Pub Date : 2020-07-20DOI: 10.17535/crorr.2020.0008
H. Ouadjed, Tawfiq Fawzi Mami
Stable distribution, also known as Lévy stable distribution, which is a rich class of heavy– tailed distributions can capture asymmetry and heavy tails observed in financial data. In this paper, we fit an AR(1) process with α–stable innovations to the logarithms of volumes of Walmart stock traded daily on the New York Stock Exchange and estimate the TCE (Tail Conditional Expectation) risk measure.
{"title":"Estimating the tail conditional expectation of Walmart stock data","authors":"H. Ouadjed, Tawfiq Fawzi Mami","doi":"10.17535/crorr.2020.0008","DOIUrl":"https://doi.org/10.17535/crorr.2020.0008","url":null,"abstract":"Stable distribution, also known as Lévy stable distribution, which is a rich class of heavy– tailed distributions can capture asymmetry and heavy tails observed in financial data. In this paper, we fit an AR(1) process with α–stable innovations to the logarithms of volumes of Walmart stock traded daily on the New York Stock Exchange and estimate the TCE (Tail Conditional Expectation) risk measure.","PeriodicalId":44065,"journal":{"name":"Croatian Operational Research Review","volume":"11 1","pages":"95-106"},"PeriodicalIF":0.7,"publicationDate":"2020-07-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.17535/crorr.2020.0008","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48048433","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}
Human potentials make a unique foundation to every organization. Due to individuals' differences which enable a business surroundings and create competitive advantage, it is necessary to coordinate them to the mission, vision and goals set by the organization in order to satisfy the needs for specific knowledge and skills, and effectively realize the defined business goals. Application of Markov chains enables prediction of random variables' movements. This study shows, via a practical example, predicting the necessity for human potentials in an ICT company throughout a period of three years.
{"title":"Application of Markov chains in managing human potentials","authors":"N. Z. Hrustek, Damira Keček, Ines Polgar","doi":"10.17535/crorr.0012","DOIUrl":"https://doi.org/10.17535/crorr.0012","url":null,"abstract":"Human potentials make a unique foundation to every organization. Due to individuals' differences which enable a business surroundings and create competitive advantage, it is necessary to coordinate them to the mission, vision and goals set by the organization in order to satisfy the needs for specific knowledge and skills, and effectively realize the defined business goals. Application of Markov chains enables prediction of random variables' movements. This study shows, via a practical example, predicting the necessity for human potentials in an ICT company throughout a period of three years.","PeriodicalId":44065,"journal":{"name":"Croatian Operational Research Review","volume":"1 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2020-07-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46178675","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}
Human potentials make a unique foundation to every organization. Due to individuals' differences which enable a business surroundings and create competitive advantage, it is necessary to coordinate them to the mission, vision and goals set by the organization in order to satisfy the needs for specific knowledge and skills, and effectively realize the defined business goals. Application of Markov chains enables prediction of random variables' movements. This study shows, via a practical example, predicting the necessity for human potentials in an ICT company throughout a period of three years.
{"title":"Application of Markov chains in managing human potentials","authors":"Nikolina Zajdela Hrustek, Damira Kecek, Ines Polgar","doi":"10.17535/crorr.2020.0012","DOIUrl":"https://doi.org/10.17535/crorr.2020.0012","url":null,"abstract":"Human potentials make a unique foundation to every organization. Due to individuals' differences which enable a business surroundings and create competitive advantage, it is necessary to coordinate them to the mission, vision and goals set by the organization in order to satisfy the needs for specific knowledge and skills, and effectively realize the defined business goals. Application of Markov chains enables prediction of random variables' movements. This study shows, via a practical example, predicting the necessity for human potentials in an ICT company throughout a period of three years.","PeriodicalId":44065,"journal":{"name":"Croatian Operational Research Review","volume":"43 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2020-07-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138515087","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 : 2020-07-03DOI: 10.17535/crorr.2020.0017
Violeta Cvetkoska, Katerina Fotova Čiković
The aim of this paper is to assess the relative efficiency of commercial banks in one developing country, i.e., the Republic of North Macedonia by using the data envelopment analysis (DEA) technique - window analysis. The selection of inputs and outputs plays a key role when applying DEA for assessing the efficiency of decision-making units (DMUs). In the conducted research two inputs and two outputs have been selected. The sample consists of 14 commercial banks and the period that is being observed is an eleven year span from 2007 to 2017. According to the average efficiency score for the whole observed period, the most efficient bank belongs to the group of large banks, which simultaneously shows the highest efficiency. The banking sector in the Republic of North Macedonia, as a whole, showed the highest efficiency in 2007, and the lowest efficiency in 2011.
