Advanced Optimization And Statistical Methods In Portfolio Optimization And Supply Chain Management

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Advanced Optimization and Statistical Methods in Portfolio Optimization and Supply Chain Management

Author : Ümit Să̆glam
Publisher :
ISBN 13 :
Total Pages : 360 pages
Book Rating : 4.:/5 (885 download)

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Book Synopsis Advanced Optimization and Statistical Methods in Portfolio Optimization and Supply Chain Management by : Ümit Să̆glam

Download or read book Advanced Optimization and Statistical Methods in Portfolio Optimization and Supply Chain Management written by Ümit Să̆glam and published by . This book was released on 2014 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation is on advanced mathematical programming with applications in portfolio optimization and supply chain management. Specifically, this research started with modeling and solving large and complex optimization problems with cone constraints and discrete variables, and then expanded to include problems with multiple decision perspectives and nonlinear behavior. The original work and its extensions are motivated by real world business problems. The first contribution of this dissertation, is to algorithmic work for mixed-integer second-order cone programming problems (MISOCPs), which is of new interest to the research community. This dissertation is among the first ones in the field and seeks to develop a robust and effective approach to solving these problems. There is a variety of important application areas of this class of problems ranging from network reliability to data mining, and from finance to operations management. This dissertation also contributes to three applications that require the solution of complex optimization problems. The first two applications arise in portfolio optimization, and the third application is from supply chain management. In our first study, we consider both single- and multi-period portfolio optimization problems based on the Markowitz (1952) mean/variance framework. We have also included transaction costs, conditional value-at-risk (CVaR) constraints, and diversification constraints to approach more realistic scenarios that an investor should take into account when he is constructing his portfolio. Our second work proposes the empirical validation of posing the portfolio selection problem as a Bayesian decision problem dependent on mean, variance and skewness of future returns by comparing it with traditional mean/variance efficient portfolios. The last work seeks supply chain coordination under multi-product batch production and truck shipment scheduling under different shipping policies. These works present a thorough study of the following research foci: modeling and solution of large and complex optimization problems, and their applications in supply chain management and portfolio optimization.

Applying Particle Swarm Optimization

Author : Burcu Adıgüzel Mercangöz
Publisher : Springer Nature
ISBN 13 : 3030702812
Total Pages : 355 pages
Book Rating : 4.0/5 (37 download)

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Book Synopsis Applying Particle Swarm Optimization by : Burcu Adıgüzel Mercangöz

Download or read book Applying Particle Swarm Optimization written by Burcu Adıgüzel Mercangöz and published by Springer Nature. This book was released on 2021-05-13 with total page 355 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book explains the theoretical structure of particle swarm optimization (PSO) and focuses on the application of PSO to portfolio optimization problems. The general goal of portfolio optimization is to find a solution that provides the highest expected return at each level of portfolio risk. According to H. Markowitz’s portfolio selection theory, as new assets are added to an investment portfolio, the total risk of the portfolio’s decreases depending on the correlations of asset returns, while the expected return on the portfolio represents the weighted average of the expected returns for each asset. The book explains PSO in detail and demonstrates how to implement Markowitz’s portfolio optimization approach using PSO. In addition, it expands on the Markowitz model and seeks to improve the solution-finding process with the aid of various algorithms. In short, the book provides researchers, teachers, engineers, managers and practitioners with many tools they need to apply the PSO technique to portfolio optimization.

Fuzzy Portfolio Optimization

Author : Pankaj Gupta
Publisher : Springer
ISBN 13 : 3642546528
Total Pages : 329 pages
Book Rating : 4.6/5 (425 download)

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Book Synopsis Fuzzy Portfolio Optimization by : Pankaj Gupta

Download or read book Fuzzy Portfolio Optimization written by Pankaj Gupta and published by Springer. This book was released on 2014-03-17 with total page 329 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph presents a comprehensive study of portfolio optimization, an important area of quantitative finance. Considering that the information available in financial markets is incomplete and that the markets are affected by vagueness and ambiguity, the monograph deals with fuzzy portfolio optimization models. At first, the book makes the reader familiar with basic concepts, including the classical mean–variance portfolio analysis. Then, it introduces advanced optimization techniques and applies them for the development of various multi-criteria portfolio optimization models in an uncertain environment. The models are developed considering both the financial and non-financial criteria of investment decision making, and the inputs from the investment experts. The utility of these models in practice is then demonstrated using numerical illustrations based on real-world data, which were collected from one of the premier stock exchanges in India. The book addresses both academics and professionals pursuing advanced research and/or engaged in practical issues in the rapidly evolving field of portfolio optimization.

