Pub Date : 2021-11-06DOI: 10.1142/s0219622021500668
Jian-hu Cai, Haining Sun, Xuejiao Li, Daji Ergu
Conducting a second production run can improve the company’s capability of meeting the market demand. Few works examine optimal input quantity decisions under the mode with two production chances considering demand and yield uncertainty. We propose a vendor-managed inventory (VMI) supply chain with one supplier and one retailer. The supplier has two production chances and faces yield uncertainty in each production run. It is necessary for the supplier to make trade-offs between the cost and benefit of the second production run, then decide whether to conduct the second production run. We investigate the supplier’s optimal input quantity decision in each production run and obtain the supply chain members’ expected profits. As a comparison, the mode with one production chance is also developed. We find that two production chances can help improve the performance of the supply chain under yield uncertainty. A revenue-sharing contract is introduced to coordinate the supply chain with two production chances, and efficient profit allocation is achieved through adjusting the revenue-sharing ratio and the wholesale price. An extension is conducted for a sensitivity analysis of unit punishment cost on the supplier’s input quantity decisions.
{"title":"Input Quantity Decision and Coordination Mechanism with Two Production Chances and Yield Uncertainty","authors":"Jian-hu Cai, Haining Sun, Xuejiao Li, Daji Ergu","doi":"10.1142/s0219622021500668","DOIUrl":"https://doi.org/10.1142/s0219622021500668","url":null,"abstract":"Conducting a second production run can improve the company’s capability of meeting the market demand. Few works examine optimal input quantity decisions under the mode with two production chances considering demand and yield uncertainty. We propose a vendor-managed inventory (VMI) supply chain with one supplier and one retailer. The supplier has two production chances and faces yield uncertainty in each production run. It is necessary for the supplier to make trade-offs between the cost and benefit of the second production run, then decide whether to conduct the second production run. We investigate the supplier’s optimal input quantity decision in each production run and obtain the supply chain members’ expected profits. As a comparison, the mode with one production chance is also developed. We find that two production chances can help improve the performance of the supply chain under yield uncertainty. A revenue-sharing contract is introduced to coordinate the supply chain with two production chances, and efficient profit allocation is achieved through adjusting the revenue-sharing ratio and the wholesale price. An extension is conducted for a sensitivity analysis of unit punishment cost on the supplier’s input quantity decisions.","PeriodicalId":13527,"journal":{"name":"Int. J. Inf. Technol. Decis. Mak.","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-11-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74140874","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-11-03DOI: 10.1142/s021962202150067x
Govindasamy Chinnaraj, A. Antonidoss
Inventory cost control is an essential factor in supply chain management. If the supplier’s inventory is insufficient, then the chance to trade the product will be reduced. The manufacturer’s inadequate material inventory will have an effect in termination of production, delays, and a waste of resources and time. On the other hand, postponed transportation will certainly raise costs such as transportation costs and cancellation of orders. Therefore, the operation costs of enterprises will be more, which will lower profits. In conventional supply chains, inventory costs control is not feasible for the view of the entire supply chain. The main intent of this paper is to plan for intelligent inventory management using blockchain technology under the cloud sector. The inventory management of the supply chain includes “multiple suppliers, a manufacturer, and multiple distributors”. The proposed inventory management models consider some significant costs like “transaction cost, inventory holding cost, shortage cost, transportation cost, time cost, setup cost, backordering cost, and quality improvement cost”. This multi-objective cost function is minimized by a novel hybrid optimization algorithm; the concept of WOA is integrated to produce the new algorithm which is termed as Whale-based Multi Verse Optimization (W-MVO) algorithm. For securing the data of distributors, using blockchain technology in a cloud environment helps from the leakage of data to other unauthorized users. Once the cost is reduced in all aspects based on the proposed hybrid optimization algorithm, the distributer will store the concerning data in the blockchain under the cloud sector, where each distributer holds a hash function to store its data, which cannot be restored by the other distributers. The valuable performance analysis over the conventional optimization algorithms proves the effective and reliable performance of the proposed model over the conventional models.
