85 research outputs found
Socially Responsible Investments: An International Empirical Study Of Time-Varying Risk Premiums
This paper empirically analyses the performance of Socially Responsible Investments (SRI) by applying an asymmetric BEKK GARCH model which estimates conditional systematic risk and varying risk premiums. We evaluate the performance of SRI from an international perspective, comparing sustainable indexes with conventional indexes, and we apply our model to three regions: the USA, Europe, and Asia Pacific. We respectively compare the Dow Jones Sustainability United States Index, the Dow Jones Sustainability Europe Index, and the Dow Jones Sustainability Asia/Pacific Index with conventional indexes, namely the Dow Jones Industrial Average, the Dow Jones Europe Index, and the Dow Jones Asia/Pacific Index. Our model estimations are based on weekly data from January 2004 to November 2013. Our results show that sustainable indexes exhibit lower risk premiums than conventional ones. However each of the three regions studied has its own specificity in terms of investor behavior toward SRI, including the impact of the subprime mortgage crisis
On the Computational Complexity of Vertex Integrity and Component Order Connectivity
The Weighted Vertex Integrity (wVI) problem takes as input an -vertex
graph , a weight function , and an integer . The
task is to decide if there exists a set such that the weight
of plus the weight of a heaviest component of is at most . Among
other results, we prove that:
(1) wVI is NP-complete on co-comparability graphs, even if each vertex has
weight ;
(2) wVI can be solved in time;
(3) wVI admits a kernel with at most vertices.
Result (1) refutes a conjecture by Ray and Deogun and answers an open
question by Ray et al. It also complements a result by Kratsch et al., stating
that the unweighted version of the problem can be solved in polynomial time on
co-comparability graphs of bounded dimension, provided that an intersection
model of the input graph is given as part of the input.
An instance of the Weighted Component Order Connectivity (wCOC) problem
consists of an -vertex graph , a weight function ,
and two integers and , and the task is to decide if there exists a set
such that the weight of is at most and the weight of
a heaviest component of is at most . In some sense, the wCOC problem
can be seen as a refined version of the wVI problem. We prove, among other
results, that:
(4) wCOC can be solved in time on interval graphs,
while the unweighted version can be solved in time on this graph
class;
(5) wCOC is W[1]-hard on split graphs when parameterized by or by ;
(6) wCOC can be solved in time;
(7) wCOC admits a kernel with at most vertices.
We also show that result (6) is essentially tight by proving that wCOC cannot
be solved in time, unless the ETH fails.Comment: A preliminary version of this paper already appeared in the
conference proceedings of ISAAC 201
An In-Out Approach to Disjunctive Optimization
Abstract. Cutting plane methods are widely used for solving convex optimization problems and are of fundamental importance, e.g., to pro-vide tight bounds for Mixed-Integer Programs (MIPs). This is obtained by embedding a cut-separation module within a search scheme. The importance of a sound search scheme is well known in the Constraint Programming (CP) community. Unfortunately, the “standard ” search scheme typically used for MIP problems, known as the Kelley method, is often quite unsatisfactory because of saturation issues. In this paper we address the so-called Lift-and-Project closure for 0-1 MIPs associated with all disjunctive cuts generated from a given set of elementary disjunction. We focus on the search scheme embedding the generated cuts. In particular, we analyze a general meta-scheme for cutting plane algorithms, called in-out search, that was recently proposed by Ben-Ameur and Neto [1]. Computational results on test instances from the literature are presented, showing that using a more clever meta-scheme on top of a black-box cut generator may lead to a significant improvement
Ensemble approach for generalized network dismantling
Finding a set of nodes in a network, whose removal fragments the network
below some target size at minimal cost is called network dismantling problem
and it belongs to the NP-hard computational class. In this paper, we explore
the (generalized) network dismantling problem by exploring the spectral
approximation with the variant of the power-iteration method. In particular, we
explore the network dismantling solution landscape by creating the ensemble of
possible solutions from different initial conditions and a different number of
iterations of the spectral approximation.Comment: 11 Pages, 4 Figures, 4 Table
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