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Modeling asset allocation and liability composition for Indian banks

MANAGERIAL FINANCE 2014年第7期40卷 700-723页

作者： Viswanathan, P. Ranganatham, M. Balasubramanian, G. Great Lakes Inst Management Chennai Tamil Nadu India Univ Madras Chennai Tamil Nadu India Inst Financial Management & Res IFMR Chennai Tamil Nadu India

Purpose - Asset liability management is a multi-dimensional set of activities. Against this backdrop, the purpose of this paper is to build a goal programming model for optimally determining the asset allocation and liability composition for Indian Banks. Design/methodology/approach - The conceptual model framework has been developed and then tested for four banks that typically represent the Indian banking sector. Published balance sheet data were used for the model that span over 1995-2009. The veracity of the model has been tested in terms of its ability to project the optimum asset allocation and liability composition for the year 2010. Findings - The model has been able to generate the optimum asset and liability mix that meets the goals set on the key drivers. The solution provided is realistic and compatible with the actual figures. Sensitivity analysis including current and savings account and interest rate changes has been successfully performed to study impact they cause on profitability. Research limitations/implications - The model provides an overall approach to asset allocation and liability composition based on past data reflecting the preferences and priorities of the banks with regard to their outlook on setting targets. This may change. The variables like return and risk are stochastic in nature. Practical implications - The model demonstrated in this paper would be useful to the policy makers in any bank for decision support and planning in view of its ability to incorporate a large number of constraints. Changes in profit could be instantaneously captured through sensitivity analysis. Originality/value - The goal programming model used here is invariant to the type of bank and year of consideration.

关键词： Risk Sensitivity analysis ALM CASA Goal programming multi-objective programming Drivers of profitability

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Design and research of robot joint actuated by SMA wire

Design and research of robot joint actuated by SMA wire

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IEEE International Conference on Robotics and Biomimetics (ROBIO 2007)

作者： Ying, Shenshun Qin, Xianshen Liu, Qiong Wang, Wendan Northwestern Polytech Univ Sch Electromech Engn Xian Shanxi Peoples R China Univ Strathclyde Dept Design Mfg & Engn Management Glasgow Huaguoshan G1 1XJ Scotland

ISBN: (纸本)9781424417612

In an effort to improve the convenience and modularization in the current methods proposed to design the actuated joint for robots, an approach is suggested and detailed by the design of an artificial muscle based actuated joint. The design methods is an integrated actuated joint mechanism for robots by using the gemel and SMA(Shape Memory Alloy, SMA) wires as the structure and muscle actuators respectively. In addition, a Cartesian coordinate system of the joint mechanism is formed to optimize the geometrical dimensions, and a mathematically model is constructed to reflect the relationships between the geometrical parameters, intensity, output torque and angular displacement of actuated joint. Furthermore, the model is solved by the multi-objective programming algorithm based on MATLABTM Optimization Toolbox function. The proposed method is demonstrated by its application in a sciatic joint design from a quadruped robot project, and the benefits of SMA muscle based actuated joint are highlighted in terms of strength, dexterity, and bearing.

关键词： artificial muscle actuated joint multi-objective programming motion decoupling

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Study on Passenger Train Stopping Scheme Based on Improved Particle Swarm Optimization Algorithm

Study on Passenger Train Stopping Scheme Based on Improved P...

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IEEE International Conference on Intelligent Computing and Intelligent Systems

作者： Wang, Shuang Zhao, Peng Qiao, Ke Beijing Jiaotong Univ Sch Traff & Transportat Beijing Peoples R China

ISBN: (纸本)9781424447541

This paper develops a multi-objective optimization model for the passenger train stopping scheme on high-speed railway lines Minimizing the stopping times for all passenger trains, minimizing travel distance of empty trains and minimizing the number of transfer passengers are the three planning objectives of the model For a given travel demand and specified capacity of stops, the model is solved by heuristic algorithm An improved discrete Particle Swarm Optimization (PSO) algorithm is presented to determine the best-compromise train stopping scheme with high effectiveness and stability In the algorithm, a stop based representation is designed, and a new method is used to update the position and velocity of particles In order to keep the particle swarm algorithm from premature stagnation, the simulated annealing algorithm, which has local search ability, is combined with the PSO algorithm to make elaborate search near the optimal solution, then the quality of solutions is improved effectively An empirical study on a given small railway network is conducted to demonstrate the effectiveness of the model and the performance of the algorithm The experimental results show that the hybrid algorithm has great advantages in both success rate and convergence speed compared with other discrete PSO algorithm and genetic algorithm, and an optimal set of stopping schemes can always be generated for a given demand To achieve the best planning outcome, the stopping schemes should be flexibly planned, and not constrained by specific ones as often set by the planner

关键词： high-speed railway lines passenger train stopping scheme multi-objective programming particle swarm optimization algorithm simulated annealing algorithm

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multicriteria Credibilistic Portfolio Rebalancing Problem with Fuzzy Chance-Constraint

Multicriteria Credibilistic Portfolio Rebalancing Problem wi...

