Pub Date : 2021-04-17DOI: 10.1142/S0217595921400133
Haoyu Wang, Xingqin Qi
Finding vital vertices is an important issue in complex network analysis, which has wide applications in disease control, information diffusion, etc. This topic has attracted increasing attention from various disciplines. In this paper, we propose a new algorithm called Vertex–Edge algorithm to find vital vertices. This algorithm takes both the incident edges and also its neighbors into consideration when evaluating a vertex’s importance, and the importance of vertices and edges construct a mutually updated iterative framework. We also give convergence conditions for the iterative framework. Besides, we verify the stability, effectiveness, accuracy, and superiority of this new Vertex–Edge algorithm by applying it on lots of networks (unweighted or weighted) and comparing the results with other 10 more existing methods. This new method is expected to have promising applications in the future.
{"title":"V-E Algorithm: A New Vital Vertex Identifying Algorithm Based on Vertex-Edge Interaction","authors":"Haoyu Wang, Xingqin Qi","doi":"10.1142/S0217595921400133","DOIUrl":"https://doi.org/10.1142/S0217595921400133","url":null,"abstract":"Finding vital vertices is an important issue in complex network analysis, which has wide applications in disease control, information diffusion, etc. This topic has attracted increasing attention from various disciplines. In this paper, we propose a new algorithm called Vertex–Edge algorithm to find vital vertices. This algorithm takes both the incident edges and also its neighbors into consideration when evaluating a vertex’s importance, and the importance of vertices and edges construct a mutually updated iterative framework. We also give convergence conditions for the iterative framework. Besides, we verify the stability, effectiveness, accuracy, and superiority of this new Vertex–Edge algorithm by applying it on lots of networks (unweighted or weighted) and comparing the results with other 10 more existing methods. This new method is expected to have promising applications in the future.","PeriodicalId":8478,"journal":{"name":"Asia Pac. J. Oper. Res.","volume":"192 1","pages":"2140013:1-2140013:23"},"PeriodicalIF":0.0,"publicationDate":"2021-04-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77627611","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 : 2021-04-17DOI: 10.1142/S0217595921400194
Qing Nie, Songyun Liu, Qiyu Qian, Zheyi Tan, Huiwen Wang
This paper studies a consolidation center selection and cargo transportation optimization problem of the Sino-Europe railway express. It takes account of demand uncertainty and multiple cost factors, such as transportation cost, time cost, waiting cost before consolidation, penalty cost of not full load after distribution, track changing cost, and customs clearance fee. A complicated mixed-integer programming (MIP) model is presented to describe the problem. Then a solution method based on binary particle swarm optimization (BPSO) is designed to solve the model of different scales of cases. Extensive numerical experiments generated from real-world data are conducted to validate the effectiveness of the proposed model. Moreover, we compare the efficiency of the solution method with a commercial solver and a heuristic algorithm based on variable neighborhood search (VNS). Results show that our solution method can optimally solve the problem in small-scale cases and get near-optimal solutions for large-scale problem instances. The proposed mathematical model and the calculation results may provide valuable insights for both business owners and government.
