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Tangency portfolios in the LP solvable portfolio selection models

Reza Keykhaei, Mohamad Taghi Jahandideh (2012)

RAIRO - Operations Research

A risk measure in a portfolio selection problem is linear programming (LP) solvable, if it has a linear formulation when the asset returns are represented by discrete random variables, i.e., they are defined by their realizations under specified scenarios. The efficient frontier corresponding to an LP solvable model is a piecewise linear curve. In this paper we describe a method which realizes and produces a tangency portfolio as a by-product during...

Tangency portfolios in the LP solvable portfolio selection models

Reza Keykhaei, Mohamad Taghi Jahandideh (2012)

RAIRO - Operations Research

A risk measure in a portfolio selection problem is linear programming (LP) solvable, if it has a linear formulation when the asset returns are represented by discrete random variables, i.e., they are defined by their realizations under specified scenarios. The efficient frontier corresponding to an LP solvable model is a piecewise linear curve. In this paper we describe a method which realizes and produces a tangency portfolio as a by-product during...

Tarification par des jeux coopératifs avec demandes élastiques

F. Bendali, J. Mailfert, A. Quilliot (2001)

RAIRO - Operations Research - Recherche Opérationnelle

Nous proposons ici un modèle de Tarification basé sur une extension du formalisme des Jeux Coopératifs et qui prend en compte la notion d’Élasticité de la Demande. Nous présentons pour ce modèle un résultat d’existence ainsi qu’un algorithme de calcul associé. Nous interprétons enfin ce nouveau concept dans le cas d’un problème de production et nous le prolongeons au cas d’un problème de transport.

Tarification par des jeux Coopératifs avec Demandes Élastiques

F. Bendali, J. Mailfert, A. Quilliot (2010)

RAIRO - Operations Research

We propose here a pricing Model which is an extension of the Cooperative Game concept and which includes a notion of Elastic Demand. We present some existence results as well as some algorithms. We conclude by discussing this model in the context of some Production and Transportation problems.

Test signal design for failure detection: A linear programming approach

Héctor Scola, Ramine Nikoukhah, François Delebecque (2003)

International Journal of Applied Mathematics and Computer Science

A new methodology for the design of filters that permits failure detection and isolation of dynamic systems is presented. Assuming that the normal and the faulty behavior of a process can be modeled by two linear systems subject to inequality bounded perturbations, a method for the on-line implementation of a test signal, guaranteeing failure detection, is proposed. To improve the fault detectability of the dynamic process, appropriate test signals are injected into the system. All the computations...

The determination of necessary and sufficient conditions for the existence of a solution to the 3 × 3 × 3 multi-index problem

Graham Smith, Jeremy Dawson (1979)

Aplikace matematiky

Modifications to a procedure for determining necessary and sufficient conditions for the existence of a solution to the multi-index problem are described. These modifications reduce the computation required to such an extent that necessary and sufficient conditions for the existence of a solution to the 3x3x3 multi-index problem can now be determined. These conditions are given in this paper.

The linear programming approach to deterministic optimal control problems

Daniel Hernández-Hernández, Onésimo Hernández-Lerma, Michael Taksar (1996)

Applicationes Mathematicae

Given a deterministic optimal control problem (OCP) with value function, say J * , we introduce a linear program ( P ) and its dual ( P * ) whose values satisfy sup ( P * ) ≤ inf ( P ) ≤ J * ( t , x ) . Then we give conditions under which (i) there is no duality gap

The single (and multi) item profit maximizing capacitated lot–size (PCLSP) problem with fixed prices and no set–up

Kjetil K. Haugen, Asmund Olstad, Krystsina Bakhrankova, Erik Van Eikenhorst (2010)

Kybernetika

This paper proposes a specialized LP-algorithm for a sub problem arising in simple Profit maximising Lot-sizing. The setting involves a single (and multi) item production system with negligible set-up costs/times and limited production capacity. The producer faces a monopolistic market with given time-varying linear demand curves.

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