{"title":"Assessing the relative efficiency of commercial banks in the Republic of North Macedonia: DEA window analysis","authors":"Violeta Cvetkoska, Katerina Fotova Čiković","doi":"10.17535/crorr.2020.0017","DOIUrl":"https://doi.org/10.17535/crorr.2020.0017","url":null,"abstract":"The aim of this paper is to assess the relative efficiency of commercial banks in one developing country, i.e., the Republic of North Macedonia by using the data envelopment analysis (DEA) technique - window analysis. The selection of inputs and outputs plays a key role when applying DEA for assessing the efficiency of decision-making units (DMUs). In the conducted research two inputs and two outputs have been selected. The sample consists of 14 commercial banks and the period that is being observed is an eleven year span from 2007 to 2017. According to the average efficiency score for the whole observed period, the most efficient bank belongs to the group of large banks, which simultaneously shows the highest efficiency. The banking sector in the Republic of North Macedonia, as a whole, showed the highest efficiency in 2007, and the lowest efficiency in 2011.","PeriodicalId":44065,"journal":{"name":"Croatian Operational Research Review","volume":"11 1","pages":"217-227"},"PeriodicalIF":0.7,"publicationDate":"2020-07-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45406569","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 : 2020-07-02DOI: 10.17535/crorr.2020.0004
R. Arora, Kavita Gupta
An indefinite quadratic programming problem is a mathematical programming problem which is a product of two linear factors. In this paper, the piece-wise indefinite quadratic programming problem (PIQPP) is considered. Here, the objective function is a product of two continuous piecewise linear functions defined on a non-empty and compact feasible region. In the present paper, the optimality criterion is derived and explained in order to solve PIQPP. While solving PIQPP, we will come across certain variables which will not satisfy the optimality condition. For these variables, cases have been elaborated so as to move from one basic feasible solution to another till we reach the optimality. An algorithmic approach is proposed and discussed for the pr PIQPP problem. A numerical example is presented to decipher the tendered method.
{"title":"An algorithm for piece-wise indefinite quadratic programming problem","authors":"R. Arora, Kavita Gupta","doi":"10.17535/crorr.2020.0004","DOIUrl":"https://doi.org/10.17535/crorr.2020.0004","url":null,"abstract":"An indefinite quadratic programming problem is a mathematical programming problem which is a product of two linear factors. In this paper, the piece-wise indefinite quadratic programming problem (PIQPP) is considered. Here, the objective function is a product of two continuous piecewise linear functions defined on a non-empty and compact feasible region. In the present paper, the optimality criterion is derived and explained in order to solve PIQPP. While solving PIQPP, we will come across certain variables which will not satisfy the optimality condition. For these variables, cases have been elaborated so as to move from one basic feasible solution to another till we reach the optimality. An algorithmic approach is proposed and discussed for the pr PIQPP problem. A numerical example is presented to decipher the tendered method.","PeriodicalId":44065,"journal":{"name":"Croatian Operational Research Review","volume":"11 1","pages":"39-51"},"PeriodicalIF":0.7,"publicationDate":"2020-07-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.17535/crorr.2020.0004","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47427293","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 : 2020-07-02DOI: 10.17535/crorr.2020.0006
Alireza Mansouri Ghroutkhar, H. M. Nehi
Rough set theory is a powerful tool to analysis the information systems. Fuzzy rough set is introduced as a fuzzy generalization of rough sets. This paper reviewed the most important contributions to the rough set theory, fuzzy rough set theory and their applications. In many real world situations, some of the attribute values for an object may be in the set-valued form. In this paper, to handle this problem, we present a more general approach to the fuzzification of rough sets. Specially, we define a broad family of fuzzy rough sets. This paper presents a new development for the rough set theory by incorporating the classical rough set theory and the interval-valued fuzzy sets. The proposed methods are illustrated by an numerical example on the real case.
{"title":"Fuzzy-rough set models and fuzzy-rough data reduction","authors":"Alireza Mansouri Ghroutkhar, H. M. Nehi","doi":"10.17535/crorr.2020.0006","DOIUrl":"https://doi.org/10.17535/crorr.2020.0006","url":null,"abstract":"Rough set theory is a powerful tool to analysis the information systems. Fuzzy rough set is introduced as a fuzzy generalization of rough sets. This paper reviewed the most important contributions to the rough set theory, fuzzy rough set theory and their applications. In many real world situations, some of the attribute values for an object may be in the set-valued form. In this paper, to handle this problem, we present a more general approach to the fuzzification of rough sets. Specially, we define a broad family of fuzzy rough sets. This paper presents a new development for the rough set theory by incorporating the classical rough set theory and the interval-valued fuzzy sets. The proposed methods are illustrated by an numerical example on the real case.","PeriodicalId":44065,"journal":{"name":"Croatian Operational Research Review","volume":"11 1","pages":"67-80"},"PeriodicalIF":0.7,"publicationDate":"2020-07-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.17535/crorr.2020.0006","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43296121","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 : 2020-07-02DOI: 10.17535/crorr.2020.0002
Mourad Naffouti, A. Baccari
This paper is devoted to global optimality conditions for quadratic optimization problems in a real space of dimension n. More precisely, we are concerned with nonconvex quadratic optimization problems with linear constraints. We present some sufficient conditions of global optimality for such problems subject to linear equality and inequality constraints. We prove that when the set of Karush-Kuhn-Tucker triplets of this problem is convex, then a local minimizer is global