Robust Portfolio Optimization and Management

Author : Frank J. Fabozzi
Publisher : John Wiley & Sons
ISBN 13 : 0470164891
Total Pages : 513 pages
Book Rating : 4.4/5 (71 download)

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Book Synopsis Robust Portfolio Optimization and Management by : Frank J. Fabozzi

Download or read book Robust Portfolio Optimization and Management written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2007-04-27 with total page 513 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for Robust Portfolio Optimization and Management "In the half century since Harry Markowitz introduced his elegant theory for selecting portfolios, investors and scholars have extended and refined its application to a wide range of real-world problems, culminating in the contents of this masterful book. Fabozzi, Kolm, Pachamanova, and Focardi deserve high praise for producing a technically rigorous yet remarkably accessible guide to the latest advances in portfolio construction." --Mark Kritzman, President and CEO, Windham Capital Management, LLC "The topic of robust optimization (RO) has become 'hot' over the past several years, especially in real-world financial applications. This interest has been sparked, in part, by practitioners who implemented classical portfolio models for asset allocation without considering estimation and model robustness a part of their overall allocation methodology, and experienced poor performance. Anyone interested in these developments ought to own a copy of this book. The authors cover the recent developments of the RO area in an intuitive, easy-to-read manner, provide numerous examples, and discuss practical considerations. I highly recommend this book to finance professionals and students alike." --John M. Mulvey, Professor of Operations Research and Financial Engineering, Princeton University

Supply Chain Management and Advanced Planning

Author : Hartmut Stadtler
Publisher : Springer
ISBN 13 : 3642553095
Total Pages : 570 pages
Book Rating : 4.6/5 (425 download)

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Book Synopsis Supply Chain Management and Advanced Planning by : Hartmut Stadtler

Download or read book Supply Chain Management and Advanced Planning written by Hartmut Stadtler and published by Springer. This book was released on 2014-11-14 with total page 570 pages. Available in PDF, EPUB and Kindle. Book excerpt: Supply Chain Management, Enterprise Resources Planning (ERP), and Advanced Planning Systems (APS) are important concepts in order to organize and optimize the flow of materials, information and financial funds. This book, already in its fifth edition, gives a broad and up-to-date overview of the concepts underlying APS. Special emphasis is given to modeling supply chains and implementing APS successfully in industry. Understanding is enhanced by several case studies covering APS from various software vendors. The fifth edition contains updated material, rewritten chapters and an additional case study.

Quantitative Portfolio Optimization

Author : Miquel Noguer
Publisher : Wiley
ISBN 13 : 9781394281312
Total Pages : 0 pages
Book Rating : 4.2/5 (813 download)

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Book Synopsis Quantitative Portfolio Optimization by : Miquel Noguer

Download or read book Quantitative Portfolio Optimization written by Miquel Noguer and published by Wiley. This book was released on 2024-12-24 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Efficient Asset Management

Author : Richard O. Michaud
Publisher : Oxford University Press
ISBN 13 : 0199887195
Total Pages : 207 pages
Book Rating : 4.1/5 (998 download)

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Book Synopsis Efficient Asset Management by : Richard O. Michaud

