Sunday

SA68
4 - Detection of Approximate Periodicity in Categorical Time Series
with Time Intervals
Jian Liu, Assistant Professor, The University of Arizona, Rm 221
ENGR Building, 1127 E. James E. Rogers Way, Tucson, AZ, 85721,
United States of America, jianliu@sie.arizona.edu, Zhenrui Wang,
Mingyang Li, Sean Dessureault
Categorical time series are symbol sequences arranged in the order of occurrence.
When time of occurrences of symbols is also available, order and time
information should be fused to detect periodic patterns. In practice, symbols often
repeat with only approximately equal time intervals. This paper employs
statistical method for the detection of such approximate periodicity. A case study
from mining industry demonstrates the effectiveness of the proposed approach.
5 - Modeling, Experimental Design, and Analysis of
Stereolithography Process for Direct 3-D Printing
Jizhe Zhang, University of Southern California, 3715 McClintock
Avenue, GER 240, Los Angeles, CA, 90089, United States of
America, jizhezha@usc.edu, Qiang Huang, Arman Sabbaghi,
Tirthankar Dasgupta
We propose a systematic model to model and predict the shrinkage process to
address the accuracy problem for Stereolithography (SLA, one technique for 3-D
printing), instead of the traditional finite element simulation or experimental
trial-and-error methods. A variant of Latin Square experimental design is
employed to identify the process model and the experimental outcomes are
analyzed for optimized compensation. One case study is presented to verify the
shrinkage model and compensation.
■ SA68
68- Suite 312- Hyatt
Finance: Portfolio Analysis
Contributed Session
Chair: Ludovic Cales, HEC - University of Lausanne, Bat. Extranef,
Room 253, Lausanne, 1015, Switzerland, ludovic.cales@unil.ch
1 - Absolute Return Portfolios
John Beasley, Brunel University & JB Consultants,
United Kingdom, john.beasley@brunel.ac.uk
We consider the problem of deciding an absolute return portfolio, a portfolio of
assets that is designed to deliver a constant return over time. We present a threestage
mixed-integer zero-one program for the problem that explicitly considers
transaction costs associated with trading. We extend our approach to the problem
of designing portfolios with differing characteristics. Computational results are
given for portfolios derived from universes defined by S&P international equity
indices.
2 - A New Approach to Asset Allocation: Constructing Portfolio
Holdings Directly
Nan Xiong, Carnegie Mellon University, Tepper School of Business,
5000 Forbes Avenue, Pittsburgh, PA, United States of America,
nxiong@andrew.cmu.edu, Javier Peña, Burton Hollifield
In this paper, we propose a new approach to portfolio construction, which
incorporates the estimation and optimization into a one-stage problem. We
propose a new portfolio allocation strategy based on our one-stage formulation.
We show that the resulting portfolio weights are less sensitive to the noisy data.
Moreover, the proposed portfolio tends to perform better out-of-sample. The
numerical results based on empirical and simulated data confirm our findings.
3 - Interactive Portfolio Optimization using Mean-Gini Criteria
Ran Ji, PhD Student, George Washington University, 2201 G St.,
Funger Hall 415H, Washington DC, DC, 20052, United States of
America, jiran@gwu.edu, Miguel Lejeune, Srinivas Prasad
We propose a bi-objective Mean-Gini portfolio optimization model. An interactive
solution procedure is designed to elicit preferences among the efficient portfolios.
Computational results describing the convergence of the interactive procedure
and the out-of-sample performance of the portfolios will be presented.
4 - A Bi-objective Portfolio Model for Supporting Services
in a Hospital
Bartosz Sawik, PhD, Department of Applied Computer Science,
Faculty of Management, AGH University of Science and
Technology, Al. Mickiewicza 30, Krakow, 30059, Poland,
B_Sawik@yahoo.com
This paper presents a bi-objective portfolio model for optimal allocation of
supporting services in a hospital. The services include inventory, financial,
operations management, etc. The optimality criteria of the problem are
minimization of operational costs of supporting services subject to some specific
constraints. The constraints represent specific conditions for resource allocation in
a hospital. The computational experiments based on a real data from a hospital in
Poland.
