Explore the performance of realty sector stocks when mixed with other sectors such as Banking, FMCG, IT, Oil & Gas, Power and PSU. In this exclusive study from realism.IN, we provide the asset allocation of publicly traded stocks in an... more
Explore the performance of realty sector stocks when mixed with other sectors such as Banking, FMCG, IT, Oil & Gas, Power and PSU. In this exclusive study from realism.IN, we provide the asset allocation of publicly traded stocks in an optimum portfolio that minimizes the risks. Utilizing the optimization algorithms, we suggest asset allocation to sectoral stocks indices derived from the Bombay Stock Exchange data. Weekly returns on the indices are analyzed with two portfolios including (or excluding) Sensex along with sectoral indices. An efficient frontier of the portfolios is also laid out.
The efficient frontier is a core concept in Modern Portfolio Theory. Based on this idea, we will construct optimal trading curves for different types of portfolios. These curves correspond to the algorithmic trading strategies that... more
The efficient frontier is a core concept in Modern Portfolio Theory. Based on this idea, we will construct optimal trading curves for different types of portfolios. These curves correspond to the algorithmic trading strategies that minimize the expected transaction costs, i.e. the joint effect of market impact and market risk. We will study five portfolio trading strategies. For the first three (single-asset, general multi-asseet and balanced portfolios) we will assume that the underlyings follow a Gaussian diffusion, whereas for the last two portfolios we will suppose that there exists a combination of assets such that the corresponding portfolio follows a mean-reverting dynamics. The optimal trading curves can be computed by solving an N-dimensional optimization problem, where N is the (pre-determined) number of trading times. We will solve the recursive algorithm using the "shooting method", a numerical technique for differential equations. This method has the advantage...
This study introduces the concept of product performance from the perspective of customers. Product performance is measured as a ratio of outputs that customers obtain from a product relative to inputs that customers have to spend for... more
This study introduces the concept of product performance from the perspective of customers. Product performance is measured as a ratio of outputs that customers obtain from a product relative to inputs that customers have to spend for purchasing and using the product. The output side is modelled by a set of customer-relevant parameters such as technical performance attributes but also non-functional benefits and brand strength; the input side reflects user costs. More than 60% of the cars in this study are rated as efficient and obtain the maximum efficiency value of unity. They form the efficient frontier of the compact car market representing a reference function for performance evaluation. Using a super-efficiency model, it is possible to differentiate the efficient products that are left with a score of 100% by standard efficiency models. Our approach is relevant for companies because implications for product design and market segmentation can be derived.
Traditionally, risky assets and riskless asset are treated as two distinct classes. Observing the Indonesian liquid stock with very close maturity dates, we view riskless asset as its natural limit. This unifying viewpoint is not only... more
Traditionally, risky assets and riskless asset are treated as two distinct classes. Observing the Indonesian liquid stock with very close maturity dates, we view riskless asset as its natural limit. This unifying viewpoint is not only theoretically appealing, but also practically important. The purpose of research are to recapitulate the single-period results of Markowitz and Sharpe in the context of iso-elastic utility, and formally derive the solution to the unconstrained optimization problem and examine the mathematical properties of the resulting efficient frontier and efficient portfolios. This work relieves the burden of constructing efficient frontiers in asset allocation problems. More important, removing the restriction posed by the efficient frontiers, it allows for much better asset allocation decisions than the traditional methods.
En este artículo se hace un análisis sobre la validez de la TBR (Total Bussines return) como medida de rentabilidad de unidades de negocio que pertenecen a un portafolio corporativo. Se establecen cuales son sus debilidades y en que casos... more
En este artículo se hace un análisis sobre la validez de la TBR (Total Bussines return) como medida de rentabilidad de unidades de negocio que pertenecen a un portafolio corporativo. Se establecen cuales son sus debilidades y en que casos es posible aceptarla como medida de rentabilidad asociada con la creación de valor. Se expone, la coincidencia matemática entre la TBR y el WACC (costo promedio ponderado de capital) a partir del descuento de flujos de caja proyectados y entre el CAV (creación adicional de valor) y la diferencia entre el ingreso económico obtenido y el ingreso económico esperado en un periodo determinado. También se evidencia la equivalencia entre el CAV y la variación del valor de las operaciones más la variación del flujo de caja del periodo. Posteriormente se realiza una aplicación para mostrar como puede utilizar la TBR y la teoría moderna de portafolio para que un gerente corporativo pueda controlar la relación rendimiento-riesgo existente entre las distintas unidades de negocio a cargo de su corporación.