Download or read book Efficient Asset Management written by Richard O. Michaud and published by Oxford University Press. This book was released on 2008-03-03 with total page 207 pages. Available in PDF, EPUB and Kindle. Book excerpt: In spite of theoretical benefits, Markowitz mean-variance (MV) optimized portfolios often fail to meet practical investment goals of marketability, usability, and performance, prompting many investors to seek simpler alternatives. Financial experts Richard and Robert Michaud demonstrate that the limitations of MV optimization are not the result of conceptual flaws in Markowitz theory but unrealistic representation of investment information. What is missing is a realistic treatment of estimation error in the optimization and rebalancing process. The text provides a non-technical review of classical Markowitz optimization and traditional objections. The authors demonstrate that in practice the single most important limitation of MV optimization is oversensitivity to estimation error. Portfolio optimization requires a modern statistical perspective. Efficient Asset Management, Second Edition uses Monte Carlo resampling to address information uncertainty and define Resampled Efficiency (RE) technology. RE optimized portfolios represent a new definition of portfolio optimality that is more investment intuitive, robust, and provably investment effective. RE rebalancing provides the first rigorous portfolio trading, monitoring, and asset importance rules, avoiding widespread ad hoc methods in current practice. The Second Edition resolves several open issues and misunderstandings that have emerged since the original edition. The new edition includes new proofs of effectiveness, substantial revisions of statistical estimation, extensive discussion of long-short optimization, and new tools for dealing with estimation error in applications and enhancing computational efficiency. RE optimization is shown to be a Bayesian-based generalization and enhancement of Markowitz's solution. RE technology corrects many current practices that may adversely impact the investment value of trillions of dollars under current asset management. RE optimization technology may also be useful in other financial optimizations and more generally in multivariate estimation contexts of information uncertainty with Bayesian linear constraints. Michaud and Michaud's new book includes numerous additional proposals to enhance investment value including Stein and Bayesian methods for improved input estimation, the use of portfolio priors, and an economic perspective for asset-liability optimization. Applications include investment policy, asset allocation, and equity portfolio optimization. A simple global asset allocation problem illustrates portfolio optimization techniques. A final chapter includes practical advice for avoiding simple portfolio design errors. With its important implications for investment practice, Efficient Asset Management 's highly intuitive yet rigorous approach to defining optimal portfolios will appeal to investment management executives, consultants, brokers, and anyone seeking to stay abreast of current investment technology. Through practical examples and illustrations, Michaud and Michaud update the practice of optimization for modern investment management.

Metaheuristic Approaches to Portfolio Optimization

Author : Ray, Jhuma
Publisher : IGI Global
ISBN 13 : 1522581049
Total Pages : 263 pages
Book Rating : 4.5/5 (225 download)

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Book Synopsis Metaheuristic Approaches to Portfolio Optimization by : Ray, Jhuma

Download or read book Metaheuristic Approaches to Portfolio Optimization written by Ray, Jhuma and published by IGI Global. This book was released on 2019-06-22 with total page 263 pages. Available in PDF, EPUB and Kindle. Book excerpt: Control of an impartial balance between risks and returns has become important for investors, and having a combination of financial instruments within a portfolio is an advantage. Portfolio management has thus become very important for reaching a resolution in high-risk investment opportunities and addressing the risk-reward tradeoff by maximizing returns and minimizing risks within a given investment period for a variety of assets. Metaheuristic Approaches to Portfolio Optimization is an essential reference source that examines the proper selection of financial instruments in a financial portfolio management scenario in terms of metaheuristic approaches. It also explores common measures used for the evaluation of risks/returns of portfolios in real-life situations. Featuring research on topics such as closed-end funds, asset allocation, and risk-return paradigm, this book is ideally designed for investors, financial professionals, money managers, accountants, students, professionals, and researchers.

Optimisation, Econometric and Financial Analysis

Author : Erricos Kontoghiorghes
Publisher : Springer Science & Business Media
ISBN 13 : 3540366261
Total Pages : 275 pages
Book Rating : 4.5/5 (43 download)

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Book Synopsis Optimisation, Econometric and Financial Analysis by : Erricos Kontoghiorghes

Download or read book Optimisation, Econometric and Financial Analysis written by Erricos Kontoghiorghes and published by Springer Science & Business Media. This book was released on 2007-05-17 with total page 275 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book addresses issues associated with the interface of computing, optimisation, econometrics and financial modeling, emphasizing computational optimisation methods and techniques. The first part addresses optimisation problems and decision modeling, plus applications of supply chain and worst-case modeling and advances in methodological aspects of optimisation techniques. The second part covers optimisation heuristics, filtering, signal extraction and time series models. The final part discusses optimisation in portfolio selection and real option modeling.

