Technical Sessions – Monday July 11

TD-18 IFORS 2011 - Melbourne
In this paper, a new dynamic portfolio selection model is established. Different
from original consideration that risk is defined as the variance of terminal
wealth, the total risk is defined as the average of the sum of maximum absolute
deviation of all assets in all periods. At the same time, noticing that the risk
during the period is so high that the investor may go bankrupt, a maximum risk
level is given to control risk in every period. By introducing an auxiliary problem,
the optimal strategy is deduced via the dynamic programming method.
3 - Portfolio-selection Models for Small Investors
Philipp Baumann, Department of Business Administration,
University of Bern, IFM, AP Quantitative Methoden,
Schützenmattstrasse 14, 3012, Bern, Switzerland,
philipp.baumann@pqm.unibe.ch, Norbert Trautmann
We study the problem of investing capital in stocks such that the risk is minimized,
a certain rate of return is guaranteed and some small-investors specific
constraints are met. We extend four portfolio selection models from the literature
in order to consider transaction-costs, minimum transaction units, and
dividends. In an experimental analysis, we apply each model using historical
data of 239 Swiss stocks. All models generate portfolios which yield higher
mean returns than the Swiss Performance Index. However, the return of the
Swiss Performance Index has a considerably lower variance.
4 - Cost Efficiency of German Mutual Fund Complexes
Alexander Schaefer, Goethe-University, Germany,
schaefer@finance.uni-frankfurt.de
German mutual fund complexes are far from being cost efficient. This result
is derived by applying the nonparametric linear programming method known
as data envelopment analysis. We use the sum of operating and commission
expenses as input and the assets under management differentiated into retail
and institutional funds as outputs. Furthermore, we choose an input-orientation
and allow for variable returns to scale. Finally, we run multiple second-stage
regressions to assess the impact of explanatory variables on cost efficiency, but
the results are ambiguous.
� TD-18
Tuesday, 17:00-18:30
Meeting Room 215
Applications of DEA
Stream: Data Envelopment Analysis
Invited session
Chair: Jenq-Hann Chung, Department of Business Administration,
National Central University, 300, Jhongda Rd., 320, Jhongli, Taoyuan
County, Taiwan, frmcfaactuary@gmail.com
1 - Risk Ranking of GPT Service Failures Resulting in
Third-Party Complaints
Jenq-Hann Chung, Department of Business Administration,
National Central University, 300, Jhongda Rd., 320, Jhongli,
Taoyuan County, Taiwan, frmcfaactuary@gmail.com, Dong
Shang Chang
Third-party complaints of service failures are a higher-order action of customers.
For reducing these complaints and protecting long-term profits of service
firms, FMEA can be employed to identify the major potential risk and
to take preventive actions at design stage. There is little information in literature
on third-party complaints of group package tours(GPT). The purpose of
this study is to evaluate the risk prioritization of twenty service failure modes
for Taiwanese outbound GPT. A novel approach,based on DEA and FMEA,is
applied for risk ranking.
2 - Efficiency of Israeli Local Municipalities in Preventing
Road Accidents via DEA
Zilla Sinuany-Stern, Industrial Engineering and Management,
Ben Gurion University, Beer-Sheva, 84105, Israel,
zilla@bgu.ac.il, Doron Alper
The purpose of this study is to estimate the relative efficiency of 197 local municipalities
in traffic safety in Israel via DEA. We used here 2 inputs, 6 main
outputs, and 8 intermediate variables. Several DEA versions were used on subsets
of the variables, including a two stage procedure. Further analyses utilizing
multiple regression and factor analysis were preformed to verify the effect of
various environmental parameters on the efficiency. The environmental parameters,
tested for each local municipality, were related to the size, the age, and
socio-economic level of the population.
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3 - Efficiency and Malmquist Index of Chinese Financial
Companies
Debin Tan, School of Business Administration, Southwestern
University of Finance and Economics, China, 55 Guanghuacun,
Chengdu 610074, China, zhunan2001@yahoo.com.cn, Nan Zhu,
Xingchen Zhu
This paper applies the data envelopment analysis and Malmquist index method
to measure the productive efficiency and total factor productivity of Chinese
Financial Companies over the period between 2006 and 2009. The results and
conclusion are provided.
4 - Towards More Sophisticated Identification of Efficiency
Drivers in Business Processes
Anne Dohmen, ProcessLab, Frankfurt School of Finance &
Management, Sonnemannstr. 9-11, 60314 , Frankfurt am Main,
Germany, a.dohmen@fs.de
This paper presents a new three-stage approach for identifying drivers of efficiency
in business processes by combining Data Envelopment Analysis with
data mining. Compared to commonly used one-stage and two-stage DEAmodels,
the presented approach does not need a priori knowledge about potential
drivers of efficiency, but identifies structural associations between process
instances’ characteristics and their efficiency scores. The paper further shows a
real-life application of this approach to the derivatives settlement and clearing
process of a major European bank.
� TD-19
Tuesday, 17:00-18:30
Meeting Room 216
Issues in OR Education in Developing
Nations
Stream: Education and Operations Research
Invited session
Chair: Javier Faulin, Department of Statistics and OR, Public
University of Navarre, Los Magnolios Builing. First floor, Campus
Arrosadia, 31006, Pamplona, Navarra, Spain,
javier.faulin@unavarra.es
1 - Factors that may Account for Delayed Graduation at the
University of Limpopo in South Africa
Negussie Yibas, Statistics and Operations Researc, University of
Limpopo, Turfloop Campus, 0727, Polokwane, Limpopo, South
Africa, negussieyibas@gmail.com
University of Limpopo admits its students from overseas and different parts
of South Africa. Not all students complete their studies and graduate on the
record time. Some students need one or more academic years over and above
the record time to complete and graduate. This paper attempts to identify the
main factors that may account for the delay using logit analysis. In the process
of identification of the factors, the average delay time in approximate number
years and the proportion of students completing on the record time will be
estimated.
2 - Application of Operations Research Tools to Aid Performance
Growth of Small Scale Industry in National Development
in Sub-saharan Africa
Joshua Magbagbeola, Dept. of Actuarial Science and Insurance,
Joseph Ayo Babalola University, P.M.B. 5006, Ilesha, 234,
Ikeji-Arakeji, Osun State, Nigeria,
kunle_magbagbeola@yahoo.com, Jonathan Adetoso
Most entrepreneurs in sub-saharan africa are even undecided about the type of
business to set up and lack necessary business ideas. Some Small scale operators
are undecided on how to finanace their business and where to source for
the funds. Lack of entrepreneurship culture and education. Rudimentary introduction
to tools in Operations Research (O.R.) need be encouraged, in other
to assist the young business owners in the art and science of decision making
which will help in overcoming challenges.