Abstract:We prove that the Omega measure, which considers all moments when assessing portfolio performance, is equivalent to the widely used Sharpe ratio under jointly elliptic distributions of returns. Portfolio optimization of the Sharpe ratio is then explored, with an active-set algorithm presented for markets prohibiting short sales. When asymmetric returns are considered, we show that the Omega measure and Sharpe ratio lead to different optimal portfolios.
This work focuses on finding optimal locations for charging stations for one-way electric car sharing programs. The relocation of vehicles by a service staff is generally required in vehicle sharing programs in order to correct imbalances in the network. We seek to limit the need for vehicle relocation by strategically locating charging stations given estimates of traffic flow. A mixed-integer linear programming formulation is presented with a large number of potential charging station locations. A column generation approach is used which finds an optimal set of locations for the continuous relaxation of our problem. Results of a numerical experiment using real traffic and geographic information system location data show that our formulation significantly increases the balanced flow across the network, while our column generation technique was found to produce a superior solution in much shorter computation time compared to solving the original formulation with all possible station locations.
We introduce a chance constrained optimization model for the fulfillment of guaranteed display Internet advertising campaigns. The proposed formulation for the allocation of display inventory takes into account the uncertainty of the supply of Internet viewers. We discuss and present theoretical and computational features of the model via Monte Carlo sampling and convex approximations. Theoretical upper and lower bounds are presented along with a numerical substantiation.
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