Portfolio Optimization

Author : Michael J. Best
Publisher : CRC Press
ISBN 13 : 1420085840
Total Pages : 238 pages
Book Rating : 4.4/5 (2 download)

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Book Synopsis Portfolio Optimization by : Michael J. Best

Download or read book Portfolio Optimization written by Michael J. Best and published by CRC Press. This book was released on 2010-03-09 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: Eschewing a more theoretical approach, Portfolio Optimization shows how the mathematical tools of linear algebra and optimization can quickly and clearly formulate important ideas on the subject. This practical book extends the concepts of the Markowitz "budget constraint only" model to a linearly constrained model. Only requiring elementary linear algebra, the text begins with the necessary and sufficient conditions for optimal quadratic minimization that is subject to linear equality constraints. It then develops the key properties of the efficient frontier, extends the results to problems with a risk-free asset, and presents Sharpe ratios and implied risk-free rates. After focusing on quadratic programming, the author discusses a constrained portfolio optimization problem and uses an algorithm to determine the entire (constrained) efficient frontier, its corner portfolios, the piecewise linear expected returns, and the piecewise quadratic variances. The final chapter illustrates infinitely many implied risk returns for certain market portfolios. Drawing on the author’s experiences in the academic world and as a consultant to many financial institutions, this text provides a hands-on foundation in portfolio optimization. Although the author clearly describes how to implement each technique by hand, he includes several MATLAB® programs designed to implement the methods and offers these programs on the accompanying CD-ROM.

Quantitative Portfolio Management

Author : Michael Isichenko
Publisher : John Wiley & Sons
ISBN 13 : 1119821215
Total Pages : 306 pages
Book Rating : 4.1/5 (198 download)

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Book Synopsis Quantitative Portfolio Management by : Michael Isichenko

Download or read book Quantitative Portfolio Management written by Michael Isichenko and published by John Wiley & Sons. This book was released on 2021-09-10 with total page 306 pages. Available in PDF, EPUB and Kindle. Book excerpt: Discover foundational and advanced techniques in quantitative equity trading from a veteran insider In Quantitative Portfolio Management: The Art and Science of Statistical Arbitrage, distinguished physicist-turned-quant Dr. Michael Isichenko delivers a systematic review of the quantitative trading of equities, or statistical arbitrage. The book teaches you how to source financial data, learn patterns of asset returns from historical data, generate and combine multiple forecasts, manage risk, build a stock portfolio optimized for risk and trading costs, and execute trades. In this important book, you’ll discover: Machine learning methods of forecasting stock returns in efficient financial markets How to combine multiple forecasts into a single model by using secondary machine learning, dimensionality reduction, and other methods Ways of avoiding the pitfalls of overfitting and the curse of dimensionality, including topics of active research such as “benign overfitting” in machine learning The theoretical and practical aspects of portfolio construction, including multi-factor risk models, multi-period trading costs, and optimal leverage Perfect for investment professionals, like quantitative traders and portfolio managers, Quantitative Portfolio Management will also earn a place in the libraries of data scientists and students in a variety of statistical and quantitative disciplines. It is an indispensable guide for anyone who hopes to improve their understanding of how to apply data science, machine learning, and optimization to the stock market.