{"title":"Optimization of the Sino-Europe Transport Networks Under Uncertain Demand","authors":"Qing Nie, Songyun Liu, Qiyu Qian, Zheyi Tan, Huiwen Wang","doi":"10.1142/S0217595921400194","DOIUrl":"https://doi.org/10.1142/S0217595921400194","url":null,"abstract":"This paper studies a consolidation center selection and cargo transportation optimization problem of the Sino-Europe railway express. It takes account of demand uncertainty and multiple cost factors, such as transportation cost, time cost, waiting cost before consolidation, penalty cost of not full load after distribution, track changing cost, and customs clearance fee. A complicated mixed-integer programming (MIP) model is presented to describe the problem. Then a solution method based on binary particle swarm optimization (BPSO) is designed to solve the model of different scales of cases. Extensive numerical experiments generated from real-world data are conducted to validate the effectiveness of the proposed model. Moreover, we compare the efficiency of the solution method with a commercial solver and a heuristic algorithm based on variable neighborhood search (VNS). Results show that our solution method can optimally solve the problem in small-scale cases and get near-optimal solutions for large-scale problem instances. The proposed mathematical model and the calculation results may provide valuable insights for both business owners and government.","PeriodicalId":8478,"journal":{"name":"Asia Pac. J. Oper. Res.","volume":"30 1","pages":"2140019:1-2140019:29"},"PeriodicalIF":0.0,"publicationDate":"2021-04-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87959073","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 : 2021-04-16DOI: 10.1142/S0217595921500159
Xiaoliang Wang, Liping Pang, Qi Wu
The bundle modification strategy for the convex unconstrained problems was proposed by Alexey et al. [[2007] European Journal of Operation Research, 180(1), 38–47.] whose most interesting feature was the reduction of the calls for the quadratic programming solver. In this paper, we extend the bundle modification strategy to a class of nonconvex nonsmooth constraint problems. Concretely, we adopt the convexification technique to the objective function and constraint function, take the penalty strategy to transfer the modified model into an unconstrained optimization and focus on the unconstrained problem with proximal bundle method and the bundle modification strategies. The global convergence of the corresponding algorithm is proved. The primal numerical results show that the proposed algorithms are promising and effective.
{"title":"A Proximal Bundle Method with Exact Penalty Technique and Bundle Modification Strategy for Nonconvex Nonsmooth Constrained Optimization","authors":"Xiaoliang Wang, Liping Pang, Qi Wu","doi":"10.1142/S0217595921500159","DOIUrl":"https://doi.org/10.1142/S0217595921500159","url":null,"abstract":"The bundle modification strategy for the convex unconstrained problems was proposed by Alexey et al. [[2007] European Journal of Operation Research, 180(1), 38–47.] whose most interesting feature was the reduction of the calls for the quadratic programming solver. In this paper, we extend the bundle modification strategy to a class of nonconvex nonsmooth constraint problems. Concretely, we adopt the convexification technique to the objective function and constraint function, take the penalty strategy to transfer the modified model into an unconstrained optimization and focus on the unconstrained problem with proximal bundle method and the bundle modification strategies. The global convergence of the corresponding algorithm is proved. The primal numerical results show that the proposed algorithms are promising and effective.","PeriodicalId":8478,"journal":{"name":"Asia Pac. J. Oper. Res.","volume":"85 1","pages":"2150015:1-2150015:43"},"PeriodicalIF":0.0,"publicationDate":"2021-04-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73560794","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 : 2021-04-12DOI: 10.1142/S0217595921400182
Yujing Chen, Bin Yang
The supply chain of shipping logistics services is an important branch of logistics service supply chain. To ensure the effective operation of the supply chain and to solve problems such as asymmetric information, difficult data quality assurance, and uncontrollable transportation in shipping logistics services, blockchain technology are proposed to reduce information interaction problems. In view of the factors of information sharing and customers’ sensitivity to information quality, a tripartite evolutionary game model with the shipping company, the port and the freight forwarder as the research objects was established, and the cooperative decision making of node companies was discussed before and after the application of blockchain technology. Theoretical derivation and data analysis show that ports and freight forwarder in the supply chain of shipping logistics services dominated by shipping companies are less affected by information sharing and customers’ sensitivity to information quality. With the increase in the application of blockchain technology, when customers have lower expectations for information quality, shipping companies are more willing to cooperate actively. The willingness to cooperate actively between ports and shipping companies is increasing faster than when blockchain technology is not used. Therefore, shipping companies should encourage the active use of blockchain technology to reduce the degree of information sharing between ports and freight forwarder and the influences of customer expectations on shipping companies.
