A note on the kinks at the mean variance frontier

Article Abstract:

A standard portfolio case with short sales restrictions is analyzed. It has been theorized that if a kink exists in a risky portfolio, the securities in that portfolio will have equal expected return and the converse of this statement is false. A study has been conducted to determine the sufficient conditions for the existence of the kinks at the mean variance frontier. These conditions are provided through a special procedure developed for indicating the composition of the efficient frontier.

Models, Evaluation, Portfolio management, Investments, Mathematical models, Quadratic programming, Nonlinear programming

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Process planning in a fuzzy environment

Article Abstract:

An algorithm was developed for solving nonconvex mixed-integer nonlinear programs (MINLP) based on a the application of the fuzzy programming to process planning. The branch-and-bound global optimization algorithm for process planning in a fuzzy environment considers uncertainty in demands and objective function coefficients. Furthermore, solutions to the fuzzy models indicated the ability of the deterministic model to handle variations of uncertain parameters.

Production Planning & Control, Research, Fuzzy algorithms, Fuzzy logic, Production control, Production planning

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