Enhanced index tracking in portfolio optimization with two-stage mixed integer programming model

Enhanced index tracking is a portfolio management which aims to construct the optimal portfolio to generate higher return than the benchmark index return at minimum tracking error without purchasing all the stocks that make up the index. The objective of this paper is to propose a two-stage mixed integer programming model to improve the existing single-stage mixed integer programming model for tracking FBMKLCI Index in Malaysia. The optimal portfolio performance of both models are determined and compared in terms of portfolio mean return, tracking error, excess return and information ratio. The results of this study indicate that the optimal portfolio of the proposed model generates weekly excess return over the benchmark FBMKLCI index return at minimum tracking error. Besides that, the proposed model is able to outperform the existing model in tracking the benchmark index.Keywords: mean return; tracking error; optimal portfolio; portfolio performanc

Portfolio optimization of the construction sector companies in Malaysia with mean-semi absolute deviation model

Portfolio optimization is an important investment strategy to find the trade-off between the risk and return. In mean-semi absolute deviation model,semi absolute deviation is employed as risk measure while the expected return of the investors is represented by the mean return. The objective of this paper is to construct the optimal portfolio that will minimize the portfolio risk and can achieve the investors target rate of return by using the mean-semi absolute deviation model. The data of this study comprises 20 construction sector companies that listed in Malaysia stock market from July 2011 until June 2016. The results of this paper show that the constructed optimal portfolio can minimize the portfolio risk at the expected rate of return. In addition, the composition of the companies invested in the optimal portfolio is different.Keywords: portfolio risk; return; investment; investor

Far wake structure in rarefied plasma flows past charged bodies

The asymptotic structure of the far-wake behind a charged body in a rarefied plasma flow is investigated under the assumption of small ion-to-electron temperature ratio and of flow speed hypersonic with respect to the ions but not with respect to the electrons. It is found that waves are excited even if the flow is subacoustic (flow velocity less than the ion-acoustic speed). For both superacoustic and subacoustic velocities a steep wave front develops separating the weakly perturbed, quasineutral plasma ahead, from the region behind where ion waves appear. Near the axis a trailing front develops;the region between this and the axis is quasineutral for superacoustic speeds. The decay laws in all of these regions, the self-similar structure of the fronts and the general character of the waves are determined.The damping of the waves and special flow detail for bodies large and small compared with the Debye length are discussed. A nonlinear analysis of the leading wave front in superacoustic flow is carried out. A hyperacoustic equivalence principle is presented

Similarities between ion waves in plasmas and gravity waves in incompressible fluids

Some similarities between ion waves in plasmas and gravity waves in incompressible fluids are investigated. It is shown that for zero ion temperature the ion-wave dispersion relation is similar to that of gravity waves in a stratified liquid between rigid, horizontal walls; for large wavelength the ion waves behave as the surface gravity waves of shallow-water theory. The general character of the pattern of ion waves arising in steady plasma flows is analyzed for arbitrary ion temperature, wavelength, and acoustic mach number (which is based on the ion-acoustic speed), and is compared to the pattern of surface gravity waves in steady water flows when surface tension is taken into account

Development of an OLAP Based Fuzzy Logic System for Supporting Put Away Decision

In today‘s rapidly changing and globally volatile world, manufacturers pay strong efforts on conducting lean production, outsourcing their components, and management on the complex supply chain. Warehouse management plays a vital role to be a successful player in the any kinds of industry which put-away process is a key activity that brings significant influence and challenges to warehouse performance. In this dynamic operating environment, minimizing the operation mistakes and providing accurate real time inventory information to stakeholder become the basic requirements to be an order qualifier. An OLAP based intelligent system called Fuzzy Storage Assignment System (FSAS) is proposed to increase availability of decision support data and convert the human knowledge into system for tackling the storage location assignment problem (SLAP). To validate the feasibility of this proposed system, a prototype will be worked out for a third party logistics company

An Improved GA Based Modified Dynamic Neural Network for Cantonese-Digit Speech Recognition

Author name used in this publication: F. H. F. Leung2007-2008 > Academic research: refereed > Chapter in an edited book (author)published_fina

Neutrino mixing in matter

Three-neutrino mixing in matter is studied through a set of evolution equations which are based on a rephasing invariant parametrization. Making use of the known properties of measured neutrino parameters, analytic, approximate, solutions are obtained. Their accuracy is confirmed by comparison with numerical integration of these equations. The results, when expressed in the elements squared of the mixing matrix, exhibit striking patterns as the matter density varies.Comment: Revised, 5 pages, 3 figures, references added

Existence of inverted profile in chemically responsive molecular pathways in the zebrafish liver

10.1371/journal.pone.0027819PLoS ONE611

Aquaculture of a high-value freshwater fish in [Malaysia] : the marble or sand goby (Oxyeleotris marmoratus, Bleeker)

The article highlights the aquaculture of marble or sand goby (Oxyeleotris marmoratus) in Malaysia. Topics discussed are: breeding, hatchery and nursery techiques, nutrition, growout techniques, and diseases