Distance measures for Portfolio Selection

The classical Markowitz approach to the portfolio selection problem (PSP) consists of selecting the portfolio that minimises the return variance for a given level of expected return. By solving the problem for different values of this expected return we obtain the Pareto efficient frontier, which is composed of non-dominated portfolios. The final user has to discriminate amongst these points by resorting to an external criterion in order to decide which portfolio to invest in. We propose to define an external portfolio that corresponds to a desired criterion, and to assess its distance from the Markowitz frontier in market allowing for short-sellings or not. We show that this distance is able to give us useful information about out-of-sample performances. The pursued objective is to provide an operational method for discriminating amongst non-dominated portfolios considering the investors\u2019 preference

A tabu search approach for buffer allocation in production lines with unreliable machines

The optimal allocation of buffers is an important research issue in designing production lines. In this study, a tabu search (TS) algorithm is proposed to find near-optimal buffer allocation plans for a serial production line with unreliable machines. The main objective is to maximize the production rate, i.e. throughput, of the line. The efficiency of the proposed method is also tested to solve buffer allocation problems with the objective of total buffer size minimization. To estimate the throughput of the line with a given specific buffer allocation, an analytical decomposition approximation method is used. The performance of the tabu search algorithm is demonstrated on existing benchmark problems. The results obtained by the TS algorithm are clearly encouraging, as the TS algorithm is much better than the other algorithms for all considered benchmark problems

The Shrinking and Expanding Heuristic for the Fleet Size and Mix Vehicle Routing Problem

The FSMVRP (Fleet Size and Mix Vehicle Routing Problem) is a variant of the classical Capacitated Vehicle Routing Problem, CVRP. We suggest a new methodology, called the Shrinking and Expanding Heuristic (SEH) which is incorporated in a standard tabu search. To determine an appropriate fleet mix is a major challenge in this type of problem and the SEH technique is especially developed to find a good combination of vehicles by introducing a mechanism for changing the existing fleet mix during the search, thus also changing the underlying route structure. The SEH utilizes the concept of depletion and expansion of routes depending upon the filling degree of a vehicle. This strategy is tested on standard problem instances and good quality solutions are obtained