A memetic algorithm for cardinality-constrained portfolio optimization with transaction costs

This is the author’s version of a work that was accepted for publication in Applied Soft Computing. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Applied Soft Computing, Vol 36 (2015) DOI 10.1016/j.asoc.2015.06.053A memetic approach that combines a genetic algorithm (GA) and quadratic programming is used to address the problem of optimal portfolio selection with cardinality constraints and piecewise linear transaction costs. The framework used is an extension of the standard Markowitz mean–variance model that incorporates realistic constraints, such as upper and lower bounds for investment in individual assets and/or groups of assets, and minimum trading restrictions. The inclusion of constraints that limit the number of assets in the final portfolio and piecewise linear transaction costs transforms the selection of optimal portfolios into a mixed-integer quadratic problem, which cannot be solved by standard optimization techniques. We propose to use a genetic algorithm in which the candidate portfolios are encoded using a set representation to handle the combinatorial aspect of the optimization problem. Besides specifying which assets are included in the portfolio, this representation includes attributes that encode the trading operation (sell/hold/buy) performed when the portfolio is rebalanced. The results of this hybrid method are benchmarked against a range of investment strategies (passive management, the equally weighted portfolio, the minimum variance portfolio, optimal portfolios without cardinality constraints, ignoring transaction costs or obtained with L1 regularization) using publicly available data. The transaction costs and the cardinality constraints provide regularization mechanisms that generally improve the out-of-sample performance of the selected portfolios

Cardinality constraints and dimensionality reduction in optimization problems

Tesis doctoral inédita. Universidad Autónoma de Madrid, Escuela Politécnica Superior, junio de 201

Gender development inequalities epidemiology in Spain (1990-2000)

Fundamento: El género es un determinante de la salud importante para las Políticas de Salud Pública. Este estudio describe los cambios en las desigualdades del desarrollo de género en España y sus Comunidades Autónomas (CCAA) en la década 1990 y 2000. Métodos: Estudio ecológico del Índice de Desarrollo Humano (IDH) y el Índice de Desarrollo de Género (IDG) y sus componentes por sexo (educación, ingresos y esperanza de vida al nacer). Resultados: El IDG de España ha crecido en un 5,05% en los años 90. Pero, mientras que en 1990 el 51,5% de la población estaba ubicada por encima del IDG promedio español en 2000 disminuyó al 46,3%. Asturias: 3,37%, Cantabria: 3,68% e Islas Baleares: 3,71% son las de menor crecimiento; Madrid: 6,46% y Extremadura: 6,75% las de mayor. Todas las CCAA. tienen un valor de IDG menor que de IDH. Ambos sexos tuvieron un crecimiento promedio similar en la esperanza de vida (Hombres: 5% y Mujeres: 4%) manteniéndose las diferencias, aunque se detectan variaciones según CCAA. En educación, las mujeres mejoraron el doble que los hombres (Hombres: 3% y Mujeres: 6%), siendo Cataluña, Aragón, Madrid, Baleares y Galicia las de mayor igualdad. Pese a que las mujeres mejoraron el triple que los hombres en el índice de ingresos (Hombres: 3% y Mujeres: 9%), las diferencias persisten a favor de los hombres. Conclusiones: Las desigualdades en el desarrollo de género disminuyeron en los 90 en España, aunque la mejora de la educación, ingresos y esperanza de vida se produjo sólo en algunas CCAA, persistiendo diferencias interregionales.Background: Gender is an important health determinant for public health policies. This study describes the changes in gender development inequalities in Spain and its autonomous regions from 1990 to 2000. Methods: An ecological study using the Human Development Index (HDI) and the Gender Development Index (GDI) was done. IDG both men and women was analysed according to indexes of education, income and life expectancy at birth. Results: Although the GDI has had an increase of 5,05% in the 90´s, 51,5% of the population was located above the global GDI of Spain in 1990, moreover this number decreased to 46,3% in 2000. Gender inequalities have been reduced both at national and regional levels. The regions with the lowest increase were Asturias (3.37%), Cantabria (3.68%) and Baleares Islands (3.71%). The regions with the highest increase were Madrid (6,46%) and Extremadura (6,75%). All the autonomous regions showed a number of GDI lower than the value of HDI. Both sexes achieved similar increase in life expectancy (Men: 5% and Women: 4%). An unequal variation was detected according to the autonomous region (Basque Country; Men: 7% and Women: 3%; Madrid; Men:8% and Women:5%). Women have improved their educational level in comparison to men (Men: 3% and Women: 6%). In the 90s, men obtained more income than women, but women improved their situation three times more than men. Conclusions: Inequalities in Human Development analysed by gender have been reduced in the 90s in Spain. However, the improvement of education, income and life expectancy occurred only in some autonomous regions. This situation shows the differences among Spanish autonomous regions.Observatorio de Salud de las Mujeres; Ministerio de Sanidad y Consumo de España; Fundación Bancaja y Universidad de Alicante

