Sensitivity analysis of asset allocation : in the presence of correlation

Linearization of portfolio optimization plays a central role in financial studies, since linear problem allows for performing sensitivity analysis. This concept makes it possible to measure the variation of parameters as a result of variation of one parameter in a linear problem, without solving the problem from scratch. Based on the existing literatures, the approach of CVaR (conditional value at risk) method outperforms other methods, therefore in this study CVaR is applied as a constraint to change portfolio optimization problem into a linear problem. The coefficient of objective function of mentioned method for a portfolio includes average of asset returns, which are highly correlated. Here principal component analysis is employed to convert the correlation of the functional relations. An example of stock market is employed to substantiate the validity of method. Finally, we verify that the result of the presented method is closer to the ideal result.peer-reviewe

New conditions for testing necessarily/possibly efficiency of non-degenerate basic solutions based on the tolerance approach

In this paper, a specific type of multiobjective linear programming problem with interval objective func- tion coefficients is studied. Usually, in such problems, it is not possible to obtain an optimal solution which optimizes simultaneously all objective functions in the interval multiobjective linear programming (IMOLP) problem, requiring the selection of a compromise solution. In conventional multiobjective pro- gramming problems these compromise solutions are called efficient solutions. However, the efficiency cannot be defined in a unique way in IMOLP problems. Necessary efficiency and possible efficiency have been considered as two natural extensions of efficiency to IMOLP problems. In this case, necessarily ef- ficient solutions may not exist and the set of possibly efficient solutions usually has an infinite number of elements. Furthermore, it has been concluded that the problem of checking necessary efficiency is co- NP-complete even for the case of only one objective function. In this paper, we explore new conditions for testing necessarily/possibly efficiency of basic non-degenerate solutions in IMOLP problems. We show properties of the necessarily efficient solutions in connection with possibly and necessarily optimal solu- tions to the related single objective problems. Moreover, we utilize the tolerance approach and sensitivity analysis for testing the necessary efficiency. Finally, based on the new conditions, a procedure to obtain some necessarily efficient and strictly possibly efficient solutions to multiobjective problems with interval objective functions is suggested.This research was partly supported by the Spanish Ministry of Economy and Competitiveness (project ECO2017-88883-R ) and by the Fundação para a Ciência e a Tecnologia (FCT) under project grant UID/Multi/00308/2019 . This work has been also partly sup- ported by the Consejería de Innovación, Ciencia y Empresa de la Junta de Andalucía (PAI group SEJ-532 ). Carla Oliveira Henriques also acknowledges the training received from the University of Malaga PhD Programme in Economy and Business [Programa de Doctorado en Economía y Empresa de la Universidad de Malaga]. José Rui Figueira acknowledges the support from the FCT grant SFRH/BSAB/139892/2018 under POCH Program and to the DOME (Discrete Optimization Methods for Energy management) FCT Re- search Project (Ref: PTDC/CCI-COM/31198/2017)

Nutrition and Diet Factors in Type 2 Diabetes

We are experiencing a worldwide epidemic of diabetes. Diabetes mellitus has become a major public health burden. Approximately seven million people develop diabetes in both developed and developing countries every year, with the most dramatic increases occurring in Type 2 Diabetes. Especially alarming, is the rising incidence of Type 2 Diabetes in obese children before puberty. In April 2017, a Special Issue of Nutrients entitled “Nutrition and Diet Factors in Type 2 Diabetes” closed with 19 published papers—eight original studies on humans, five on animals, one brief report and five reviews. The focus of the issue was on nutrition, diet factors, whole foods, broad dietary and lifestyle strategies, dietary patterns, intensive personalized treatments, nutritional prevention programs, and food policies that can be used in the development, treatment, and prevention of DM2. Nutrition and Diet Factors in Type 2 Diabetes is written for clinical and academic nutritionists, for registered dietitians, health professionals, graduate students, and for everybody with deeper interest in diabetes care. Studies and reviews presented here demonstrate that diabetes research is extensive and vibrant and the prevention, treatment and reversal of diabetes are achievable, economical, powerful, and possible

Stability aspects of the traveling salesman problem based on k-best solutions

AbstractThis paper discusses stability analysis for the Traveling Salesman Problem (TSP). For a traveling salesman tour which is known to be optimal with respect to a given instance (length vector) we are interested in determining the stability region, i.e. the set of all length vectors for which the tour is optimal. The following three subsets of the stability region are of special interest: 1.(1) tolerances, i.e. the maximum perturbations of single edges;2.(2) tolerance regions which are subsets of the stability region that can be constructed from the tolerances; and3.(3) the largest ball contained in the stability region centered at the given length vector (the corresponding radius is known as the stability radius). It is well known that the problems of determining tolerances and the stability radius for the TSP are NP-hard so that in general it is not possible to obtain the above-mentioned three subsets without spending a lot of computation time. The question addressed in this paper is the following: assume that not only an optimal tour is known, but also a set of k shortest tours (k ⩾2) is given. Then to which extent does this allow us to determine the three subsets in polynomial time? It will be shown in this paper that having k-best solutions can give the desired information only partially. More precisely, it will be shown that only some of the tolerances can be determined exactly and for the other ones as well as for the stability radius only lower and/or upper bounds can be derived. Since the amount of information that can be derived from the set of k-best solutions is dependent on both the value of k as well as on the specific length vector, we present numerical experiments on instances from the TSPLIB library to analyze the effectiveness of our approach

TOLERANCE SENSITIVITY ANALYSIS: THIRTY YEARS LATER

Tolerance sensitivity analysis was conceived in 1980 as a pragmatic approach to effectively characterize a parametric region over which objective function coefficients and right-hand-side terms in linear programming could vary simultaneously and independently while maintaining the same optimal basis. As originally proposed, the tolerance region corresponds to the maximum percentage by which coefficients or terms could vary from their estimated values. Over the last thirty years the original results have been extended in a number of ways and applied in a variety of applications. This paper is a critical review of tolerance sensitivity analysis, including extensions and applications

Autonomous flight and remote site landing guidance research for helicopters

Automated low-altitude flight and landing in remote areas within a civilian environment are investigated, where initial cost, ongoing maintenance costs, and system productivity are important considerations. An approach has been taken which has: (1) utilized those technologies developed for military applications which are directly transferable to a civilian mission; (2) exploited and developed technology areas where new methods or concepts are required; and (3) undertaken research with the potential to lead to innovative methods or concepts required to achieve a manual and fully automatic remote area low-altitude and landing capability. The project has resulted in a definition of system operational concept that includes a sensor subsystem, a sensor fusion/feature extraction capability, and a guidance and control law concept. These subsystem concepts have been developed to sufficient depth to enable further exploration within the NASA simulation environment, and to support programs leading to the flight test