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IIE Transactions articles from October 2005
This journal publishes original research in the industrial engineering industry, focusing on design and manufacturing, operations and engineering, quality and reliability engineering and scheduling and logistics.
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IIE Transactions archives from October 2005
Editorial.(Editorial)
October 1, 2005... The past decades have witnessed tremendous research activity in financial engineering in the industrial engineering, operations research, and management science communities. Financial engineering addresses models and analysis of financial...
Mean-absolute deviation model.
October 1, 2005... 1. Introduction
This paper is intended to review some of the more important properties of the Mean-Absolute Deviation (MAD) portfolio optimization model, which was proposed in Konno (1990) and Konno and Yamazaki (1991) as a route to solve...
A note on separation in mean-lower-partial-moment portfolio optimization with fixed and moving targets.
October 1, 2005... 1. Introduction
In a classical model for portfolio selection, the goal of an optimizing investor is to construct a portfolio that maximizes the expected utility of his return. Under certain assumptions about utility functions and security...
Choosing between bonds and equities under long-term risk constraints.
October 1, 2005... 1. Introduction
During the past decade, the Japanese equity market has stagnated. Individual and institutional investors have continued to seek safety in bank deposits and government bonds, and very little capital has flowed into the...
An exact approach for portfolio selection with transaction costs and rounds.
October 1, 2005... 1. Introduction
Modern portfolio theory is based on the work of Markowitz (1952) who was the first to propose the concept of a risk-return trade-off for a financial investment. Markowitz formalized the problem of portfolio selection using...
Dynamic financial planning: certainty equivalents, stochastic constraints and functional conjugate duality.
October 1, 2005... 1. Introduction
One of the major thrusts in financial engineering is the management and optimization of risky portfolios. Although this is a well-researched area (Merton, 1990), it is still a mine of unsolved and intractable problems that...
A sliced-finite difference method for the American option.
October 1, 2005... 1. Introduction
In 1973, using the assumptions of no arbitrage and no transaction costs, Black, Scholes and Merton made use of the ITO Lemma to obtain a partial difference equation able to describe the price of European options P(S, t):...
A real-options-based analysis for supply chain decisions.
October 1, 2005... 1. Introduction
Manufacturing operations have always been required to adapt to a changing environment. Some drivers, such as changes in customer demand and shifts in competition, have always been present. Other forces (such as higher...
A stochastic linear goal programming approach to multistage portfolio management based on scenario generation via linear programming.
October 1, 2005... 1. Introduction
In a long-term investment, an investor usually adjusts his/her portfolio in the light of prevailing circumstances according to his/her risk preference. This is referred to as a dynamic portfolio selection policy. Many...