60 Years of portfolio optimization: Practical challenges and current trends

The concepts of portfolio optimization and diversification have been instrumental in the development and understanding of financial markets and financial decision making. In light of the 60 year anniversary of Harry Markowitz’s paper “Portfolio Selection,” we review some of the approaches developed to address the challenges encountered when using portfolio optimization in practice, including the inclusion of transaction costs, portfolio management constraints, and the sensitivity to the estimates of expected returns and covariances. In addition, we selectively highlight some of the new trends and developments in the area such as diversification methods, risk-parity portfolios, the mixing of different sources of alpha, and practical multi-period portfolio optimization.     

Dynamic graph generation for the shortest path problem in time expanded networks

In discrete optimization problems the progress of objects over time is frequently modeled by shortest path problems in time expanded networks, but longer time spans or finer time discretizations quickly lead to problem sizes that are intractable in practice. In convex relaxations the arising shortest paths often lie in a narrow corridor inside these networks. Motivated by this observation, we develop a general dynamic graph generation framework in order to control the networks’ sizes even for infinite time horizons. It can be applied whenever objects need to be routed through a traffic or production network with coupling capacity constraints and with a preference for early paths. Without sacrificing any information compared to the full model, it includes a few additional time steps on top of the latest arcs currently in use. This “frontier” of the graphs can be extended automatically as required by solution processes such as column generation or Lagrangian relaxation. The corresponding algorithm is efficiently implementable and linear in the arcs of the non-time-expanded network with a factor depending on the basic time offsets of these arcs. We give some bounds on the required additional size in important special cases and illustrate the benefits of this technique on real world instances of a large scale train timetabling problem.     

Fluorescence detected circular dichroism (FDCD) for supramolecular host–guest complexes

Fluorescence-detected circular dichroism (FDCD) spectroscopy is applied for the first time to supramolecular host–guest and host–protein systems and compared to the more known electronic circular dichroism (ECD). We find that FDCD can be an excellent choice for common supramolecular applications, e.g. for the detection and chirality sensing of chiral organic analytes, as well as for reaction monitoring. Our comprehensive investigations demonstrate that FDCD can be conducted in favorable circumstances at much lower concentrations than ECD measurements, even in chromophoric and auto-emissive biofluids such as blood serum, overcoming the sensitivity limitation of absorbance-based chiroptical spectroscopy. Besides, the combined use of FDCD and ECD can provide additional valuable information about the system, e.g. the chemical identity of an analyte or hidden aggregation phenomena. We believe that simultaneous FDCD- and ECD-based chiroptical characterization of emissive supramolecular systems will be of general benefit for characterizing fluorescent, chiral supramolecular systems due to the higher information content obtained by their combined use.

Fluorescence-detected circular dichroism (FDCD) spectroscopy is applied for the first time to supramolecular host–guest and host–protein systems and compared to the more known electronic circular dichroism (ECD).     

Normal form observers for hyperbolic distributed parameter systems with spatially varying coefficients

Observer design for 1D linear distributed parameter systems of hyperbolic type with boundary measurement is discussed. The approach is based on the observer canonical form introduced on the basis of a functional-differential equation (f.d.e.) equivalent to the original posed boundary value problem. (© 2014 Wiley-VCH Verlag GmbH & Co. KGaA, Weinheim)     

Contact Modeling in Multibody Systems with Elastic Bodies in High-Frequency Applications

This paper discusses the refinement of multibody models by integration of flexible bodies and by considering nonlinearities from contacts. It presents common approaches for contact modeling in multibody simulations and strategies to include flexible bodies. A contact model is implemented in the elastic multibody model. Experimental results show that significant effects of system dynamics can be modeled by use of a multibody model including elastic bodies and contacts. (© 2014 Wiley-VCH Verlag GmbH & Co. KGaA, Weinheim)