This paper proposes a model for portfolio optimisation, in which distributions are characterised and compared on the basis of three statistics: the expected value, the variance and the CVaR at a specified confidence level. The problem is multi-objective and transformed into a single objective problem in which variance is minimised while constraints are imposed on the expected value and CVaR. In the case of discrete random variables, the problem is a quadratic program. The mean-variance (meanCVaR) efficient solutions that are not dominated with respect to CVaR (variance) are particular efficient solutions of the proposed model. In addition, the model has efficient solutions that are discarded by both mean-variance and mean-CVaR models, although they may improve the return distribution. The model is tested on real data drawn from the FTSE 100 index. An analysis of the return distribution of the chosen portfolios is presented.
Given a set of objects and their pairwise distances, we wish to determine a visual representation of the data. We use the quartet paradigm to compute a hierarchy of clusters of the objects. The method is based on an NP-hard graph optimization problem called the Minimum Quartet Tree Cost problem. This paper presents and compares several heuristic approaches to approximate the optimal hierarchy. The performance of the algorithms is tested through extensive computational experiments and it is shown that the Reduced Variable Neighborhood Search heuristic is the most effective approach to the problem, obtaining high-quality solutions in short computational running times.
This paper studies heuristics for the minimum labelling spanning tree (MLST) problem. The purpose is to find a spanning tree using edges that are as similar as possible. Given an undirected labelled connected graph, the minimum labelling spanning tree problem seeks a spanning tree whose edges have the smallest number of distinct labels. This problem has been shown to be NP-hard. A Greedy Randomized Adaptive Search Procedure (GRASP) and a Variable Neighbourhood Search (VNS) are proposed in this paper. They are compared with other algorithms recommended in the literature: the Modified Genetic Algorithm and the Pilot Method. Nonparametric statistical tests show that the heuristics based on GRASP and VNS outperform the other algorithms tested. Furthermore, a comparison with the results provided by an exact approach shows that we may quickly obtain optimal or near-optimal solutions with the proposed heuristics.
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