{"title":"Enhanced Inventory Management Using Blockchain Technology Under Cloud Sector Enabled by Hybrid Multi-Verse with Whale Optimization Algorithm","authors":"Govindasamy Chinnaraj, A. Antonidoss","doi":"10.1142/s021962202150067x","DOIUrl":"https://doi.org/10.1142/s021962202150067x","url":null,"abstract":"Inventory cost control is an essential factor in supply chain management. If the supplier’s inventory is insufficient, then the chance to trade the product will be reduced. The manufacturer’s inadequate material inventory will have an effect in termination of production, delays, and a waste of resources and time. On the other hand, postponed transportation will certainly raise costs such as transportation costs and cancellation of orders. Therefore, the operation costs of enterprises will be more, which will lower profits. In conventional supply chains, inventory costs control is not feasible for the view of the entire supply chain. The main intent of this paper is to plan for intelligent inventory management using blockchain technology under the cloud sector. The inventory management of the supply chain includes “multiple suppliers, a manufacturer, and multiple distributors”. The proposed inventory management models consider some significant costs like “transaction cost, inventory holding cost, shortage cost, transportation cost, time cost, setup cost, backordering cost, and quality improvement cost”. This multi-objective cost function is minimized by a novel hybrid optimization algorithm; the concept of WOA is integrated to produce the new algorithm which is termed as Whale-based Multi Verse Optimization (W-MVO) algorithm. For securing the data of distributors, using blockchain technology in a cloud environment helps from the leakage of data to other unauthorized users. Once the cost is reduced in all aspects based on the proposed hybrid optimization algorithm, the distributer will store the concerning data in the blockchain under the cloud sector, where each distributer holds a hash function to store its data, which cannot be restored by the other distributers. The valuable performance analysis over the conventional optimization algorithms proves the effective and reliable performance of the proposed model over the conventional models.","PeriodicalId":13527,"journal":{"name":"Int. J. Inf. Technol. Decis. Mak.","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-11-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81218835","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-10-12DOI: 10.1142/s0219622021500644
Anderson Ara, F. Louzada
The main goal of this paper is to introduce a new procedure for a naïve Bayes classifier, namely alpha skew Gaussian naïve Bayes (ASGNB), which is based on a flexible generalization of the Gaussian distribution applied to continuous variables. As a direct advantage, this method can accommodate the possibility to handle with asymmetry in the uni or bimodal behavior. We provide the estimation procedure of this method, and we check the predictive performance when compared to other traditional classification methods using simulation studies and many real datasets with different application fields. The ASGNB is a powerful alternative to classification tasks when lie the presence of asymmetry of bimodality in the data and outperforms well when compared to other traditional classification methods in most of the cases analyzed.
{"title":"Alpha Skew Gaussian Naïve Bayes Classifier","authors":"Anderson Ara, F. Louzada","doi":"10.1142/s0219622021500644","DOIUrl":"https://doi.org/10.1142/s0219622021500644","url":null,"abstract":"The main goal of this paper is to introduce a new procedure for a naïve Bayes classifier, namely alpha skew Gaussian naïve Bayes (ASGNB), which is based on a flexible generalization of the Gaussian distribution applied to continuous variables. As a direct advantage, this method can accommodate the possibility to handle with asymmetry in the uni or bimodal behavior. We provide the estimation procedure of this method, and we check the predictive performance when compared to other traditional classification methods using simulation studies and many real datasets with different application fields. The ASGNB is a powerful alternative to classification tasks when lie the presence of asymmetry of bimodality in the data and outperforms well when compared to other traditional classification methods in most of the cases analyzed.","PeriodicalId":13527,"journal":{"name":"Int. J. Inf. Technol. Decis. Mak.","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-10-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73020812","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-10-12DOI: 10.1142/s0219622021500620
S. Sadabadi, A. Hadi-Vencheh, A. Jamshidi, Mehrdad Jalali
Owing to vague concepts frequently represented in decision data, the crisp values are inadequate to model real-life situations. In this paper, the rating of each alternative and the weight of each criterion is described by linguistic terms which can be expressed in triangular fuzzy numbers. Next, we focus on fuzzy TOPSIS (FTOPSIS) method. We show that, however, the conventional FTOPSIS is interesting, but it suffers from some flaws. The shortcomings of classical FTOPSIS are shown and some solutions are given. Further, a new similarity index is proposed and then is illustrated using numerical examples. By treating the separations of an alternative from the fuzzy positive ideal solution (FPIS) and the fuzzy negative ideal solution (FNIS) as “cost” criterion and “benefit” criterion, respectively, we reduce the original fuzzy multiple criteria decision making (FMCDM) problem to a new one with two criteria. Illustrative examples are given to show the advantages of the proposed approach.
