A multiobjective model for passive portfolio management: an application on the S&P 100 index

This is an author's accepted manuscript of an article published in: “Journal of Business Economics and Management"; Volume 14, Issue 4, 2013; copyright Taylor & Francis; available online at: http://dx.doi.org/10.3846/16111699.2012.668859Index tracking seeks to minimize the unsystematic risk component by imitating the movements of a reference index. Partial index tracking only considers a subset of the stocks in the index, enabling a substantial cost reduction in comparison with full tracking. Nevertheless, when heterogeneous investment profiles are to be satisfied, traditional index tracking techniques may need different stocks to build the different portfolios. The aim of this paper is to propose a methodology that enables a fund s manager to satisfy different clients investment profiles but using in all cases the same subset of stocks, and considering not only one particular criterion but a compromise between several criteria. For this purpose we use a mathematical programming model that considers the tracking error variance, the excess return and the variance of the portfolio plus the curvature of the tracking frontier. The curvature is not defined for a particular portfolio, but for all the portfolios in the tracking frontier. This way funds managers can offer their clients a wide range of risk-return combinations just picking the appropriate portfolio in the frontier, all of these portfolios sharing the same shares but with different weights. An example of our proposal is applied on the S&P 100.García García, F.; Guijarro Martínez, F.; Moya Clemente, I. (2013). A multiobjective model for passive portfolio management: an application on the S&P 100 index. Journal of Business Economics and Management. 14(4):758-775. doi:10.3846/16111699.2012.668859S758775144Aktan, B., Korsakienė, R., & Smaliukienė, R. (2010). TIME‐VARYING VOLATILITY MODELLING OF BALTIC STOCK MARKETS. Journal of Business Economics and Management, 11(3), 511-532. doi:10.3846/jbem.2010.25Ballestero, E., & Romero, C. (1991). A theorem connecting utility function optimization and compromise programming. Operations Research Letters, 10(7), 421-427. doi:10.1016/0167-6377(91)90045-qBeasley, J. E. (1990). OR-Library: Distributing Test Problems by Electronic Mail. Journal of the Operational Research Society, 41(11), 1069-1072. doi:10.1057/jors.1990.166Beasley, J. E., Meade, N., & Chang, T.-J. (2003). An evolutionary heuristic for the index tracking problem. European Journal of Operational Research, 148(3), 621-643. doi:10.1016/s0377-2217(02)00425-3Canakgoz, N. A., & Beasley, J. E. (2009). Mixed-integer programming approaches for index tracking and enhanced indexation. European Journal of Operational Research, 196(1), 384-399. doi:10.1016/j.ejor.2008.03.015Connor, G., & Leland, H. (1995). Cash Management for Index Tracking. Financial Analysts Journal, 51(6), 75-80. doi:10.2469/faj.v51.n6.1952Corielli, F., & Marcellino, M. (2006). Factor based index tracking. Journal of Banking & Finance, 30(8), 2215-2233. doi:10.1016/j.jbankfin.2005.07.012Derigs, U., & Nickel, N.-H. (2004). On a Local-Search Heuristic for a Class of Tracking Error Minimization Problems in Portfolio Management. Annals of Operations Research, 131(1-4), 45-77. doi:10.1023/b:anor.0000039512.98833.5aDose, C., & Cincotti, S. (2005). Clustering of financial time series with application to index and enhanced index tracking portfolio. Physica A: Statistical Mechanics and its Applications, 355(1), 145-151. doi:10.1016/j.physa.2005.02.078Focardi, S. M., & Fabozzi 3, F. J. (2004). A methodology for index tracking based on time-series clustering. Quantitative Finance, 4(4), 417-425. doi:10.1080/14697680400008668Gaivoronski, A. A., Krylov, S., & van der Wijst, N. (2005). Optimal portfolio selection and dynamic benchmark tracking. European Journal of Operational Research, 163(1), 115-131. doi:10.1016/j.ejor.2003.12.001Hallerbach, W. G., & Spronk, J. (2002). The relevance of MCDM for financial decisions. Journal of Multi-Criteria Decision Analysis, 11(4-5), 187-195. doi:10.1002/mcda.328Jarrett, J. E., & Schilling, J. (2008). DAILY VARIATION AND PREDICTING STOCK MARKET RETURNS FOR THE FRANKFURTER BÖRSE (STOCK MARKET). Journal of Business Economics and Management, 9(3), 189-198. doi:10.3846/1611-1699.2008.9.189-198Roll, R. (1992). A Mean/Variance Analysis of Tracking Error. The Journal of Portfolio Management, 18(4), 13-22. doi:10.3905/jpm.1992.701922Rudolf, M., Wolter, H.-J., & Zimmermann, H. (1999). A linear model for tracking error minimization. Journal of Banking & Finance, 23(1), 85-103. doi:10.1016/s0378-4266(98)00076-4Ruiz-Torrubiano, R., & Suárez, A. (2008). A hybrid optimization approach to index tracking. Annals of Operations Research, 166(1), 57-71. doi:10.1007/s10479-008-0404-4Rutkauskas, A. V., & Stasytyte, V. (s. f.). Decision Making Strategies in Global Exchange and Capital Markets. Advances and Innovations in Systems, Computing Sciences and Software Engineering, 17-22. doi:10.1007/978-1-4020-6264-3_4Tabata, Y., & Takeda, E. (1995). Bicriteria Optimization Problem of Designing an Index Fund. Journal of the Operational Research Society, 46(8), 1023-1032. doi:10.1057/jors.1995.139Teresienė, D. (2009). LITHUANIAN STOCK MARKET ANALYSIS USING A SET OF GARCH MODELS. Journal of Business Economics and Management, 10(4), 349-360. doi:10.3846/1611-1699.2009.10.349-36