High-dimensionality in Statistics and Portfolio Optimization

Author : Konstantin Glombek
Publisher : BoD – Books on Demand
ISBN 13 : 3844102132
Total Pages : 150 pages
Book Rating : 4.8/5 (441 download)

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Book Synopsis High-dimensionality in Statistics and Portfolio Optimization by : Konstantin Glombek

Download or read book High-dimensionality in Statistics and Portfolio Optimization written by Konstantin Glombek and published by BoD – Books on Demand. This book was released on 2012 with total page 150 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Linear and Mixed Integer Programming for Portfolio Optimization

Author : Renata Mansini
Publisher : Springer
ISBN 13 : 3319184822
Total Pages : 131 pages
Book Rating : 4.3/5 (191 download)

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Book Synopsis Linear and Mixed Integer Programming for Portfolio Optimization by : Renata Mansini

Download or read book Linear and Mixed Integer Programming for Portfolio Optimization written by Renata Mansini and published by Springer. This book was released on 2015-06-10 with total page 131 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents solutions to the general problem of single period portfolio optimization. It introduces different linear models, arising from different performance measures, and the mixed integer linear models resulting from the introduction of real features. Other linear models, such as models for portfolio rebalancing and index tracking, are also covered. The book discusses computational issues and provides a theoretical framework, including the concepts of risk-averse preferences, stochastic dominance and coherent risk measures. The material is presented in a style that requires no background in finance or in portfolio optimization; some experience in linear and mixed integer models, however, is required. The book is thoroughly didactic, supplementing the concepts with comments and illustrative examples.

Optimization Models for Applications in Portfolio Management and Advertising Industry

Author : Lu Chang
Publisher :
ISBN 13 :
Total Pages : 70 pages
Book Rating : 4.:/5 (835 download)

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Book Synopsis Optimization Models for Applications in Portfolio Management and Advertising Industry by : Lu Chang

Download or read book Optimization Models for Applications in Portfolio Management and Advertising Industry written by Lu Chang and published by . This book was released on 2013 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt: Optimization problems in two different application fields are investigated: the first one is the popular portfolio optimization problem and the second one is the newly developed online display advertising problem. The portfolio optimization problem has two main concerns: an appropriate statistical input data, which is improved with the use of factor model and, the inclusion of the transaction cost function into the original objective function. Two methods are applied to solve the optimization problem, namely, the conditional value at risk (CVaR) method and the reliability based (RB) method. Asset allocation problem in finance continues to be of practical interest because decisions as to where to invest must be made to maximize the total return and minimizing the risk of not attaining the target return. However, the commonly used Markowitz method, also known as the mean-variance approach, uses historic stock prices data and has been facing problems of parameter estimation and short sample errors. An alternative method that attempts to overcome this problem is the use of factor models. This thesis will explain this model in addition to explaining the basic portfolio optimization problem. Conditional value at risk and the reliability based optimization method are applied to solve the portfolio optimization problem with the consideration of transaction costs in the objective function. They are applied and evaluated by simulation in terms of their convergence, efficiency and results. The online display advertising problem extends a normal deterministic revenue optimization model to a stochastic allocation model. The incorporation of randomness makes it more realistic for the estimation of demand, supply and market price. Revenues are considered as a combination of gains from guaranteed contracts and unguaranteed spot market. The objective is not only to maximize the revenue but also to consider the quality of ads, so that the whole market obtains long-term benefits and stability. The thesis accomplishes in solving the online display advertising allocation problem in a stochastic case with the measure of conditional value at risk algorithm.

Advanced Studies in Multi-Criteria Decision Making

Author : Sarah Ben Amor
Publisher : CRC Press
ISBN 13 : 1351722107
Total Pages : 177 pages
Book Rating : 4.3/5 (517 download)

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Book Synopsis Advanced Studies in Multi-Criteria Decision Making by : Sarah Ben Amor

Download or read book Advanced Studies in Multi-Criteria Decision Making written by Sarah Ben Amor and published by CRC Press. This book was released on 2019-12-11 with total page 177 pages. Available in PDF, EPUB and Kindle. Book excerpt: With contributions from some of the top academics and scientists in the field, Advanced Studies in Multi-Criteria Decision Making presents an updated view of the landscape of Decision Sciences, current research topics, the interaction with other sciences and fields, as well as the prospects and challenges at an international level. Given that Decision Sciences are recognized today as indispensable for confronting the major societal challenges in science and technology, this book would be of interest to decision-makers, managers, and researchers from academia, and industrial/services companies that would like a fresh insight into MCDM. Features Integrates a wide range of scientific fields with a general reader approach, including applied researchers from the social, business, enterprise sciences Suitable for academics and professionals Presents a broad coverage of MCDM tools either in industry or in services companies and systems Provides a fresh overview on MCDM studies promoted by prestigious R&D institutions