{"title":"An Improved Fuzzy TOPSIS Method with a New Ranking Index","authors":"S. Sadabadi, A. Hadi-Vencheh, A. Jamshidi, Mehrdad Jalali","doi":"10.1142/s0219622021500620","DOIUrl":"https://doi.org/10.1142/s0219622021500620","url":null,"abstract":"Owing to vague concepts frequently represented in decision data, the crisp values are inadequate to model real-life situations. In this paper, the rating of each alternative and the weight of each criterion is described by linguistic terms which can be expressed in triangular fuzzy numbers. Next, we focus on fuzzy TOPSIS (FTOPSIS) method. We show that, however, the conventional FTOPSIS is interesting, but it suffers from some flaws. The shortcomings of classical FTOPSIS are shown and some solutions are given. Further, a new similarity index is proposed and then is illustrated using numerical examples. By treating the separations of an alternative from the fuzzy positive ideal solution (FPIS) and the fuzzy negative ideal solution (FNIS) as “cost” criterion and “benefit” criterion, respectively, we reduce the original fuzzy multiple criteria decision making (FMCDM) problem to a new one with two criteria. Illustrative examples are given to show the advantages of the proposed approach.","PeriodicalId":13527,"journal":{"name":"Int. J. Inf. Technol. Decis. Mak.","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-10-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76278394","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-10-11DOI: 10.1142/s0219622021500681
Maha Elarbi, Chaima Elwadi, Slim Bechikh, Zied Bahroun, L. B. Said
{"title":"An Evolutionary Multi-objective Approach for Coordinating Supplier-Producer Conflict in Lot Sizing","authors":"Maha Elarbi, Chaima Elwadi, Slim Bechikh, Zied Bahroun, L. B. Said","doi":"10.1142/s0219622021500681","DOIUrl":"https://doi.org/10.1142/s0219622021500681","url":null,"abstract":"","PeriodicalId":13527,"journal":{"name":"Int. J. Inf. Technol. Decis. Mak.","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-10-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73867948","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-10-08DOI: 10.1142/s0219622021300019
S. Zolfani, H. Hasheminasab, Ali Ebadi Torkayesh, E. Zavadskas, Arman Derakhti
Site selection is a multi-dimensional optimization problem that influences a wide variety of stakeholders from local communities and authorities to governments, environmental protection agencies, etc. Locating an energy project as well as transportation infrastructure projects, for instance, are of great strategic importance and are connected to the top-level regulations and policy levels. These problems are significant from strategic levels to the productivity of a single construction project level, from energy to transportation and from infrastructure to residential buildings. A large number of publications in this field of study prove this significance. However, regarding the variety of applications, managerial decision levels, and the growing number of studies, it is important to comprehend the latest trends and conclude an appropriate research path in this field. This study is mainly focused on the application of MADM methodologies on locating problems by which many studies are carried out and have a high coincidence with the locating problem environment. Consequently, 425 studies are considered in this study, and 217 more relevant papers are selected for the subsequent reviews. Based on the results, Energy projects are by far the most frequent field of study in this regard which are considered as renewable and nonrenewable categories. Also, environmental planning and sustainable site selection are of secondary importance.
{"title":"A Literature Review of MADM Applications for Site Selection Problems - One Decade Review from 2011 to 2020","authors":"S. Zolfani, H. Hasheminasab, Ali Ebadi Torkayesh, E. Zavadskas, Arman Derakhti","doi":"10.1142/s0219622021300019","DOIUrl":"https://doi.org/10.1142/s0219622021300019","url":null,"abstract":"Site selection is a multi-dimensional optimization problem that influences a wide variety of stakeholders from local communities and authorities to governments, environmental protection agencies, etc. Locating an energy project as well as transportation infrastructure projects, for instance, are of great strategic importance and are connected to the top-level regulations and policy levels. These problems are significant from strategic levels to the productivity of a single construction project level, from energy to transportation and from infrastructure to residential buildings. A large number of publications in this field of study prove this significance. However, regarding the variety of applications, managerial decision levels, and the growing number of studies, it is important to comprehend the latest trends and conclude an appropriate research path in this field. This study is mainly focused on the application of MADM methodologies on locating problems by which many studies are carried out and have a high coincidence with the locating problem environment. Consequently, 425 studies are considered in this study, and 217 more relevant papers are selected for the subsequent reviews. Based on the results, Energy projects are by far the most frequent field of study in this regard which are considered as renewable and nonrenewable categories. Also, environmental planning and sustainable site selection are of secondary importance.","PeriodicalId":13527,"journal":{"name":"Int. J. Inf. Technol. Decis. Mak.","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-10-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85781009","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-10-04DOI: 10.1142/s0219622021400010
Yong Shi, Yuanchun Zheng, Kun Guo, Xinyue Ren
Herding has a great impact on stock market fluctuations, and it is possible for researchers to analyze the herding effect due to the recent popularity of mobile Internet and the development of big data analysis technology. In this paper, we propose both investor-based and stock-based sentiment propagation networks of Chinese stock markets based on the simple pairwise correlation of posts’ sentiment indexes. And the relationship between the herding effect and Chinese stock market fluctuations is studied by comparing the network indicators with the Shanghai Securities Composite Index (SSCI) and the Causeway International Value Index (CIVIX). Through the experimental results, we find that the indicators are indeed ahead of the Chinese stock market. This study is the first attempt to model stock market sentiment by using a complex network, and it proves that investor behavior has a great effect on the stock market.