Taxonomic classification of planning decisions in health care: a review of the state of the art in OR/MS

We provide a structured overview of the typical decisions to be made in resource capacity planning and control in health care, and a review of relevant OR/MS articles for each planning decision. The contribution of this paper is twofold. First, to position the planning decisions, a taxonomy is presented. This taxonomy provides health care managers and OR/MS researchers with a method to identify, break down and classify planning and control decisions. Second, following the taxonomy, for six health care services, we provide an exhaustive specification of planning and control decisions in resource capacity planning and control. For each planning and control decision, we structurally review the key OR/MS articles and the OR/MS methods and techniques that are applied in the literature to support decision making

Practices for strategic capacity management in Malaysian manufacturing firms

While the notion of manufacturing capabilities is a long-standing notion in research on operations management, its actual implementation and management has been hardly researched. Five case studies in Malaysia offered the opportunity to examine the practice of manufacturing managers with regard to strategic capability management. The data collection and analysis was structured by using the notion of Strategic Capacity Management. Whereas traditionally literature has demonstrated the beneficial impact of an appropriate manufacturing strategy on the business strategy and performance, the study highlights the difficulty of managers to set the strategy, let alone implementing it. This is partly caused by the immense pressure of customers in these dominantly Make-To-Order environments for SMEs. Current concepts for manufacturing capabilities have insufficiently accounted this phenomenon and an outline of a research agenda is presented

Un modelo integrado para el enrutamiento de aeronaves y la programación de la tripulación: Relajación lagrangiana y algoritmo metaheurístico