Data envelopment analysis (DEA) measures the relative efficiency of decision making units (DMUs) with multiple performance factors which are grouped into outputs and inputs. Once the efficient frontier is determined, inefficient DMUs can... more
Data envelopment analysis (DEA) measures the relative efficiency of decision making units (DMUs) with multiple performance factors which are grouped into outputs and inputs. Once the efficient frontier is determined, inefficient DMUs can improve their performance to reach the efficient frontier by either increasing their current output levels or decreasing their current input levels. However, both desirable (good) and undesirable (bad) factors may be present. For example, if inefficiency exists in production processes where final products are manufactured with a production of wastes and pollutants, the outputs of wastes and pollutants are undesirable and should be reduced to improve the performance. Using the classification invariance property, we show that the standard DEA model can be used to improve the performance via increasing the desirable outputs and decreasing the undesirable outputs. The method can also be applied to situations when some inputs need to be increased to improve the performance. The linearity and convexity of DEA are preserved through our proposal.
... He was awarded an invention achievement award from IBM USA, Arab's Scientific Innovations award, his Country's encouragement award and the President's excellence award in 1991, 1992, 1993 and... more
... He was awarded an invention achievement award from IBM USA, Arab's Scientific Innovations award, his Country's encouragement award and the President's excellence award in 1991, 1992, 1993 and 1995 respectively. Khaled Wahba is an Assistant Professor in the ...
O presente artigo tem por objetivo apresentar a implementação dos modelos clássicos da Análise Envoltória de Dados (DEA – Data Envelopment Analysis) no ambiente R, em particular o modelo com retornos constantes de escala (CRS) e o modelo... more
O presente artigo tem por objetivo apresentar a implementação dos modelos clássicos da Análise Envoltória de Dados (DEA – Data Envelopment Analysis) no ambiente R, em particular o modelo com retornos constantes de escala (CRS) e o modelo com retorno variável de escala (VRS), nasbversões dos multiplicadores e envelope e com orientação ao insumo. A implementação computacional é ilustrada por meio de um estudo de caso com as 18 maiores distribuidoras do setomanagementr elétricmanao brasileiro.
In the paper, we consider three quadratic optimization problems which are frequently applied in portfolio theory, i.e, the Markowitz mean-variance problem as well as the problems based on the mean-variance utility function and the... more
In the paper, we consider three quadratic optimization problems which are frequently applied in portfolio theory, i.e, the Markowitz mean-variance problem as well as the problems based on the mean-variance utility function and the quadratic utility.Conditions are derived under which the solutions of these three optimization procedures coincide and are lying on the efficient frontier, the set of mean-variance optimal
This study proposes a non-parametric efficiency frontier analysis method based on artificial neural network (ANN) and genetic algorithm clustering ensemble (GACE) for measuring efficiency as a complementary tool for the common techniques... more
This study proposes a non-parametric efficiency frontier analysis method based on artificial neural network (ANN) and genetic algorithm clustering ensemble (GACE) for measuring efficiency as a complementary tool for the common techniques of the efficiency studies in the previous studies. The proposed ANN GA algorithm is able to find a stochastic frontier based on a set of input–output observational data and do not require explicit assumptions about the functional structure of the stochastic frontier. Furthermore, it uses a similar approach to econometric methods for calculating the efficiency scores. Moreover, the effect of the return to scale of decision making unit (DMU) on its efficiency is included and the unit used for the correction is selected based on its scale (under constant return to scale assumption). Also, in this algorithm, GA is used to cluster DMUs to increase DMUs’ homogeneousness. It should be noted that data envelopment analysis (DEA) is sensitive to the presence of the outliers and statistical noise. It is also not capable of performing prediction and forecasting. This is shown by two examples related to outlier situations. However, the proposed algorithm is capable of handling outliers and noise and DEA is used as a benchmark to show advantages of the proposed algorithm. Also, the proposed algorithm and conventional algorithm are compared in viewpoint of DEA through statistical t-test. The proposed approach is applied to a set of actual conventional power plants to show its applicability and superiority.