{"title":"Relationship between Herd Behavior and Chinese Stock Market Fluctuations during a Bullish Period Based on Complex Networks","authors":"Yong Shi, Yuanchun Zheng, Kun Guo, Xinyue Ren","doi":"10.1142/s0219622021400010","DOIUrl":"https://doi.org/10.1142/s0219622021400010","url":null,"abstract":"Herding has a great impact on stock market fluctuations, and it is possible for researchers to analyze the herding effect due to the recent popularity of mobile Internet and the development of big data analysis technology. In this paper, we propose both investor-based and stock-based sentiment propagation networks of Chinese stock markets based on the simple pairwise correlation of posts’ sentiment indexes. And the relationship between the herding effect and Chinese stock market fluctuations is studied by comparing the network indicators with the Shanghai Securities Composite Index (SSCI) and the Causeway International Value Index (CIVIX). Through the experimental results, we find that the indicators are indeed ahead of the Chinese stock market. This study is the first attempt to model stock market sentiment by using a complex network, and it proves that investor behavior has a great effect on the stock market.","PeriodicalId":13527,"journal":{"name":"Int. J. Inf. Technol. Decis. Mak.","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-10-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79325713","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-09-30DOI: 10.1142/s0219622021500541
M. D. Hina, Hongyu Guan, Assia Soukane, A. Ramdane-Cherif
Advanced driving assistance system (ADAS) is an electronic system that helps the driver navigate roads safely. A typical ADAS, however, is suited to specific brands of vehicle and, due to proprietary restrictions, has non-extendable features. Project CASA is an alternative, low-cost generic ADAS. It is an app deployable on smartphone or tablet. The real-time data needed by the app to make sense of its environment are stored in the vehicle or on the cloud, and are accessible as web services. They are used to determine the current driving context, and, if needed, decide actions to prevent an accident or keep road navigation safe. Project CASA is an undertaking of a consortium of industrial and academic partners. A use case scenario is tested in the laboratory (virtual) and on the road (actual) to validate the appropriateness of CASA. It is a contribution to safe driving. CASA’s contribution also lies in its approach in the semantic modeling of the context of the environment, the vehicle and the driver, and on the modeling of rules for fusion of data and fission process yielding an action to be implemented. In addition, CASA proposes a secured means of transmitting data using light, via light fidelity (LiFi), itself an alternative means of wireless vehicle–smartphone communication.