Photolysis of HCOOH over Rh deposited on pure and N-modified TiO2: production of pure H2

BACKGROUND: At the international level PREMIS -"Physician Readiness to Manage Intimate Partner Violence Survey"- is amongst the most comprehensive instruments to evaluate primary health care professionals' readiness. The aim of this study is to assess the reliability, internal consistency and construct validity of the Spanish version of this questionnaire. METHODS: After translation, back translation and assessment of content validity of the questionnaire, 200 questionnaires were distributed to medical doctors and nurses working in 15 primary health care centres located in 4 autonomous regions (Comunidad Valenciana, Castilla León, Murcia, Cantabria), in 2013. Cronbach's alpha, intraclass correlation and rho Spearman coefficients were calculated. RESULTS: the Spanish version of PREMIS encompasses 64 items. Cronbach's alpha coefficient was greater than or close to 0.7 in most of indices. Intraclass correlation coefficient of 0.87 and Spearman coefficient of 0.67 showed a high reliability. All correlations for the scale of Opinions, which is the only one that was considered factorial structure of the questionnaire PREMIS, were higher than 0.30. CONCLUSIONS: the Spanish version of PREMIS obtained good internal validity, high reliability and predictive self-reported capacity of medical practitioners and nurses in Intimate Partner Violence cases in PHC centers

Validation of the Spanish Version of Physician Readiness to Manage Intimate Partner Violence Survey (PREMIS)

Fundamentos: El Physician Readiness to Manage Intimate Partner Violence Survey (PREMIS) es uno de los cuestionarios más completos en el contexto internacional para la valoración de la capacidad de respuesta frente a la violencia del compañero íntimo por los profesionales de Atención Primaria de Salud. El objetivo de este estudio fue determinar la fiabilidad, consistencia interna y validez de constructo de la versión española de este cuestionario. Métodos: Tras la traducción, retrotraducción y valoración de la validez de contenido del cuestionario, se distribuyeron en una muestra de 200 profesionales de medicina y enfermería de 15 centros de atención primaria de 4 Comunidades Autónomas en 2013 (Comunidad Valenciana, Castilla León, Murcia y Cantabria). Se calcularon los coeficientes alfa de Cronbach, los de correlación intraclase y rho de Spearman (test-retest). Resultados: la versión española del PREMIS incluyó 64 ítems. El coeficiente α de Cronbach fue superior a 0,7 o muy cercano a ese valor en la mayoría de los índices. Se obtuvo un coeficiente de correlación intraclase de 0,87 y un coeficiente de Spearman de 0,67 que muestran una fiabilidad alta. Todas las correlaciones observadas para la escala de opiniones, la única tratada como estructura factorial en el cuestionario PREMIS, fueron superiores a 0,30. Conclusiones: el PREMIS en español obtuvo una buena validez interna, alta fiabilidad y capacidad predictiva de las prácticas auto-referidas por médicos(as) y enfermeros(as) frente a casos de violencia del compañero íntimo en centros de atención primaria.Background: At the international level PREMIS – “Physician Readiness to Manage Intimate Partner Violence Survey”- is amongst the most comprehensive instruments to evaluate primary health care professionals’ readiness. The aim of this study is to assess the reliability, internal consistency and construct validity of the Spanish version of this questionnaire. Methods: After translation, back translation and assessment of content validity of the questionnaire, 200 questionnaires were distributed to medical doctors and nurses working in 15 primary health care centres located in 4 autonomous regions (Comunidad Valenciana, Castilla León, Murcia, Cantabria), in 2013. Cronbach’s alpha, intraclass correlation and rho Spearman coefficients were calculated. Results: the Spanish version of PREMIS encompasses 64 items. Cronbach’s alpha coefficient was greater than or close to 0.7 in most of indices. Intraclass correlation coefficient of 0.87 and Spearman coefficient of 0.67 showed a high reliability. All correlations for the scale of Opinions, which is the only one that was considered factorial structure of the questionnaire PREMIS, were higher than 0.30. Conclusions: the Spanish version of PREMIS obtained good internal validity, high reliability and predictive self-reported capacity of medical practitioners and nurses in Intimate Partner Violence cases in PHC centers.Este estudio forma parte del proyecto de investigación Violencia contra las mujeres en la pareja y respuestas de los profesionales de atención primaria de salud de España, financiado por el Ministerio de Economía y Competitividad y el Instituto Carlos III (PI13/00874) para el periodo 2014-2016. También recibió el apoyo económico de COFAS (COFUND action within the Marie Curie Action People, in the Seventh Framework program and the Swedish Council for Working Life and Social Research/FAS-Forskningsradet för arbetsliv och socialvetenskap)

Atención quirúrgica en hombres y mujeres ¿diferente o desigual?