{"title":"Cooperative Decision Making of Supply Chain Members of Shipping Logistics Services Under the Background of Blockchain","authors":"Yujing Chen, Bin Yang","doi":"10.1142/S0217595921400182","DOIUrl":"https://doi.org/10.1142/S0217595921400182","url":null,"abstract":"The supply chain of shipping logistics services is an important branch of logistics service supply chain. To ensure the effective operation of the supply chain and to solve problems such as asymmetric information, difficult data quality assurance, and uncontrollable transportation in shipping logistics services, blockchain technology are proposed to reduce information interaction problems. In view of the factors of information sharing and customers’ sensitivity to information quality, a tripartite evolutionary game model with the shipping company, the port and the freight forwarder as the research objects was established, and the cooperative decision making of node companies was discussed before and after the application of blockchain technology. Theoretical derivation and data analysis show that ports and freight forwarder in the supply chain of shipping logistics services dominated by shipping companies are less affected by information sharing and customers’ sensitivity to information quality. With the increase in the application of blockchain technology, when customers have lower expectations for information quality, shipping companies are more willing to cooperate actively. The willingness to cooperate actively between ports and shipping companies is increasing faster than when blockchain technology is not used. Therefore, shipping companies should encourage the active use of blockchain technology to reduce the degree of information sharing between ports and freight forwarder and the influences of customer expectations on shipping companies.","PeriodicalId":8478,"journal":{"name":"Asia Pac. J. Oper. Res.","volume":"33 1","pages":"2140018:1-2140018:39"},"PeriodicalIF":0.0,"publicationDate":"2021-04-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89428417","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 : 2021-04-12DOI: 10.1142/S0217595921400170
Mohammad Zoynul Abedin, M. Hassan, Md. Imran Khan, I. Julio
Applications of machine learning (ML) and data science have extended significantly into contemporary accounting and finance. Yet, the prediction and analysis of taxpayers’ status are relatively untapped to date. Moreover, this paper focuses on the combination of feature transformation as a novel domain of research for corporate firms’ tax status prediction with the applicability of ML approaches. The paper also applies a tax payment dataset of Finish limited liability firms with failed and non-failed tax information. Seven different ML approaches train across four datasets, transformed to non-transformed, that effectively discriminate the non-default tax firms from their default counterparts. The findings advocate tax administration to choose the single best ML approach and feature transformation method for the execution purpose.
{"title":"Feature Transformation for Corporate Tax Default Prediction: Application of Machine Learning Approaches","authors":"Mohammad Zoynul Abedin, M. Hassan, Md. Imran Khan, I. Julio","doi":"10.1142/S0217595921400170","DOIUrl":"https://doi.org/10.1142/S0217595921400170","url":null,"abstract":"Applications of machine learning (ML) and data science have extended significantly into contemporary accounting and finance. Yet, the prediction and analysis of taxpayers’ status are relatively untapped to date. Moreover, this paper focuses on the combination of feature transformation as a novel domain of research for corporate firms’ tax status prediction with the applicability of ML approaches. The paper also applies a tax payment dataset of Finish limited liability firms with failed and non-failed tax information. Seven different ML approaches train across four datasets, transformed to non-transformed, that effectively discriminate the non-default tax firms from their default counterparts. The findings advocate tax administration to choose the single best ML approach and feature transformation method for the execution purpose.","PeriodicalId":8478,"journal":{"name":"Asia Pac. J. Oper. Res.","volume":"128 1","pages":"2140017:1-2140017:26"},"PeriodicalIF":0.0,"publicationDate":"2021-04-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85120455","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 : 2021-04-09DOI: 10.1142/S0217595921400108
Jing Qiu, Jiguo Yu, Shujun Lian
In this paper, we propose a new non-smooth penalty function with two parameters for nonlinear inequality constrained optimization problems. And we propose a twice continuously differentiable function which is smoothing approximation to the non-smooth penalty function and define the corresponding smoothed penalty problem. A global solution of the smoothed penalty problem is proved to be an approximation global solution of the non-smooth penalty problem. Based on the smoothed penalty function, we develop an algorithm and prove that the sequence generated by the algorithm can converge to the optimal solution of the original problem.