Management Science using Excel

Author : Dr. Isaac Gottlieb
Publisher : BPB Publications
ISBN 13 : 9355518811
Total Pages : 375 pages
Book Rating : 4.3/5 (555 download)

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Book Synopsis Management Science using Excel by : Dr. Isaac Gottlieb

Download or read book Management Science using Excel written by Dr. Isaac Gottlieb and published by BPB Publications. This book was released on 2023-08-24 with total page 375 pages. Available in PDF, EPUB and Kindle. Book excerpt: A practical guide to using Excel for decision making, forecasting, optimization, and more KEY FEATURES ● Solve a wide range of decision-making problems in operations, finance, and statistics. ● Build and use Excel models to analyze data and make informed decisions. ● Use the Excel Solve function to find the optimal solution to a problem. DESCRIPTION This book on management science serves as a valuable resource for enhancing problem-solving and decision-making skills across various domains, including organizations and business. By reading this book, you will acquire the ability to tackle complex decisions that would otherwise be challenging. The book covers a wide array of techniques, such as profit and performance maximization, Return on Investment (ROI) optimization, as well as cost, time, and risk minimization through tools like Monte Carlo simulations and sensitivity analysis. Throughout the book, you'll come across numerous real-life examples and case studies from diverse fields such as banking, finance, transportation, manufacturing, manpower assignment, scheduling, inventory management, and even food and product mix. The book demonstrates both linear and nonlinear techniques, utilizing Excel Solver for finding solutions. Once you grasp the usage of Solver, you'll be able to apply the learned tools effectively to address problems relevant to your background, experience, and preferences. What sets this book apart is its hands-on approach, leveraging Excel as the primary tool for problem-solving. Rather than relying on complex mathematical formulations and algorithms, you'll learn how to set up and solve problems in a straightforward manner using Excel. WHAT YOU WILL LEARN ● Learn how to set up decision making models on Excel. ● Solve optimization problems in the areas of business and operations. ● Harness the power of the Excel Solver add-in. ● Apply Monte Carlo simulations of risky investments using Excel. ● Learn how to predict future values using Excel forecasting features. WHO THIS BOOK IS FOR This book is for any business or operations practitioner, regardless of their role or experience level. Whether you are an analyst, a business professional, or a student, this book can help you to improve your problem-solving and decision-making skills. TABLE OF CONTENTS 1. Making Better Decisions with Management Science 2. Exploring Management Science Optimization Techniques 3. Unleash the Power of Excel’s Solver for Optimizations 4. Optimize Product Mix 5. Investment and Portfolio Optimization with Excel’s Solver 6. The Assignment Problem Challenges and Solutions 7. Solving Transportation Supply Chain Problems 8. Marketing Applications of Optimal Media Mix 9. Integer and Binary Optimization 10. The Scheduling Puzzle 11. Nonlinear Optimization Applied to Inventory and Facility Location 12. Monte Carlo Simulations 13. Simplifying Forecasting Using Excel’s Forecast Sheet Feature 14. Queuing and Waiting Time

Distributed Optimization and Statistical Learning Via the Alternating Direction Method of Multipliers

Author : Stephen Boyd
Publisher : Now Publishers Inc
ISBN 13 : 160198460X
Total Pages : 138 pages
Book Rating : 4.6/5 (19 download)

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Book Synopsis Distributed Optimization and Statistical Learning Via the Alternating Direction Method of Multipliers by : Stephen Boyd

Download or read book Distributed Optimization and Statistical Learning Via the Alternating Direction Method of Multipliers written by Stephen Boyd and published by Now Publishers Inc. This book was released on 2011 with total page 138 pages. Available in PDF, EPUB and Kindle. Book excerpt: Surveys the theory and history of the alternating direction method of multipliers, and discusses its applications to a wide variety of statistical and machine learning problems of recent interest, including the lasso, sparse logistic regression, basis pursuit, covariance selection, support vector machines, and many others.