{"title":"A sufficient conditions for global quadratic optimization","authors":"Mourad Naffouti, A. Baccari","doi":"10.17535/crorr.2020.0002","DOIUrl":"https://doi.org/10.17535/crorr.2020.0002","url":null,"abstract":"This paper is devoted to global optimality conditions for quadratic optimization problems in a real space of dimension n. More precisely, we are concerned with nonconvex quadratic optimization problems with linear constraints. We present some sufficient conditions of global optimality for such problems subject to linear equality and inequality constraints. We prove that when the set of Karush-Kuhn-Tucker triplets of this problem is convex, then a local minimizer is global","PeriodicalId":44065,"journal":{"name":"Croatian Operational Research Review","volume":"11 1","pages":"11-19"},"PeriodicalIF":0.7,"publicationDate":"2020-07-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.17535/crorr.2020.0002","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41654834","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 : 2020-07-02DOI: 10.17535/crorr.2020.0009
Abid Hussain, S. A. Cheema
The research objective is to find a balance between premature convergence and population diversity with respect to genetic algorithms (GAs). We propose a new selection scheme, namely, split-based selection (SBS) for GAs that ensures a fine balance between two extremes, i.e. exploration and exploitation. The proposed selection operator is further compared with five commonly used existing selection operators. A rigorous simulation-based investigation is conducted to explore the statistical characteristics of the proposed procedure. Furthermore, performance evaluation of the proposed scheme with respect to competing methodologies is carried out by considering 14 diverse benchmarks from the library of the traveling salesman problem (TSPLIB). Based on t-test statistic and performance index (PI), this study demonstrates a superior performance of the proposed scheme while maintaining the desirable statistical characteristics.
{"title":"A new selection operator for genetic algorithms that balances between premature convergence and population diversity","authors":"Abid Hussain, S. A. Cheema","doi":"10.17535/crorr.2020.0009","DOIUrl":"https://doi.org/10.17535/crorr.2020.0009","url":null,"abstract":"The research objective is to find a balance between premature convergence and population diversity with respect to genetic algorithms (GAs). We propose a new selection scheme, namely, split-based selection (SBS) for GAs that ensures a fine balance between two extremes, i.e. exploration and exploitation. The proposed selection operator is further compared with five commonly used existing selection operators. A rigorous simulation-based investigation is conducted to explore the statistical characteristics of the proposed procedure. Furthermore, performance evaluation of the proposed scheme with respect to competing methodologies is carried out by considering 14 diverse benchmarks from the library of the traveling salesman problem (TSPLIB). Based on t-test statistic and performance index (PI), this study demonstrates a superior performance of the proposed scheme while maintaining the desirable statistical characteristics.","PeriodicalId":44065,"journal":{"name":"Croatian Operational Research Review","volume":"11 1","pages":"107-119"},"PeriodicalIF":0.7,"publicationDate":"2020-07-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.17535/crorr.2020.0009","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46638274","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 : 2020-07-02DOI: 10.17535/crorr.2020.0005
Sujata Saha, T. Chakrabarti
This article presents a three-echelon supply chain model consisting of a supplier, manufacturer, and a retailer, considering the return contract between the manufacturer and the retailer. Here, the manufacturer has two adjacent production units - the main production unit and a refurbishment unit. The main production unit of the manufacturer is imperfect, which produces an admixture of perfect and defective items. He inspects all the products immediately after production and sells good quality items to the retailer. The retailer receives a proportion of faulty products from him due to his erroneous inspection process, which he returns after inspection. The manufacturer sends all the defective products received from the retailer and the main production unit to the refurbishment unit for reworking. Moreover, the learning effect of the employees on the production cost is considered. Under these circumstances, the cost functions of each of the supply chain players have been derived. Finally, the applicability of the proposed model has been shown using a numerical example. The sensitivity analysis has been presented to study the effect of the parameters on the optimum decision variables.
{"title":"A supply chain model under return policy considering refurbishment, learning effect and inspection error","authors":"Sujata Saha, T. Chakrabarti","doi":"10.17535/crorr.2020.0005","DOIUrl":"https://doi.org/10.17535/crorr.2020.0005","url":null,"abstract":"This article presents a three-echelon supply chain model consisting of a supplier, manufacturer, and a retailer, considering the return contract between the manufacturer and the retailer. Here, the manufacturer has two adjacent production units - the main production unit and a refurbishment unit. The main production unit of the manufacturer is imperfect, which produces an admixture of perfect and defective items. He inspects all the products immediately after production and sells good quality items to the retailer. The retailer receives a proportion of faulty products from him due to his erroneous inspection process, which he returns after inspection. The manufacturer sends all the defective products received from the retailer and the main production unit to the refurbishment unit for reworking. Moreover, the learning effect of the employees on the production cost is considered. Under these circumstances, the cost functions of each of the supply chain players have been derived. Finally, the applicability of the proposed model has been shown using a numerical example. The sensitivity analysis has been presented to study the effect of the parameters on the optimum decision variables.","PeriodicalId":44065,"journal":{"name":"Croatian Operational Research Review","volume":"11 1","pages":"53-66"},"PeriodicalIF":0.7,"publicationDate":"2020-07-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.17535/crorr.2020.0005","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49651933","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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