{"title":"Smoothing Approximation to the New Exact Penalty Function with Two Parameters","authors":"Jing Qiu, Jiguo Yu, Shujun Lian","doi":"10.1142/S0217595921400108","DOIUrl":"https://doi.org/10.1142/S0217595921400108","url":null,"abstract":"In this paper, we propose a new non-smooth penalty function with two parameters for nonlinear inequality constrained optimization problems. And we propose a twice continuously differentiable function which is smoothing approximation to the non-smooth penalty function and define the corresponding smoothed penalty problem. A global solution of the smoothed penalty problem is proved to be an approximation global solution of the non-smooth penalty problem. Based on the smoothed penalty function, we develop an algorithm and prove that the sequence generated by the algorithm can converge to the optimal solution of the original problem.","PeriodicalId":8478,"journal":{"name":"Asia Pac. J. Oper. Res.","volume":"24 1","pages":"2140010:1-2140010:19"},"PeriodicalIF":0.0,"publicationDate":"2021-04-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79200068","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 : 2021-04-09DOI: 10.1142/S0217595921500172
Yinfeng Zhang, Guolin Yu
In this paper, we investigate error bounds of an inverse mixed quasi variational inequality problem in Hilbert spaces. Under the assumptions of strong monotonicity of function couple, we obtain some results related to error bounds using generalized residual gap functions. Each presented error bound is an effective estimation of the distance between a feasible solution and the exact solution. Because the inverse mixed quasi-variational inequality covers several kinds of variational inequalities, such as quasi-variational inequality, inverse mixed variational inequality and inverse quasi-variational inequality, the results obtained in this paper can be viewed as an extension of the corresponding results in the related literature.
{"title":"Error Bounds for Inverse Mixed Quasi-Variational Inequality via Generalized Residual Gap Functions","authors":"Yinfeng Zhang, Guolin Yu","doi":"10.1142/S0217595921500172","DOIUrl":"https://doi.org/10.1142/S0217595921500172","url":null,"abstract":"In this paper, we investigate error bounds of an inverse mixed quasi variational inequality problem in Hilbert spaces. Under the assumptions of strong monotonicity of function couple, we obtain some results related to error bounds using generalized residual gap functions. Each presented error bound is an effective estimation of the distance between a feasible solution and the exact solution. Because the inverse mixed quasi-variational inequality covers several kinds of variational inequalities, such as quasi-variational inequality, inverse mixed variational inequality and inverse quasi-variational inequality, the results obtained in this paper can be viewed as an extension of the corresponding results in the related literature.","PeriodicalId":8478,"journal":{"name":"Asia Pac. J. Oper. Res.","volume":"34 1","pages":"2150017:1-2150017:13"},"PeriodicalIF":0.0,"publicationDate":"2021-04-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77315641","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 : 2021-04-01DOI: 10.1142/s0217595920500487
Chen Liyun, He Yuan, Li Guang, Liao Caixia, Ren Ji-qin
Reasonably and fairly allocating carbon intensity reduction targets among Chinese provinces is a key problem in effectively controlling and reducing CO2 emissions. This study establishes the ZSG-DDF model combining the Zero-Sum Gains DEA and the Directional Distance Function to study the CO2 emission allowance allocations from the perspective of maximum efficiency. This model can discriminate desirable and undesirable outputs and solve the problem of total CO2 emission amount control. Then, we add the equity principle to the constraint conditions, namely, the proportion of carbon emission allowance approaching the proportion of GDP. Finally, we establish a CO2 emission allocation scheme based on the equity-efficiency tradeoff while considering the relationship between economic development and carbon emissions as well as achieving maximum efficiency. We use this new model to allocate CO2 emission allowance during the Chinese 13th Five-Year Plan, and compare it with the other two allocation schemes, including National allocations during the 13th Five-Year Plan, allocation scheme from the perspective of efficiency maximization. The results have a certain significance for government departments to formulate the allocation scheme of CO2 emission allowance.
