Technical Sessions – Monday July 11

FA-18 IFORS 2011 - Melbourne
2 - The Trend is not Your Friend! Demystifying the Empirical
Track Record of Techn. Trading Rules and its Interrelation
with Market Efficiency by Asset Price Characteristics
Peter Scholz, Frankfurt School of Finance and Management,
60314, Frankfurt am Main, Germany,
p.scholz@frankfurt-school.de, Ursula Walther
The empirical success of technical trading rules, contradicting the efficient market
hypothesis, still seems puzzling. We contribute by showing that timing success
can be explained by the statistical characteristics of the underlying asset
price, where market efficiency does not play any role. Five impact factors are
studied: return autocorrelation, trend, volatility and its clustering and market
efficiency. Different simple moving average rules are applied to simulated and
real asset price data to allow for systematic parameter variations. Evaluation is
done on the entire return distribution.
3 - Rational Choice in IPD Games from an Investor’s Perspective
Ulla Hofmann, Institute for Management, University Koblenz,
Universitätsstraße 1, 50670, Koblenz, Germany,
uhofmann@uni-koblenz.de, Thomas Burkhardt
We consider experimental results in an iterated prisoner’s dilemma game from
the perspective of a rational investor. We describe observed behavior using a
stochastic Markov model and analyze the properties of the return distribution
from the investor’s perspective. Some first theoretical considerations regarding
optimal choice are discussed.
� FA-18
Friday, 9:00-10:30
Meeting Room 215
Applications of DEA in Health Sector
Stream: Data Envelopment Analysis
Invited session
Chair: Ana Camanho, Faculdade de Engenharia, Universidade do
Porto, DEMEGI - GEIN, Rua Dr. Roberto Frias, 4200-465, Porto,
Portugal, acamanho@fe.up.pt
1 - Estimating Technical Efficiency of Social Security Hospitals
in Iran by Data Envelopment Analysis
Nahid Hatam, Health Service Administration, Shiraz University
of Medical Sciences(SUMS) -Shiraz - Iran, School of
Management & Medical Information Sciences, 0098, Shiraz,
Fars, Iran, Islamic Republic Of, hatamn@sums.ac.ir, Kimia
Purmohamadi, Ali Keshtkaran, Mehdi Javanbakht
This study examines the technical and scale efficiency of 64 public hospitals
affiliated to social security organization in Iran, between 2006-2008, by estimating
a deterministic frontier production function and the variable return to
scale (VRS), and input-oriented DEA model.
2 - Evaluating Relative Efficiency of Regulatory Departments
in Pharmaceutical Companies in Iran
Seyed Hamid Mostafavi, Socioeconomic Research Center,
Cardiff University, Welsh School of Pharmacy, Redwood
Building, King Edward VII Ave, CF10 3NB, Cardiff, United
Kingdom, seyedhamid.mostafavi@gmail.com, Sam Salek
This study applies DEA to determine the technical efficiency of DMUs based
on technical, operational and financial inputs and outputs, and identify key performance
indicators of the regulatory departments in pharmaceutical companies
and evaluate their relative efficiencies. The results give efficiency scores
of 11 companies and show that 3 were efficient. It is concluded that the existence
of an independent regulatory department can create and sustain superior
performance for companies to reach competitive advantage by exploiting new
opportunities vis-à-vis new products’ time to market.
3 - Assessing Efficiency of Primary Healthcare: Comparing
DEA and SFA
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Sergio Maturana, Ingenieria Industrial y de Sistemas, P.
Universidad Catolica de Chile, Casilla 306 Correo 22, Santiago,
Chile, smaturan@ing.puc.cl, Martha Ramirez-Valdivia
This article uses the same data set and compares the efficiency ranking and index
by applying Data Envelopment Analysis and Stochastic Frontier Analysis
to 259 nationwide municipalities that administer Chilean primary healthcare.
The SFA efficiency value reaches 79.34% whilst the DEA value is 82.07%.
Up to 67% decision making units found to be "better’ under DEA were also
classified as "better’ under SFA. The results show that both methods provide
efficiency measures that are similar enough to conclude that there are no statistically
significant differences between them.
4 - Benchmarking Countries Environmental Performance
Andreia Zanella, FEUP - Faculdade de Engenharia da
Universidade do Porto, Portugal, andreia.zanella@fe.up.pt, Ana
Camanho, Teresa Galvão Dias
Environmental performance assessments are often conducted using environmental
indicators. These indicators provide a starting point for comparisons,
although the identification of directions for improvement is difficult. The main
contribution of this paper is the development of a DEA model with virtual
weight restrictions that provides a summary measure of countries performance.
It also enables the identification of the strengths and weaknesses of each country,
as well as the peers and targets that inefficient countries should follow to
improve environmental practices.
� FA-19
Friday, 9:00-10:30
Meeting Room 216
Multiobjective Flows and Paths Problems
Stream: Network Optimisation and Telecommunications
Contributed session
Chair: Bi Yu Chen, Department of Civil and Structural Engineering,
The Hong Kong Polytechnic University, Kowloon, Hong Kong,
chen.biyu@gmail.com
1 - Algorithms for Biojective Shortest Path Problems in
Fuzzy Networks
Iraj Mahdavi, Department of Industrial Engineering, Mazandaran
University of Science & Technology, P.O.Box 734, 4716685635,
Babol, Mazandaran, Iran, Islamic Republic Of,
irajarash@rediffmail.com
We consider biobjective shortest path problems in networks with fuzzy arc
lengths. Considering the available studies for single objective shortest path
problems in fuzzy networks, using a distance function for comparison of fuzzy
numbers, we propose three approaches for solving the biobjective problems.
We propose a fuzzy number ranking method to determine a fuzzy shortest
path. Illustrative examples are worked out to show the effectiveness of our
algorithms.
2 - Multiobjective Shortest Paths in Multimodal Networks
Romain Billot, Smart Transport Research Centre, QUT, 2 George
St GPO box 2434, 4101, Brisbane, QLD, Australia,
billotro@gmail.com, David Rey
Computation of multimodal travel time has become a critical issue for the transportation
specialists in order to provide the network users with an efficient information
about their journey conditions. After a review of the different approaches
for multimodal shortest paths computation and a practical example
for the city of Lyon in France, we broad the topic by considering the multiobjective
aspects. We present a method that combines the use of A* algorithms
with genetic algorithms and conclude the paper with a discussion about the
introduction of the stochasticity into theses solutions.
3 - A Return to the Traveling Salesman Model: The Network
Branch and Bound Approach
Elias Munapo, Decision Sciences Dept., University of South
Africa, Preller Street, Pretoria, P. O. Box 392, UNISA 0003, 27,
Pretoria, Gauteng, South Africa, munape@unisa.ac.za
This paper presents a network branch and bound approach for solving the difficult
traveling salesman (TSP) problem. A rooted tree is how the TSP is tackled,
with the root representing the optimal solution, and lower levels representing
sub-problems traversed using a combination of minimum spanning tree (MST),
arc fixing and leaf removal. In that sense, the tree is optimized (in terms of size
at lower levels) by starting with nodes having smallest degree. The strength
of the method lies in that the MST is easier to solve than either the linear programming
or assignment based algorithms.