Variable neighborhood search heuristic for nonconvex portfolio optimization

Abstract

In this article we consider a portfolio optimization problem under multiple real-world constraints, such as: cardinality constraints, tracking error, active share, and turnover. We propose a heuristic based on variable neighborhood search (VNS) that effectively addresses additional constraints that introduce non-convexities. In the VNS-based heuristic, several neighborhood structures are introduced and fast local search is implemented. We develop a VNS portfolio rebalancing framework (VNS-PRF) with two rebalance strategies. Data sets provided by a financial investment firm are used to evaluate the validity and reliability of the proposed VNS-PRF. Computational experiments and different portfolio performance measures indicate that our approach is able to obtain solutions with competitive quality and can be applied on large-scale data sets.     

Mobile Dwelling Unit Developed by a Group of Mechanical Engineering Design Students

The increasing number of homeless people is one of the most burning problems of nowadays world. Society has to find the way to fight against it and provide help to those people that have no place to stay. For short-term interventions, the application of the mobile dwelling units seems to be the only possible solution. However, existing mobile dwelling units are rather limited to specific areas of application. A group of students faced this problem and decided to develop an alternative, more universal mobile dwelling unit that will fulfil a wide range of different technical and social requirements at a reasonable price. The paper describes a systematic approach to development of the mobile dwelling unit, which was performed as a part of the education process at the Faculty of Mechanical Engineering, University of Maribor. The project presented is interdisciplinary. In addition to the educational aspect that is emphasized in this paper, technical, economic and social aspects of the project have also a very important role. From educational point of view, the project was concluded successfully. Moreover, we believe our proposal for a mobile dwelling unit is both novel and suitable for general application. This revised version was published online in July 2006 with corrections to the Cover Date.     

Does adding up of economic capital for market- and credit risk amount to conservative risk assessment?

There is a tradition in the banking industry of dividing risk into market risk and credit risk. Both categories are treated independently in the calculation of risk capital. But many financial positions depend simultaneously on both market risk and credit risk factors. In this case, an approximation of the portfolio value function separating value changes into a pure market risk plus pure credit risk component can result not only in an overestimation, but also in an underestimation of risk. We discuss this compounding effect in the context of foreign currency loans and argue that a separate calculation of economic capital for market risk and for credit risk may significantly underestimate true risk.     

A path model of factors affecting secondary school students’ technological literacy

Technological literacy defines a competitive vision for technology education. Working together with competitive supremacy, technological literacy shapes the actions of technology educators. Rationalised by the dictates of industry, technological literacy was constructed as a product of the marketplace. There are many models that visualise different dimensions of technological literacy, but clear empirical evidence on how these interact is still lacking. A measurement method that comprehensively evaluates technological literacy is missing. Insights into the stem structure and interaction of technological literacy dimensions could be useful for technology education curriculum design and its implementation. In this study, the multifaceted nature of technological literacy was measured using a new assessment method, and dimensions of secondary school students’ technological literacy were empirically investigated. A total of 403 students participated in the quasi-experimental research design. The treatment group consisted of 121 students taught optional subjects relating to technology education. The control group consisted of 282 students. Results from variance analysis showed that optional technology subjects enhance technological literacy, especially students’ technological capacity where a large effect size (η ²  = 0.14) was noted. Results from a path analysis revealed critical thinking and decision-making as the most important dimensions of technological literacy while the predictor of active participation in out-of-school technical activities and technology homework was a key independent influencing factor. A large effect size (R ²  = 0.4) for career path orientation predictors was detected. Technological capacity was revealed as a decisive predictor for a career path in vocational education and technical high school.     

Application of Fuzzy Benchmarking Approach for Strategic Planning of Tourism Destination

The quality of strategic planning and resulting strategies is a key factor for the competitiveness of tourism destinations. Even though this is not a typical field where benchmarking methods are widely used, such an approach can be successfully applied. This article drafts a methodology for strategic benchmarking based on a quality evaluation of development strategies in tourism destinations. These strategies are evaluated by key regional stakeholders. The evaluation of fifteen selected strategies of the Czech, Slovak, and British regions has been made by an on-line application incorporating carefully defined criteria designed to operate with fuzzy data. The best strategies—as an etalon of good practice—are selected by the means of the fuzzy Technique for Order Preference by Similarity to Ideal Solution (TOPSIS) method. The Region of Vysocina was selected for realization of the benchmarking gap analysis towards all strategies from the etalon with the aim to identify the opportunities for quality enhancement and corresponding good practices.     

Characteristics of food‐wasting consumers in the Czech Republic

This paper investigates food waste at the consumer stage of the food chain. The authors conducted a questionnaire survey with 259 respondents to identify the key characteristics of food‐wasting consumers and to suggest strategies to improve food‐wasting behaviour. The results of the survey confirmed that the rate at which food is wasted depends on the age, economic status and education of the person managing food in a household, on the household's income per person and on total household income. Younger people, students, economically active people and people from higher‐income households (both per household and per person) waste more, while pensioners waste much less than other groups. However, the sex of the food manager is not associated with food waste. These demographic characteristics should be considered when designing consumer education campaigns focussed on changing consumer motivation and behaviour. This paper also recommends other solutions tailored for specific demographic groups: Younger people and students may be influenced by the actions of opinion leaders within social networks, and technical devices enabling better food management could help them reduce waste. Supporting work‐life balance, broadening the network of food delivery services and implementing corporate initiatives that support food waste prevention could help economically active people reduce their food waste. Additionally, offers of ready‐to‐eat food should be expanded for people with higher incomes.