Portfolio selection problems in practice: a comparison between linear and quadratic optimization models

Several portfolio selection models take into account practical limitations on the number of assets to include and on their weights in the portfolio. We present here a study of the Limited Asset Markowitz (LAM), of the Limited Asset Mean Absolute Deviation (LAMAD) and of the Limited Asset Conditional Value-at-Risk (LACVaR) models, where the assets are limited with the introduction of quantity and cardinality constraints. We propose a completely new approach for solving the LAM model, based on reformulation as a Standard Quadratic Program and on some recent theoretical results. With this approach we obtain optimal solutions both for some well-known financial data sets used by several other authors, and for some unsolved large size portfolio problems. We also test our method on five new data sets involving real-world capital market indices from major stock markets. Our computational experience shows that, rather unexpectedly, it is easier to solve the quadratic LAM model with our algorithm, than to solve the linear LACVaR and LAMAD models with CPLEX, one of the best commercial codes for mixed integer linear programming (MILP) problems. Finally, on the new data sets we have also compared, using out-of-sample analysis, the performance of the portfolios obtained by the Limited Asset models with the performance provided by the unconstrained models and with that of the official capital market indices

Multi-neighborhood simulated annealing for the home healthcare routing and scheduling problem

Over time, the focus on supportive and geriatric care has shifted from being predominantly provided in institutional settings like nursing or rest homes to be delivered within the homes of the patients. Trained caregivers now provide home healthcare services by visiting patients in their own homes and carrying out specific services based on each patient's individual needs before moving on to the next patient. Planning such a service involves considering the routing aspect and ensuring synchronization between services and designated time windows for patients. To solve the problem, we propose a local search approach that combines different neighborhood operators guided by the simulated annealing metaheuristic. Additionally, we introduce a realistic and diverse dataset and a robust and flexible file format based on JSON. This dataset and format have the potential to facilitate future comparisons and analyses. Our study shows that by appropriately tuning our algorithm in a statistically rigorous manner, it outperforms existing methods on all benchmarks

Evidence for the η_b(1S) Meson in Radiative Υ(2S) Decay

We have performed a search for the η_b(1S) meson in the radiative decay of the Υ(2S) resonance using a sample of 91.6 × 10^6 Υ(2S) events recorded with the BABAR detector at the PEP-II B factory at the SLAC National Accelerator Laboratory. We observe a peak in the photon energy spectrum at E_γ = 609.3^(+4.6)_(-4.5)(stat)±1.9(syst) MeV, corresponding to an η_b(1S) mass of 9394.2^(+4.8)_(-4.9)(stat) ± 2.0(syst) MeV/c^2. The branching fraction for the decay Υ(2S) → γη_b(1S) is determined to be [3.9 ± 1.1(stat)^(+1.1)_(-0.9)(syst)] × 10^(-4). We find the ratio of branching fractions B[Υ(2S) → γη_b(1S)]/B[Υ(3S) → γη_b(1S)]= 0.82 ± 0.24(stat)^(+0.20)_(-0.19)(syst)

Precise Measurement of the e+ e- --> pi+ pi- (gamma) Cross Section with the Initial-State Radiation Method at BABAR

A precise measurement of the cross section of the process $e^+e^-\to\pi^+\pi^-(\gamma)$ from threshold to an energy of 3GeV is obtained with the initial-state radiation (ISR) method using 232fb$^{-1}$ of data collected with the BaBar detector at $e^+e^-$ center-of-mass energies near 10.6GeV. The ISR luminosity is determined from a study of the leptonic process $e^+e^-\to\mu^+\mu^-(\gamma)\gamma_{\rm ISR}$, which is found to agree with the next-to-leading-order QED prediction to within 1.1%. The cross section for the process $e^+e^-\to\pi^+\pi^-(\gamma)$ is obtained with a systematic uncertainty of 0.5% in the dominant $\rho$ resonance region. The leading-order hadronic contribution to the muon magnetic anomaly calculated using the measured $\pi\pi$ cross section from threshold to 1.8GeV is $(514.1 \pm 2.2({\rm stat}) \pm 3.1({\rm syst}))\times 10^{-10}$.Comment: 58 pages, 56 figures, to be submitted to Phys. Rev.

Search for lepton-number violating processes in B+ -> h- l+ l+ decays

We have searched for the lepton-number violating processes B+ -> h- l+ l+ with h- = K-/pi- and l+ = e+/mu+, using a sample of 471+/-3 million BBbar events collected with the BaBar detector at the PEP-II e+e- collider at the SLAC National Accelerator Laboratory. We find no evidence for these decays and place 90% confidence level upper limits on their branching fractions Br(B+ -> pi- e+ e+) K- e+ e+) pi- mu+ mu+) K- mu+ mu+) < 6.7 x 10^{-8}.Comment: 8 pages, 4 postscript figures, submitted to Phys. Rev. D. R

Measurement of CP Asymmetries and Branching Fractions in Charmless Two-Body B-Meson Decays to Pions and Kaons

