A review of portfolio planning: Models and systems

In this chapter, we first provide an overview of a number of portfolio planning models which have been proposed and investigated over the last forty years. We revisit the mean-variance (M-V) model of Markowitz and the construction of the risk-return efficient frontier. A piecewise linear approximation of the problem through a reformulation involving diagonalisation of the quadratic form into a variable separable function is also considered. A few other models, such as, the Mean Absolute Deviation (MAD), the Weighted Goal Programming (WGP) and the Minimax (MM) model which use alternative metrics for risk are also introduced, compared and contrasted. Recently asymmetric measures of risk have gained in importance; we consider a generic representation and a number of alternative symmetric and asymmetric measures of risk which find use in the evaluation of portfolios. There are a number of modelling and computational considerations which have been introduced into practical portfolio planning problems. These include: (a) buy-in thresholds for assets, (b) restriction on the number of assets (cardinality constraints), (c) transaction roundlot restrictions. Practical portfolio models may also include (d) dedication of cashflow streams, and, (e) immunization which involves duration matching and convexity constraints. The modelling issues in respect of these features are discussed. Many of these features lead to discrete restrictions involving zero-one and general integer variables which make the resulting model a quadratic mixed-integer programming model (QMIP). The QMIP is a NP-hard problem; the algorithms and solution methods for this class of problems are also discussed. The issues of preparing the analytic data (financial datamarts) for this family of portfolio planning problems are examined. We finally present computational results which provide some indication of the state-of-the-art in the solution of portfolio optimisation problems

From Models to Simulations

This book analyses the impact computerization has had on contemporary science and explains the origins, technical nature and epistemological consequences of the current decisive interplay between technology and science: an intertwining of formalism, computation, data acquisition, data and visualization and how these factors have led to the spread of simulation models since the 1950s. Using historical, comparative and interpretative case studies from a range of disciplines, with a particular emphasis on the case of plant studies, the author shows how and why computers, data treatment devices and programming languages have occasioned a gradual but irresistible and massive shift from mathematical models to computer simulations

IMPACT OF THE CAP REFORM ON THE SPANISH AGRICULTURAL SECTOR

This paper analyses the impact of the 2003 CAP reform on Spanish agricultural sector in the context of the recent CAP Health Check and high food prices, using PROMAPA, a positive mathematical programming model for representative farms. The analysis compares the model results for base year 2002 to the findings for a scenario with the CAP reform measures in place, taking into account recent modifications. The effect of adopting a full decoupling scheme instead of the present partial decoupling is also studied. Brief descriptions are given of the PROMAPA model, the representative farm considered and the assumptions about both price variations and the policy measures simulated. The findings showed that the farming area for cereals grew substantially after abolition of the compulsory set-aside and that the impact of transition to full decoupling was scant, except in the sheep and rearing cattle sub-sectors, where it considerably steepened the already sizeable decline in livestock numbers induced by the partial decoupling scheme.CAP reform, CAP Health Check, Decoupling, Spanish agricultural sector., Agricultural and Food Policy, Q10, Q12, Q18,

Comparison of Different Studies to Analyse Adaptation on Dairy Farms

This paper compares and contrasts a number of farm-level modeling studies published in the academic literature. All of the studies examined adaptation on EU dairy farms in response to developments in agricultural policy and/or environmental legislation. The studies are compared on the basis of their respective aims, model structure, results and conclusions. Having reviewed the models and their application, the discussion section of the paper considers strengths and weaknesses of the studies and following from that it considers possible future developments in farm-level response modeling. The relevance and application of such developments in the context of an analytical study of adaptation in Irish dairy farms is discussed.Farm Management, Research Methods/ Statistical Methods,

Modelling of the drying section of a continuous paper machine : a thesis presented in partial fulfilment of the requirement for the degree of Master in Production Technology at Massey University

The invention of paper in 105 A.D. was a milestone in the history of civilization and demand for paper has been increasing steadily ever since. Although it has become more and more popular to store, process and transfer information in electronic forms, paper is to date still the most common means for recording information. According to Storat (1993), production in the last twenty years has increased by more than 60 percent, while capital expenditures in the industry have grown to almost 12 percent of sales, or double the average expenditures of other manufacturing industries. This capital investment has gone towards capacity expansion and extensive rebuilds of existing mills - almost 60 percent of the existing capacity comes from modern facilities containing machines either newly installed or rebuilt in the past ten years. As a result, fossil fuel and energy consumption in this industry fell by 46 percent in the last two decades.[FROM INTRODUCTION