INFORMS Phoenix – 2012
78
5 - A Rank-based Approach to Cross-sectional Analysis
Ludovic Cales, HEC-University of Lausanne, Bat. Extranef,
Room 253, Lausanne, 1015, Switzerland, ludovic.cales@unil.ch,
Monica Billio, Dominique Guègan
This paper studies the cross-sectional effects present in the market using a new
graph theoretic framework. We model the evolution of a dynamic portfolio, i.e. a
portfolio whose weights change over time, as a function of cross-sectional factors
where the predictive ability of each factor is described by a variable. This
modeling permits us to measure the marginal and joint effects of different crosssection
factors on a given dynamic portfolio. Applications are presented.
■ SA69
69- Suite 314- Hyatt
Finance: Banking and Insurance
Contributed Session
Chair: Komlan Sedzro, Professor, School of Management, University of
Quebec, 315 Ste Catherine Est, succ. Centre-Ville, Montreal, QC,
H3C3P8, Canada, sedzro.k@uqam.ca
1 - Loan Rate Optimization for Financing Platforms
Wei Wang, IBM Research-China, Building 19 Zhongguancun
Software Park, Haidian District, Beijing, 100193, China,
Wangwcrl@cn.ibm.com, Yueting Chai, Hongwei Ding, Jin Dong
Financing platform is an important channel for small and medium enterprises
(SME) to get loan supports. When receiving a loan request from a client, the
financing platform needs to made decision on the loan rate. We build an
optimization model for decision support. The objective is to maximize the profit
and minimize the financing risks. A local-search based heuristics algorithm is
designed to find the optimal solution; the simulation model is built to evaluate
each option.
2 - B-spline Method of Estimating Term Structure of Interest Rate
Yifeng Yan, Xi’an Jiaotong University, No.2269 Mailbox, Xi’an,
710049, China, yanyifeng0123@163.com, Ju’e Guo
This study implements the B-spline method to estimate the term structure of
interest rate using data in Shanghai stock exchange. It shows that the B-spline
method has fine goodness of fitting.The B-spline method can be used as an
effective tool of monitoring interest rate level and formulating monetary policies.
3 - The Informational Advantage of Local Investors: Evidence from
Fund Managers Trades
Kian Ming Tan, Associate Lecturer, University of New South
Wales, Kensington, Sydney, Australia, eric.tan@unsw.edu.au
The economic value of geography for money managers is now well supported in
the literature by evidence of the profitability of local investments. Using data on
both mutual fund equity holdings and fund returns, we find stocks with higher
local investor participation to be associated with stocks abnormal returns during
post event period. In addition, local ownership seems to predict funds increasing
weighting on affected firms which experience lower credit risk.
4 - Finite Precision Errors in Stochastic Financial Networks
Ganesh Perumal, International Institute of Information
Technology, 26/C Electronics City, Bangalore, India,
ganesh_perumal@iiitb.ac.in, Abhilasha Aswal,
G. N. Srinivasa Prasanna
A financial network of money transfers involving multiple currencies may be
erroneous due to the usage of IEEE 754 binary standards. The fluctuations in
currency exchange rates make this a random graph. In this presentation we show
how to exploit such graphs to maximize cumulative errors in favour of some
entity.
5 - Comparing the Performance of Microfinance Institutions in
South America and Asia
Komlan Sedzro, Professor, School of Management, University of
Quebec, 315 Ste Catherine Est, succ. Centre-Ville, Montréal, QC,
H3C3P8, Canada, sedzro.k@uqam.ca, Marie-Héléne Noiseux
We apply multi-directional efficiency analysis to compare the performance of
microfinance institutions (MFIs) in South America and Asia. Indeed, despite their
supposedly importance in combating financial exclusion, many MFIs find it hard
to attain financial independence. This fact in itself justifies the importance of
studies on the performance of MFIs, especially interregional comparisons. The
objective is to see if the MFIs in one region can copy the good practices of another
geographic area.