We present improved measurements of CP-violation parameters in the decays $B^0 \to \pi^+ \pi^-$, $B^0 \to K^+ \pi^-$, and $B^0 \to \pi^0 \pi^0$, and of the branching fractions for $B^0 \to \pi^0 \pi^0$ and $B^0 \to K^0 \pi^0$. The results are obtained with the full data set collected at the $\Upsilon(4S)$ resonance by the BABAR experiment at the PEP-II asymmetric-energy $B$ factory at the SLAC National Accelerator Laboratory, corresponding to $467 \pm 5$ million $B\bar B$ pairs. We find the CP-violation parameter values and branching fractions $S_{\pi^+\pi^-} = -0.68 \pm 0.10 \pm 0.03, C_{\pi^+\pi^-} = -0.25 \pm 0.08 \pm 0.02, A_{K^-\pi^+} = -0.107 \pm 0.016 ^{+0.006}_{-0.004}, C_{\pi^0\pi^0} = -0.43 \pm 0.26 \pm 0.05, Br(B^0 \to \pi^0 \pi^0) = (1.83 \pm 0.21 \pm 0.13) \times 10^{-6}, Br(B^0 \to K^0 \pi^0) = (10.1 \pm 0.6 \pm 0.4) \times 10^{-6},$ where in each case, the first uncertainties are statistical and the second are systematic. We observe CP violation with a significance of 6.7 standard deviations for $B^0 \to\pi^+\pi^-$ and 6.1 standard deviations for $B^0 \to K^+ \pi^-$, including systematic uncertainties. Constraints on the Unitarity Triangle angle $\alpha$ are determined from the isospin relations among the $B \to \pi\pi$ rates and asymmetries. Considering only the solution preferred by the Standard Model, we find $\alpha$ to be in the range $[71^\circ,109^\circ]$ at the 68% confidence level.Comment: 18 pages, 11 postscript figures, submitted to Phys. Rev.

Measurement of the Time-Dependent CP Asymmetry of Partially Reconstructed B0->D*+D*- Decays

We present a new measurement of the time-dependent CP asymmetry of B0->D*+D*- decays using (471+-5) million BBbar pairs collected with the BaBar detector at the PEP-II B Factory at the SLAC National Accelerator Laboratory. Using the technique of partial reconstruction, we measure the time-dependent CP asymmetry parameters S=-0.34+-0.12+-0.05$ and C=+0.15+-0.09+-0.04. Using the value for the CP-odd fraction R_perp=0.158+-0.028+-0.006, previously measured by BaBar with fully reconstructed B0->D*+D*- events, we extract the CP-even components S+=-0.49+-0.18+-0.07+-0.04 and C+=+0.15+-0.09+-0.04. In each case, the first uncertainty is statistical and the second is systematic; the third uncertainty on S+ is the contribution from the uncertainty on R_perp. The measured value of the CP-even component S+ is consistent with the value of sin(2Beta) measured in b->(ccbar)s transitions, and with the Standard Model expectation of small penguin contributions.Comment: 17 pages, 7 figures, submitted to Physical Review

Study of Upsilon(3S,2S) -> eta Upsilon(1S) and Upsilon(3S,2S) -> pi+pi- Upsilon(1S) hadronic trasitions

We study the Upsilon(3S,2S)->eta Upsilon(1S) and Upsilon(3S,2S)->pi+pi- Upsilon(1S) transitions with 122 million Upsilon(3S) and 100 million Upsilon(2S) mesons collected by the BaBar detector at the PEP-II asymmetric energy e+e- collider. We measure B[Upsilon(2S)->eta Upsilon(1S)]=(2.39+/-0.31(stat.)+/-0.14(syst.))10^-4 and Gamma[Upsilon(2S)->eta Upsilon(1S)]/Gamma[Upsilon(2S)-> pi+pi- Upsilon(1S)]=(1.35+/-0.17(stat.)+/-0.08(syst.))10^-3. We find no evidence for Upsilon(3S)->eta Upsilon(1S) and obtain B[Upsilon(3S)->eta Upsilon(1S)]<1.0 10^-4 and Gamma[Upsilon(3S)->eta Upsilon(1S)]/Gamma[Upsilon(3S)->pi+pi- Upsilon(1S)]<2.3 10^-3 as upper limits at the 90% confidence level. We also provide improved measurements of the Upsilon(2S) - Upsilon(1S) and Upsilon(3S) - Upsilon(1S) mass differences, 562.170+/-0.007(stat.)+/-0.088(syst.) MeV/c^2 and 893.813+/-0.015(stat.)+/-0.107(syst.) MeV/c^2 respectively.Comment: 8 pages, 16 encapsulated postscript figures, submitted to Phys.Rev.

Measurement of B(B-->X_s {\gamma}), the B-->X_s {\gamma} photon energy spectrum, and the direct CP asymmetry in B-->X_{s+d} {\gamma} decays

The photon spectrum in B --> X_s {\gamma} decay, where X_s is any strange hadronic state, is studied using a data sample of (382.8\pm 4.2) \times 10^6 e^+ e^- --> \Upsilon(4S) --> BBbar events collected by the BABAR experiment at the PEP-II collider. The spectrum is used to measure the branching fraction B(B --> X_s \gamma) = (3.21 \pm 0.15 \pm 0.29 \pm 0.08)\times 10^{-4} and the first, second, and third moments = 2.267 \pm 0.019 \pm 0.032 \pm 0.003 GeV,, )^2> = 0.0484 \pm 0.0053 \pm 0.0077 \pm 0.0005 GeV^2, and )^3> = -0.0048 \pm 0.0011 \pm 0.0011 \pm 0.0004 GeV^3, for the range E_\gamma > 1.8 GeV, where E_{\gamma} is the photon energy in the B-meson rest frame. Results are also presented for narrower E_{\gamma} ranges. In addition, the direct CP asymmetry A_{CP}(B --> X_{s+d} \gamma) is measured to be 0.057 \pm 0.063. The spectrum itself is also unfolded to the B-meson rest frame; that is the frame in which theoretical predictions for its shape are made.Comment: 37 pages, 19 postscript figures, submitted to Phys. Rev. D. No analysis or results have changed from previous version. Some changes to improve clarity based on interactions with Phys. Rev. D referees, including one new Figure (Fig. 13), and some minor wording/punctuation/spelling mistakes fixe