Negin Mohebbi; Amir Abbas Najafi
Abstract
Portfolio selection has always been one of the important issues in the field of investment management, which discusses how to allocate an investor's capital to different assets and form an efficient portfolio. If the modeling assumptions for portfolio optimization is closer to the real world, the results ...
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Portfolio selection has always been one of the important issues in the field of investment management, which discusses how to allocate an investor's capital to different assets and form an efficient portfolio. If the modeling assumptions for portfolio optimization is closer to the real world, the results will be more reliable. Considering single horizon for investment is not real and more investors are investing for more than one period to be able to revise their positions over time. Moreover, in the real world, data and parameters are always uncertain. Therefore, the development of multi-period portfolio optimization models is a basic requirement. In this paper, based on the portfolio theory, a new multi-period portfolio selection model is proposed, which contains transaction costs, liquidity constraints, threshold constraints, cardinality constraints and class constraints. Moreover, mean absolute deviation is used as a measure of risk and uncertainty of data is modeled with scenario tree. Also, in order to solve the proposed model, the dynamic programming method has been used and finally, the model efficiency was tested using data for 5 stocks from Tehran Stock Exchange in a period of 1390 to 1394. In the proposed model, the effect of some factors such as boundary of decision variables and the number of assets in the portfolio is examined. The results indicate that the proposed model has a suitable performance and completely consistent with the theory.
Mohammad Mohammadi; Kamran Forghani
Abstract
The cell formation problem and the group layout problem, both are two important problems in designing a cellular manufacturing system. The cell formation problem is consist of grouping parts into part families and machines into production cells. In addition, the group layout problem is to find the arrangement ...
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The cell formation problem and the group layout problem, both are two important problems in designing a cellular manufacturing system. The cell formation problem is consist of grouping parts into part families and machines into production cells. In addition, the group layout problem is to find the arrangement of machines within the cells as well as the layout of cells.In this paper, an integrated approach is presented to solve the cell formation, group layout and routing problems. By Considering the dimension of machines, the width of the aisles, and the maximum permissible length of the plant site, a new framework, called spiral layout, is suggested for the layout of cellular manufacturing systems. To extend the applicability of the problem, parameters such as part demands, operation sequences, processing times and machine capacities are considered in the problem formulation. The problem is formulated as a bi-objective integer programming model, in which the first objective is to minimize the total material handling cost and the second one is to maximize the total similarity between machines. As the problem is NP-hard, three metaheuristic algorithms, based on Genetic Algorithm and Simulated Annealing are proposed to solve it. To enhance the performance of the algorithms, a Dynamic Programming algorithm is embedded within them. The performance of the algorithms is evaluated by solving numerical examples from the related literature. Finally, a comparison is carried out between the proposed spiral layout and the linear multi-row layout which has recently presented in the literature