Explorar la posible existencia de sesgos de género en procedimientos quirúrgicos (PQ) frecuentes y en sus estancias medias (EM) postquirúrgicas es objetivo del presente trabajo, mediante su comparación entre sexos en el Servicio de Cirugía General y Digestiva del Hospital General de Alicante (20002004). Se intervienen más hombres que mujeres en 4 de los 7 PQ estudiados, apuntando posibles sesgos de género en el patrón quirúrgico, como por apendicectomías agudas (1,36 Hombres/1 Mujer) y complicadas (1,79/1). La estancia postapendicectomías, a igual edad y comorbilidad, es de 2 días más en hombres (9,49) que en mujeres (7,5). No detectar diferencias por sexo en eolecistectomías por colecistitis (más frecuentes en mujeres), puede indicar colelitiasis evolucionadas por no sospecha diagnóstica en hombre

Portfolio optimization and index tracking for the shipping stock and freight markets using evolutionary algorithms

This paper reproduces the performance of an international market capitalization shipping stock index and two physical shipping indexes by investing only in US stock portfolios. The index-tracking problem is addressed using the differential evolution algorithm and the genetic algorithm. Portfolios are constructed by a subset of stocks picked from the shipping or the Dow Jones Composite Average indexes. To test the performance of the heuristics, three different trading scenarios are examined: annually, quarterly and monthly rebalancing, accounting for transaction costs where necessary. Competing portfolios are also assessed through predictive ability tests. Overall, the proposed investment strategies carry less risk compared to the tracked benchmark indexes while providing investors the opportunity to efficiently replic ate the performance of both the stock and physical shipping indexes in the most cost-effective way

A multiobjective model for passive portfolio management: an application on the S&P 100 index

This is an author's accepted manuscript of an article published in: “Journal of Business Economics and Management"; Volume 14, Issue 4, 2013; copyright Taylor & Francis; available online at: http://dx.doi.org/10.3846/16111699.2012.668859Index tracking seeks to minimize the unsystematic risk component by imitating the movements of a reference index. Partial index tracking only considers a subset of the stocks in the index, enabling a substantial cost reduction in comparison with full tracking. Nevertheless, when heterogeneous investment profiles are to be satisfied, traditional index tracking techniques may need different stocks to build the different portfolios. The aim of this paper is to propose a methodology that enables a fund s manager to satisfy different clients investment profiles but using in all cases the same subset of stocks, and considering not only one particular criterion but a compromise between several criteria. For this purpose we use a mathematical programming model that considers the tracking error variance, the excess return and the variance of the portfolio plus the curvature of the tracking frontier. The curvature is not defined for a particular portfolio, but for all the portfolios in the tracking frontier. This way funds managers can offer their clients a wide range of risk-return combinations just picking the appropriate portfolio in the frontier, all of these portfolios sharing the same shares but with different weights. An example of our proposal is applied on the S&P 100.García García, F.; Guijarro Martínez, F.; Moya Clemente, I. (2013). A multiobjective model for passive portfolio management: an application on the S&P 100 index. Journal of Business Economics and Management. 14(4):758-775. doi:10.3846/16111699.2012.668859S758775144Aktan, B., Korsakienė, R., & Smaliukienė, R. (2010). TIME‐VARYING VOLATILITY MODELLING OF BALTIC STOCK MARKETS. 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Financial Analysts Journal, 51(6), 75-80. doi:10.2469/faj.v51.n6.1952Corielli, F., & Marcellino, M. (2006). Factor based index tracking. Journal of Banking & Finance, 30(8), 2215-2233. doi:10.1016/j.jbankfin.2005.07.012Derigs, U., & Nickel, N.-H. (2004). On a Local-Search Heuristic for a Class of Tracking Error Minimization Problems in Portfolio Management. Annals of Operations Research, 131(1-4), 45-77. doi:10.1023/b:anor.0000039512.98833.5aDose, C., & Cincotti, S. (2005). Clustering of financial time series with application to index and enhanced index tracking portfolio. Physica A: Statistical Mechanics and its Applications, 355(1), 145-151. doi:10.1016/j.physa.2005.02.078Focardi, S. M., & Fabozzi 3, F. J. (2004). A methodology for index tracking based on time-series clustering. Quantitative Finance, 4(4), 417-425. doi:10.1080/14697680400008668Gaivoronski, A. A., Krylov, S., & van der Wijst, N. (2005). Optimal portfolio selection and dynamic benchmark tracking. 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V., & Stasytyte, V. (s. f.). Decision Making Strategies in Global Exchange and Capital Markets. Advances and Innovations in Systems, Computing Sciences and Software Engineering, 17-22. doi:10.1007/978-1-4020-6264-3_4Tabata, Y., & Takeda, E. (1995). Bicriteria Optimization Problem of Designing an Index Fund. Journal of the Operational Research Society, 46(8), 1023-1032. doi:10.1057/jors.1995.139Teresienė, D. (2009). LITHUANIAN STOCK MARKET ANALYSIS USING A SET OF GARCH MODELS. Journal of Business Economics and Management, 10(4), 349-360. doi:10.3846/1611-1699.2009.10.349-36