Mean-absolute deviation portfolio optimization model and its applications to Tokyo stock market

Article Abstract:

A model using the mean absolute deviation risk function can be more effective in optimizing a portfolio than either the model of H. Markowitz or the equilibrium model. The absolute deviation risk model results in a linear program rather than a quadratic program, which allows the solution to an optimization problem consisting of over 1,000 stocks to be obtained on a real-time basis. Research using data for stocks on the Nikkei 225 Index indicates that the absolute deviation risk model produces a portfolio that is similar to the portfolio generated by the Markowitz model, but in a shorter time frame.

Research, Methods, Linear programming, Portfolio management, Mathematical optimization, Optimization theory, Nikkei 225 Index, Markowitz, H.

---

Design and performance models for end-of-aisle order picking systems

Article Abstract:

Performance models and a design algorithm are presented for a mini-load automated storage/retrieval (S/R) system. The purpose of the algorithm is to minimize the number of storage aisles exposed to throughput and storage space. The minimization of the number of aisles serves as a substitute for the minimization of the the system's cost. S/R systems having two pick positions and one aisle for each picker need to have more pickers as the rack becomes 'less square.'

Analysis, Design and construction, Mathematical models, Industrial design, Performance standards, Job performance standards, Order picking systems, Order picking

---

Similar abstracts:

• Abstracts: The efficiency of the simplex method: a survey. Power approximation for computing (s, S) policies using service level
• Abstracts: Feasibility theory: a resource-munificence model of work motivation and behavior
• Abstracts: Estimation of multiresponse simulation metamodels using control variates. Comparative invention performance of major industrial countries: patterns and explanations
• Abstracts: A branch-and-cut approach to a traveling salesman problem with side constraints

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.