{"title":"CASA: An Alternative Smartphone-Based ADAS","authors":"M. D. Hina, Hongyu Guan, Assia Soukane, A. Ramdane-Cherif","doi":"10.1142/s0219622021500541","DOIUrl":"https://doi.org/10.1142/s0219622021500541","url":null,"abstract":"Advanced driving assistance system (ADAS) is an electronic system that helps the driver navigate roads safely. A typical ADAS, however, is suited to specific brands of vehicle and, due to proprietary restrictions, has non-extendable features. Project CASA is an alternative, low-cost generic ADAS. It is an app deployable on smartphone or tablet. The real-time data needed by the app to make sense of its environment are stored in the vehicle or on the cloud, and are accessible as web services. They are used to determine the current driving context, and, if needed, decide actions to prevent an accident or keep road navigation safe. Project CASA is an undertaking of a consortium of industrial and academic partners. A use case scenario is tested in the laboratory (virtual) and on the road (actual) to validate the appropriateness of CASA. It is a contribution to safe driving. CASA’s contribution also lies in its approach in the semantic modeling of the context of the environment, the vehicle and the driver, and on the modeling of rules for fusion of data and fission process yielding an action to be implemented. In addition, CASA proposes a secured means of transmitting data using light, via light fidelity (LiFi), itself an alternative means of wireless vehicle–smartphone communication.","PeriodicalId":13527,"journal":{"name":"Int. J. Inf. Technol. Decis. Mak.","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-09-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77684502","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-09-30DOI: 10.1142/s0219622021500632
İsmail Bıçakcı, Y. Iç, E. Karasakal, B. Dengiz
In the event of failure of the product, level of repair analysis (LORA) is used to determine (1) whether the defective component should be discarded or repaired and (2) where this repair is made. In the literature, these repair operations are made with the aim of minimizing the total life cycle cost of the product. In this paper, we develop a multi-objective decision model that minimizes both the repair time (affected by lead times) and the repair costs. Our proposed model also considers the movement of the defective components to be performed by multiple transportation modes such as highway, railway, and airway. We use the epsilon constraint method to generate the Pareto frontier and analyze the trade-off between total repair costs and total repair time. We demonstrate the approach on an example problem.
{"title":"A Multi-Objective Mathematical Model for Level of Repair Analysis with Lead Times and Multi-Transportation Modes","authors":"İsmail Bıçakcı, Y. Iç, E. Karasakal, B. Dengiz","doi":"10.1142/s0219622021500632","DOIUrl":"https://doi.org/10.1142/s0219622021500632","url":null,"abstract":"In the event of failure of the product, level of repair analysis (LORA) is used to determine (1) whether the defective component should be discarded or repaired and (2) where this repair is made. In the literature, these repair operations are made with the aim of minimizing the total life cycle cost of the product. In this paper, we develop a multi-objective decision model that minimizes both the repair time (affected by lead times) and the repair costs. Our proposed model also considers the movement of the defective components to be performed by multiple transportation modes such as highway, railway, and airway. We use the epsilon constraint method to generate the Pareto frontier and analyze the trade-off between total repair costs and total repair time. We demonstrate the approach on an example problem.","PeriodicalId":13527,"journal":{"name":"Int. J. Inf. Technol. Decis. Mak.","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-09-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84945491","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-09-23DOI: 10.1142/s0219622021500589
T. Stoilov, K. Stoilova, Miroslav Vladimirov
An algorithm is derived for the development of portfolio decision-support information service. The algorithm allows being automated evaluations for the definition and solution of portfolio problems. Small set of historical data of asset returns with limited set of assets are used for the portfolio, which is the case for no institutional portfolio manager. The algorithm applies analytical relations for decreasing the computational workload for the estimation of the market parameters due to the limited number of assets. The subjective expert views in the Black–Litterman (BL) model are defined from additional assessment of historical data of the asset returns. The algorithm makes comparisons of the results for active portfolio management from the mean variance (MV) model, the BL one and the equal-weighted investment strategy. Benefits of the algorithm are the usage of small set of historical data and limited number of assets, which are proved in investment rolling horizon.
{"title":"Decision Support for Portfolio Management by Information System with Black-Litterman Model","authors":"T. Stoilov, K. Stoilova, Miroslav Vladimirov","doi":"10.1142/s0219622021500589","DOIUrl":"https://doi.org/10.1142/s0219622021500589","url":null,"abstract":"An algorithm is derived for the development of portfolio decision-support information service. The algorithm allows being automated evaluations for the definition and solution of portfolio problems. Small set of historical data of asset returns with limited set of assets are used for the portfolio, which is the case for no institutional portfolio manager. The algorithm applies analytical relations for decreasing the computational workload for the estimation of the market parameters due to the limited number of assets. The subjective expert views in the Black–Litterman (BL) model are defined from additional assessment of historical data of the asset returns. The algorithm makes comparisons of the results for active portfolio management from the mean variance (MV) model, the BL one and the equal-weighted investment strategy. Benefits of the algorithm are the usage of small set of historical data and limited number of assets, which are proved in investment rolling horizon.","PeriodicalId":13527,"journal":{"name":"Int. J. Inf. Technol. Decis. Mak.","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-09-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81352888","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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