[EN] Airline optimization is a significant problem in recent researches and airline industryl as it can determine the level of service, profit and competition status of the airline. Aircraft and crew are expensive resources that need efficient utilization. This paper focuses simultaneously on two major issues including aircraft maintenance routing and crew scheduling. Several key issues such as aircraft replacement, fairly night flights assignment and long-life aircrafts are considered in this model. We used the flight hours as a new framework to control aircraft maintenance. At first, an integrated mathematical model for aircraft routing and crew scheduling problems is developed with the aim of cost minimization. Then, Lagrangian relaxation and Particle Swarm Optimization algorithm (PSO) are used as the solution techniques. To evaluate the efficiency of solution approaches, model is solved with different numerical examples in small, medium and large sizes and compared with GAMS output. The results show that Lagrangian relaxation method provides better solutions comparing to PSO and also has a very small gap to optimum solution.[ES] La optimización de aerolíneas es un problema importante en investigaciones recientes e industria de aerolíneas, ya que puede determinar el nivel de servicio, el beneficio y el estado de competencia de la aerolínea. Las aeronaves y la tripulación son recursos costosos que necesitan una utilización eficiente. Este artículo se centra simultáneamente en dos cuestiones principales, incluyendo el enrutamiento de mantenimiento de aeronaves y la programación de la tripulación. En este modelo se consideran varios temas clave, como el reemplazo de aeronaves, la asignación de vuelos nocturnos y los aviones envejecidos. Usamos las horas de vuelo como un nuevo marco para controlar el mantenimiento de las aeronaves. Al principio, se desarrolla un modelo matemático integrado para el enrutamiento de aeronaves y los problemas de programación de la tripulación con el objetivo de la minimización de costos. A continuación, se utilizan como técnicas de solución la relajación lagran-giana y el algoritmo “Particle Swarm Optimization” (PSO). Para evaluar la eficiencia de los en-foques de la solución, el modelo se resuelve con diferentes ejemplos numéricos en tamaños pequeños, medianos y grandes y se compara con la salida GAMS. Los resultados muestran que el método de relajación lagrangiana proporciona mejores soluciones en comparación con PSO y también tiene una pequeña diferencia para una solución óptimaMirjafari, M.; Rashidi Komijan, A.; Shoja, A. (2020). An integrated model for aircraft routing and crew scheduling: Lagrangian Relaxation and metaheuristic algorithm. WPOM-Working Papers on Operations Management. 11(1):25-38. https://doi.org/10.4995/wpom.v11i1.12891OJS2538111Al-Thani, Nayla Ahmad, Ben Ahmed, Mohamed and Haouari, Mohamed (2016). A model and optimization-based heuristic for the operational aircraft maintenance routing problem, Transportation Research Part C: Emerging Technologies, Volume 72, Pages 29-44. https://doi.org/10.1016/j.trc.2016.09.004Azadeh, A., HosseinabadiFarahani, M., Eivazy, H., Nazari-Shirkouhi, S., &Asadipour, G. (2013). A hybrid meta-heuristic algorithm for optimization of crew scheduling, Applied Soft Computing, Volume 13, Pages 158-164. https://doi.org/10.1016/j.asoc.2012.08.012Barnhart C. and Cohn, A. (2004). Airline schedule planning: Accomplishments and opportunities, Manufacturing & Service Operations Management, 6(1):3-22, 47, 69, 141, 144. https://doi.org/10.1287/msom.1030.0018Basdere, Mehmet and Bilge, Umit (2014). Operational aircraft maintenance routing problem with remaining time consideration, European Journal of Operational Research, Volume 235, Pages 315-328. https://doi.org/10.1016/j.ejor.2013.10.066Bazargan, Massoud (2010). Airline Operations and scheduling second edition, Embry-Riddle Aeronautical University, USA, Ashgate publishing limite.Belien, Jeroen, Demeulemeester, Eric and Brecht (2010). Integrated staffing and scheduling for an aircraft line maintenance problem, HUB RESEARCH PAPER Economics & Management.Ben Ahmed, M., Zeghal Mansour, Farah and Haouari, Mohamed (2018). Robust integrated maintenance aircraft routing and crew pairing, Journal of Air Transport Management, Volume 73, Pages 15-31. https://doi.org/10.1016/j.jairtraman.2018.07.007Ben Ahmed, M., Zeghal Mansour, F., Haouari, M. (2017). A two-level optimization approach for robust aircraft routing and retiming, Computers and Industrial Engineering, Volume 112, Pages 586-594. https://doi.org/10.1016/j.cie.2016.09.021Borndorfer, R., Schelten, U., Schlechte, T., Weider, S. (2006). A column generation approach to airline crew scheduling, Springer Berlin Heidelberg, Pages 343-348. https://doi.org/10.1007/3-540-32539-5_54Clarke, L., E. Johnson, G. Nemhauser, Z. Zhu. (1997). The Aircraft Rotation Problem. Annals of Operations Research, 69, Pages 