the local maximum regions, and it is sensitive to the choice of starting points. In the Bayesian approach, the Markov Chain Monte Carlo (MCMC) sometimes converges to the local mode and is difficult to move to another mode. Hence, in this paper we propose a new method to improve the limitation of EM algorithm so that the EM can estimate the parameters at the global maximum region and to develop a more effective Bayesian approach so that the MCMC chain moves from one mode to another more easily in the mixture model. Our approach is developed by using both simulated annealing (SA) and adaptive rejection metropolis sampling (ARMS). Although SA is a well-known approach for detecting distinct modes, the limitation of SA is the difficulty in choosing sequences of proper proposal distributions for a target distribution. Since ARMS uses a piecewise linear envelope function for a proposal distribution, we incorporate ARMS into an SA approach so that we can start a more proper proposal distribution and detect separate modes. As a result, we can detect the maximum region and estimate parameters for this global region. We refer to this approach as ARMS annealing. By putting together ARMS annealing with the EM algorithm and with the Bayesian approach, respectively, we have proposed two approaches: an EM-ARMS annealing algorithm and a Bayesian-ARMS annealing approach. We compare our two approaches with traditional EM algorithm alone and Bayesian approach alone using simulation, showing that our two approaches are comparable to each other but perform better than EM algorithm alone and Bayesian approach alone. Our two approaches detect the global maximum region well and estimate the parameters in this region. We demonstrate the advantage of our approaches using an example of the mixture of two Poisson regression models. This mixture model is used to analyze a survey data on the number of charitable donations. 相似文献
17.
J Bengtsson D Bredström P Flisberg M Rönnqvist 《The Journal of the Operational Research Society》2013,64(6):848-863
Refinery operation planning is a complex task since refinery processes and inventories are tightly interconnected. We study refinery planning when ships are loaded with a blend of components and where arrival times of ships are uncertain. Any delay in ship arrival may result in overfull component tanks which results in less efficient blending alternatives, reduced process operations or even shut downs. We propose a planning approach where we use robust optimization as a decision tool. By using robust optimization uncertainty in arrival times is explicitly dealt with and the resulting plan and schedule will always be feasible. The approach includes a flexible way to describe and model uncertainties. To compare the robust approach with a traditional deterministic approach, we use a simulation process. Computational results from a case study and simulations show that the proposed methodology is substantially better than a deterministic approach. 相似文献
18.
We introduce the weak approach structure for an arbitrary locally convex approach space and generalize the results from [1] about the weak approach structure of a normed space. Hereto we carefully develop the notion of a closed dual unit ball in an abstract setting (as a special kind of absolutely convex subset) because it is this kind of structure on the algebraic dual that induces, in a duality-compatible way, a locally convex approach structure on the original space. 相似文献
19.
《European Journal of Operational Research》2006,169(3):918-931
A tabu search approach to solve multi-objective combinatorial optimization problems is developed in this paper. This procedure selects an objective to become active for a given iteration with a multinomial probability mass function. The selection step eliminates two major problems of simple multi-objective methods, a priori weighting and scaling of objectives. Comparison of results on an NP-hard combinatorial problem with a previously published multi-objective tabu search approach and with a deterministic version of this approach shows that the multinomial approach is effective, tractable and flexible. 相似文献
20.
We propose a novel approach for noise quantifier at each location of a signal. This method is based on replacing the conventional kernel-based approach extensively used in signal processing by an approach involving another kind of kernel: a possibility distribution. Such an approach leads to interval-valued resulting methods instead of point-valued ones. We propose a theoretical justification to this approach and we show, on real and artificial data sets, that the length of the obtained interval and the local noise level are highly correlated. This method is non-parametric and has an advantage over other methods since no assumption about the nature of the noise has to be made, except its local ergodicity. Besides, the propagation of the noise in the involved signal processing method is direct and does not require any additional computation. 相似文献