{"title":"Initial Allocation Model of CO2 Emission Allowances Based on the Equity-Efficiency Tradeoff","authors":"Chen Liyun, He Yuan, Li Guang, Liao Caixia, Ren Ji-qin","doi":"10.1142/s0217595920500487","DOIUrl":"https://doi.org/10.1142/s0217595920500487","url":null,"abstract":"Reasonably and fairly allocating carbon intensity reduction targets among Chinese provinces is a key problem in effectively controlling and reducing CO2 emissions. This study establishes the ZSG-DDF model combining the Zero-Sum Gains DEA and the Directional Distance Function to study the CO2 emission allowance allocations from the perspective of maximum efficiency. This model can discriminate desirable and undesirable outputs and solve the problem of total CO2 emission amount control. Then, we add the equity principle to the constraint conditions, namely, the proportion of carbon emission allowance approaching the proportion of GDP. Finally, we establish a CO2 emission allocation scheme based on the equity-efficiency tradeoff while considering the relationship between economic development and carbon emissions as well as achieving maximum efficiency. We use this new model to allocate CO2 emission allowance during the Chinese 13th Five-Year Plan, and compare it with the other two allocation schemes, including National allocations during the 13th Five-Year Plan, allocation scheme from the perspective of efficiency maximization. The results have a certain significance for government departments to formulate the allocation scheme of CO2 emission allowance.","PeriodicalId":8478,"journal":{"name":"Asia Pac. J. Oper. Res.","volume":"134 1","pages":"2050048:1-2050048:16"},"PeriodicalIF":0.0,"publicationDate":"2021-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74950078","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 : 2021-03-29DOI: 10.1142/S0217595921400169
Zhongmiao Sun, Qi Xu, Baoli Shi
Frequent problems of counterfeiting have spawned consumer demands to monitor the entire supply chain. The application of blockchain technology with anti-counterfeiting and traceability can improve the reliability and authenticity of product information and eliminate consumer doubts about product quality. Furthermore, based on the transparency of blockchain technology, brand suppliers can independently obtain the market demand information through information sharing. This paper introduces a consumer suspicion coefficient to illustrate the application of blockchain technology in the supply chain. Considering product authenticity verification and information sharing, we study the optimal pricing and product quality decisions in a two-level supply chain under the following three scenarios: (1) no blockchain technology, a traditional supply chain, and no information sharing (case TN); (2) no blockchain technology but a traditional supply chain with information sharing (case TS); and (3) a supply chain based on blockchain technology (case BT). We find that when the consumer suspicion coefficient increases, consumers will have limited faith in the authenticity of the product, which will affect the retailer’s optimal decision and profit. By comparing the equilibrium results of several cases, we also find that demand information sharing by the retailer may not achieve a win-win outcome in a decentralized channel in the absence of blockchain technology. Under demand information sharing based on blockchain technology, however, if the consumer suspicion coefficient exceeds a certain threshold, the brand supplier and retailer can achieve a win–win outcome. In addition, the extended models reveal that in a centralized supply chain, regardless of the state of market demand, blockchain technology can always improve product quality and retail price and optimize supply chain profit.