33-46. https://doi.org/10.1023/A:1018945415148Deveci, Muhammet and ÇetinDemirel, Nihan (2018). Evolutionary algorithms for solving the airline crew pairing problem, Computers & Industrial Engineering, Volume 115, Pages 389-406. https://doi.org/10.1016/j.cie.2017.11.022Dozic, S., Kalic, M. (2015). Three-stage airline fleet planning model, J. Air Transport. Manag, 43, Pages 30-39. https://doi.org/10.1016/j.jairtraman.2015.03.011Eltoukhy, A.E., Chan, F.T., Chung, S. (2017). Airline schedule planning: a review and future directions, Ind. Manag. Data Syst, 117(6), Pages 1201-1243. https://doi.org/10.1108/IMDS-09-2016-0358Feo, T. A., J. F. Bard. (1989). Flight Scheduling and Maintenance Base Planning. Management Science, 35(12), Pages 1415-1432. https://doi.org/10.1287/mnsc.35.12.1415Goffin, J. L. (1977). On the convergence rates of subgradient optimization methods. Math. Programming, 13, Pages 329-347. https://doi.org/10.1007/BF01584346Gopalakrishnan, B., Johnson, E. L (2005). Airline crew scheduling, State-of-the-art. Ann. Oper. Res, 140(1), Pages 305-337. https://doi.org/10.1007/s10479-005-3975-3Held, M. and Karp, R.M. (1970). The Traveling-Salesman Problem and Minimum SpanningTrees. Operations Research, 18, 1138-1162. https://doi.org/10.1287/opre.18.6.1138Held, M. Wolfe, P., Crowder, H. D. (1974). Validation of subgradient optimization, Math. Programming, 6, 62-88. https://doi.org/10.1007/BF01580223Jamili, Amin (2017). A robust mathematical model and heuristic algorithms for integrated aircraft routing and scheduling, with consideration of fleet assignment problem, Journal of Air Transport Management, Volume 58, Pages 21-30. https://doi.org/10.1016/j.jairtraman.2016.08.008Jiang, H., Barnhart, C. (2009) Dynamic airline scheduling, Transport. Sci, 43(3), Pages 336-354. https://doi.org/10.1287/trsc.1090.0269Kasirzadeh, A., Saddoune, M., Soumis, F. (2015). Airline crew scheduling: models, algorhitms and data sets, Euro Journal on Transportation and Logistics, 6(2), Pages 111-137. https://doi.org/10.1007/s13676-015-0080-xLacasse-Guay, E., Desaulniers, G., Soumis, F. (2010). Aircraft routing under different business processes, J. Air Transport. Manag, 16(5), Pages 258-263. https://doi.org/10.1016/j.jairtraman.2010.02.001Muter, İbrahim, Birbil, Ş. İlker, Bülbül, Kerem, Şahin, Güvenç,Yenigün, Hüsnü, Taş,Duygu andTüzün, Dilek (2013). Solving a robust airline crew pairing problem with column generation, Computers & Operations Research, Volume 40, Issue 3, Pages 815-830. https://doi.org/10.1016/j.cor.2010.11.005Saddoune, Mohammed, Desaulniers, Guy, Elhallaoui, Issmail and François Soumis (2011). Integrated airline crew scheduling: A bi-dynamic constraint aggregation method using neighborhoods, European Journal of Operational Research, Volume 212, Pages 445-454. https://doi.org/10.1016/j.ejor.2011.02.009Safaei, Nima and K.S.Jardine, Andrew (2018). Aircraft routing with generalized maintenance constraints, Omega, Volume 80, Pages 111-122. https://doi.org/10.1016/j.omega.2017.08.013Shao Shengzhi (2012). Integrated Aircraft Fleeting, Routing, and Crew Pairing Models and Algorithms for the Airline Industry, Faculty of the Virginia Polytechnic Institute and State University In Partial Fulfillment of the Requirements for the Degree of Doctor of Philosophy in Industrial and Systems Engineering.Shao, S., Sherali, H.D., Haouari, M. (2017). A novel model and decomposition approach for the integrated airline fleet assignment, aircraft routing, crew pairing problem, Transport. Sci, 51(1), Pages 233-249. https://doi.org/10.1287/trsc.2015.0623Sherali, H.D., Bish, E.K., Zhu, X. (2006). Airline fleet assignment concepts, models and algorithms, Eur. J. Oper. Res, 172(1), Pages 1-30. https://doi.org/10.1016/j.ejor.2005.01.056Warburg, V., Hansen, T.G., Larsen, A., Norman, H., Andersson, E. (2008). Dynamic airline scheduling: an analysis of potentials of refleeting and retiming, J. Air Transport. Manag. 14(4), Pages 163-167. https://doi.org/10.1016/j.jairtraman.2008.03.004Yan, C. and Kung, J. (2018). Robust aircraft routing, Transport. Sci, 52(1), Pages 118-133. https://doi.org/10.1287/trsc.2015.0657Yen, J.W., Birge, J.R., (2006). A stochastic programming approach to the airline crew scheduling problem. Transportation Science, Volume 40, Pages 3-14. https://doi.org/10.1287/trsc.1050.0138Yu, G. (1998). Operation Research in the Airline Industry. Springer, New York, NY. https://doi.org/10.1007/978-1-4615-5501-8Zeren, Bahadir and Ozkol, Ibrahim (2016). A novel column generation strategy foe large scale airline crew pairing problems, Expert system with applications, Volume 55, Pages 133-144. https://doi.org/10.1016/j.eswa.2016.01.045Zhang, Dong, Lau, H.Y.K. Henry and Yu, Chuhang (2015). A two stage heuristic algorithm for the integrated aircraft and crew schedule recovery problems, Computers and Industrial Engineering, Volume 87, Pages 436-453. https://doi.org/10.1016/j.cie.2015.05.03