For the past decade, many evolutionary multi-objective optimization (EMO) methodologies have been developed and applied to find multiple Pareto-optimal solutions in a single simulation run. In this paper, we discuss three different... more
For the past decade, many evolutionary multi-objective optimization (EMO) methodologies have been developed and applied to find multiple Pareto-optimal solutions in a single simulation run. In this paper, we discuss three different classical generating methods, some of which were suggested even before the inception of EMO methodologies. These methods specialize in finding multiple Pareto-optimal solutions in a single simulation run. On visual comparisons of the efficient frontiers obtained for a number of two and three-objective test problems, these algorithms are evaluated with an EMO methodology. The results bring out interesting insights about the strengths and weaknesses of these approaches. Further investigations of such classical generating methodologies and their evaluation should enable researchers to design a hybrid multi-objective optimization algorithm which may be better than each individual method.
This paper investigates how the local authorities could efficiently regulate the public transit, which is operated by a private firm. Both the waiting time at stops and the in-vehicle congestion costs are taken into account to reflect the... more
This paper investigates how the local authorities could efficiently regulate the public transit, which is operated by a private firm. Both the waiting time at stops and the in-vehicle congestion costs are taken into account to reflect the transit service quality. The Pareto-efficient frontier is derived and three types of regulation strategies, namely Price-cap, Return-on-output and Quantity control, are analyzed and compared. On one hand, although the Price-cap regulation can attract more demand effectively, the private firm will inefficiently supply a lower frequency to keep the cost down. On the other hand, both the Return-on-output (ROO) and Quantity-control regulations are Pareto efficient that can keep the transit system operating along the Pareto-efficient frontier. Especially, Quantity-control regulation seems to be more attractive than ROO as there is no need for the firm’s accounting information. In addition to the investigations on regulation, a new optimal demand-frequen...
We estimate inefficiency for the Chilean banking system in the period 1990-1999 through a sample of 24 national and foreign banks. Estimations indicate that the large banks are closer to their efficient frontiers (or display less... more
We estimate inefficiency for the Chilean banking system in the period 1990-1999 through a sample of 24 national and foreign banks. Estimations indicate that the large banks are closer to their efficient frontiers (or display less x-inefficiency) as compared to the group of very small, small and medium-sized banks, which is consistent with international studies. National and large banks appear to be more efficient. It is exactly the latter group which has reported greater levels of risk and book returns. Also, the group of foreign bank branches displays the greatest levels of inefficiency, practically six times the level detected for national banks. Finally, inefficiency in the national banking system appears more clearly related to book returns that to risk.
Los servicios médicos de alta complejidad constituyen un sector con alto potencial de generación de divisas y buen desempeño competitivo por el acceso a altos desarrollos tecnológicos. La medición de la eficiencia en este sector en el... more
Los servicios médicos de alta complejidad constituyen un sector con alto potencial de generación de divisas y buen desempeño competitivo por el acceso a altos desarrollos tecnológicos. La medición de la eficiencia en este sector en el país es un aspecto importante si se quiere ser competitivo. Con una muestra de 20 hospitales y clínicas latinoamericanos en el año 2009, utilizando la información suministrada por América Economía, se midió la eficiencia de 5 entidades colombianas incluidas allí. La medición se hizo mediante la metodología DEA. Los resultados arrojaron que 4 de las entidades colombianas se encuentran sobre la frontera de eficiencia y la restante solo debe hacer ajustes en el uso del espacio físico, en aquellos campos en los que esto sea posible. La conjunción de eficiencia, precios competitivos y calidad del servicio le auguran un buen futuro a los servicios médicos de alta complejidad en el país. Abstract The medical services of complex surgeries is a sector with high...
Los servicios médicos de alta complejidad constituyen un sector con alto potencial de generación de divisas y buen desempeño competitivo por el acceso a altos desarrollos tecnológicos. La medición de la eficiencia en este sector en el... more
Los servicios médicos de alta complejidad constituyen un sector con alto potencial de generación de divisas y buen desempeño competitivo por el acceso a altos desarrollos tecnológicos. La medición de la eficiencia en este sector en el país es un aspecto importante si se quiere ser competitivo. Con una muestra de 20 hospitales y clínicas latinoamericanos en el año 2009, utilizando la información suministrada por América Economía, se midió la eficiencia de 5 entidades colombianas incluidas allí. La medición se hizo mediante la metodología DEA. Los resultados arrojaron que 4 de las entidades colombianas se encuentran sobre la frontera de eficiencia y la restante solo debe hacer ajustes en el uso del espacio físico, en aquellos campos en los que esto sea posible. La conjunción de eficiencia, precios competitivos y calidad del servicio le auguran un buen futuro a los servicios médicos de alta complejidad en el país. Abstract The medical services of complex surgeries is a sector with high...