{"title":"Price and Product Quality Decisions for a Two-Echelon Supply Chain in the Blockchain Era","authors":"Zhongmiao Sun, Qi Xu, Baoli Shi","doi":"10.1142/S0217595921400169","DOIUrl":"https://doi.org/10.1142/S0217595921400169","url":null,"abstract":"Frequent problems of counterfeiting have spawned consumer demands to monitor the entire supply chain. The application of blockchain technology with anti-counterfeiting and traceability can improve the reliability and authenticity of product information and eliminate consumer doubts about product quality. Furthermore, based on the transparency of blockchain technology, brand suppliers can independently obtain the market demand information through information sharing. This paper introduces a consumer suspicion coefficient to illustrate the application of blockchain technology in the supply chain. Considering product authenticity verification and information sharing, we study the optimal pricing and product quality decisions in a two-level supply chain under the following three scenarios: (1) no blockchain technology, a traditional supply chain, and no information sharing (case TN); (2) no blockchain technology but a traditional supply chain with information sharing (case TS); and (3) a supply chain based on blockchain technology (case BT). We find that when the consumer suspicion coefficient increases, consumers will have limited faith in the authenticity of the product, which will affect the retailer’s optimal decision and profit. By comparing the equilibrium results of several cases, we also find that demand information sharing by the retailer may not achieve a win-win outcome in a decentralized channel in the absence of blockchain technology. Under demand information sharing based on blockchain technology, however, if the consumer suspicion coefficient exceeds a certain threshold, the brand supplier and retailer can achieve a win–win outcome. In addition, the extended models reveal that in a centralized supply chain, regardless of the state of market demand, blockchain technology can always improve product quality and retail price and optimize supply chain profit.","PeriodicalId":8478,"journal":{"name":"Asia Pac. J. Oper. Res.","volume":"7 1","pages":"2140016:1-2140016:31"},"PeriodicalIF":0.0,"publicationDate":"2021-03-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89300848","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 : 2021-03-26DOI: 10.1142/S0217595921500160
Ning Zhang, Jingnan Chen, Gengling Dai
We study the Markowitz mean-variance portfolio selection model under three types of regularizations: single-norm regularizations on individual stocks, mixed-norm regularizations on stock groups, and composite regularizations that combine the single-norm and mixed-norm regularizations. With mixed-norm regularizations incorporated, our model can accomplish group and stock selections simultaneously. Our empirical results using both US and global equity market data show that compared to the classical mean-variance portfolio, almost all regularized portfolios have better out-of-sample risk-adjusted performance measured by Sharpe ratio. In addition, stock selection and group screening accomplished by adding [Formula: see text] and [Formula: see text] regularizations respectively can lead to decreased volatility, turnover rate, and leverage ratio. Yet there are instances in which diversifying across different groups is more favorable, depending on the grouping methods. Moreover, we find a positive correlation between portfolio turnover and leverage. Heavily leveraged portfolios also have high turnover rates and thus high transaction costs.
{"title":"Portfolio Selection with Regularization","authors":"Ning Zhang, Jingnan Chen, Gengling Dai","doi":"10.1142/S0217595921500160","DOIUrl":"https://doi.org/10.1142/S0217595921500160","url":null,"abstract":"We study the Markowitz mean-variance portfolio selection model under three types of regularizations: single-norm regularizations on individual stocks, mixed-norm regularizations on stock groups, and composite regularizations that combine the single-norm and mixed-norm regularizations. With mixed-norm regularizations incorporated, our model can accomplish group and stock selections simultaneously. Our empirical results using both US and global equity market data show that compared to the classical mean-variance portfolio, almost all regularized portfolios have better out-of-sample risk-adjusted performance measured by Sharpe ratio. In addition, stock selection and group screening accomplished by adding [Formula: see text] and [Formula: see text] regularizations respectively can lead to decreased volatility, turnover rate, and leverage ratio. Yet there are instances in which diversifying across different groups is more favorable, depending on the grouping methods. Moreover, we find a positive correlation between portfolio turnover and leverage. Heavily leveraged portfolios also have high turnover rates and thus high transaction costs.","PeriodicalId":8478,"journal":{"name":"Asia Pac. J. Oper. Res.","volume":"26 1","pages":"2150016:1-2150016:27"},"PeriodicalIF":0.0,"publicationDate":"2021-03-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75704607","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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