Large scale railway renewal planning with a multiobjective modeling approach

Conferência realizada na Filândia, Helsinquia, de 20-24 de agosto de 2018A multiobjective modeling approach for managing large scale railway infrastructure asset renewal is presented. An optimized intervention project schedule is obtained considering operational constraints in a three objectives model: evenly spreading investment throughout multiple years, minimizing total cost, minimizing work start postponements on higher priority railway sections. The MILP model was based on a real world case study; the objectives and constraints specified by an infrastructure management company. Results show that investment spreading greatly influences the other objectives and that total cost fluctuations depend on the overall condition of the railway infrastructure. The model can produce exact efficient solutions in reasonable time, even for very large-sized instances (a test network of similar size to the USA railway network, the largest in the world). The modeling approach is therefore a very useful, practical methodology, for generating optimized solutions and analyzing trade-offs among objectives, easing the task of ultimately selecting a solution and produce the works schedule for field implementation.info:eu-repo/semantics/publishedVersio

Cultural accessible pedestrian ways. The case of Faro historic centre

In a historic city the existence of accessible pedestrian routes constitutes an essential feature to a true access to culture heritage, contributing for processes of social inclusion. It is necessary to create accessible pedestrian infrastructures network to hold a set of attributes that guarantee usability for all citizens. The creation and design of an accessible physical environment should be considered as a criterion of urban quality, which will make walking more pleasant not only for the elderly and people with disabilities but, also, for the entire resident population and tourists. In this case study it is ascertainable whether the physical characteristics of pedestrian infrastructures of cultural interest, located in the Historical Centre of Faro (Portugal), comply with the requirements of the National Law of Accessibility. There has, therefore, been created a methodology for evaluating the accessibility of pedestrian infrastructure through the construction of performance indicators. The analysis is achieved through a model of evaluation of the degree of conformity of the spaces, and presented, spatially, with appeal to a Geographical Information System, which is a tool to support the decision taking in the processes of urban rehabilitation, thus contributing to the choice of priority areas of intervention in the field of accessibility. The diagnosis confirms the existence of inaccessible pedestrian infrastructure and concludes the need to trigger processes of urban renovation.info:eu-repo/semantics/publishedVersio

Technical and economic feasibility of gradual concentric chambers reactor for sewage treatment in developing countries

A major challenge in developing countries concerning domestic wastewaters is to decrease their treatment costs. In the present study, a new cost-effective reactor called gradual concentric chambers (GCC) was designed and evaluated at lab-scale. The effluent quality of the GCC reactor was compared with that of an upflow anaerobic sludge bed (UASB) reactor. Both reactors showed organic matter removal efficiencies of 90%; however, the elimination of nitrogen was higher in the GCC reactor. The amount of biogas recovered in the GCC and the UASB systems was 50% and 75% of the theoretical amount expected, respectively, and both reactors showed a slightly higher methane production when the feed was supplemented with an additive based on vitamins and minerals. Overall, the economical analysis, the simplicity of design and the performance results revealed that the GCC technology can be of particular interest for sewage treatment in developing countries