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International Conference on Soft Computing for Problem Solving (SocProS 2011)

作者： Gupta, Pankaj Mittal, Garima Mehlawat, Mukesh K. Univ Delhi Dept Operat Res Delhi 110007 India

ISBN: (纸本)9788132204862

In this paper, we propose multicriteria credibilistic framework for portfolio rebalancing (adjusting) problem with fuzzy parameters considering return, risk and liquidity as key financial criteria. Transaction cost is an important factor to be taken into consideration in portfolio selection. It is not trivial enough to be neglected and the optimal portfolio depends upon the total costs of transaction. We assume that the investor pays changeable transaction costs based on incremental discount schemes, which are adjusted in the net return of the portfolio. A hybrid intelligent algorithm, integrating fuzzy simulation and real-coded genetic algorithm is developed to solve the portfolio rebalancing (adjusting) model.

关键词： Fuzzy portfolio selection Credibility measure multi-objective programming Real-coded genetic algorithm Transaction costs

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The composition and the weak-link approaches to Network Data Envelopment Analysis

The composition and the weak-link approaches to Network Data...

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作者： Koronakos Grigorios University Of Piraeus

学位级别：博士

The systematic performance evaluation of the organizations as well as the target setting are key aspects for its proper operation and viability. Thus, the adoption of evaluation methods is necessary, which are capable of taking into account all the environmental factors of the organization, identifying the inefficient production processes and suggesting adequate ways to improve them. Such a method is Data Envelopment Analysis (DEA), which is the most popular non-parametric technique for assessing the efficiency of homogeneous decision making units (DMUs) that use multiple inputs to produce multiple outputs. The DMUs may consist of several sub-processes (also known as stages, sub-units, divisions etc.) that interact and perform various operations. However, the classical DEA models treat the DMU as a "black box", i. e. a single stage production process that transforms some external inputs to final outputs. In such a setting, the internal structure of the DMU is not taken into consideration. Thus, the conventional DEA models fail to mathematically represent the internal characteristics of the DMUs, as well as they fall short to provide precise results and useful information regarding the sources that cause inefficiency. In order to take into account for the internal structure of the DMUs, recent methodological advancements are developed, which extend the standard DEA and constitute a new field, namely the network DEA. The network DEA methods are capable of reflecting accurately the DMUs' internal operations as well as to incorporate their relationships and interdependences. In network DEA, the DMU is considered as a network of interconnected sub-units, with the connections indicating the flow of intermediate products (commonly called intermediate measures or links). An indicative example of such a DMU is a supply chain, which has a network structure and is composed of several members whose performances affect the overall performance of the supply chain. Therefore, the

关键词： Data Envelopment Analysis (DEA) Network DEA composition approach weak-link approach multi-objective programming

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multi-objective optimization in dial-a-ride public transportation

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Transportation Research Procedia 2014年 3卷 299-308页

作者： Guerriero, Francesca Pezzella, Ferdinando Pisacane, Ornella Trollini, Luigi Dipartimento di Ingegneria Meccanica Energetica e Gestionale Università della Calabria Via Pietro Bucci Rende 87036 Italy Dipartimento di Ingegneria dell'Informazione Università Politecnica Delle Marche Via Brecce Bianche 12 Ancona 60131 Italy

In the Dial-a-Ride public transportation systems, each customer requirement is specified in terms of a pickup (origin), of a delivery (destination) and of a time window within it has to be satisfied. The aim is to find a set of routes, each assigned to a vehicle, in order to satisfy the set of requests, under capacity, time windows, precedence and pairing conditions. It is usually assumed that the demand of a request, picked up at its origin, is exactly delivered at its destination (one-to-one service) and that the fleet of the vehicles is based at a single depot. From a modelling point of view, the problem could be addressed as a one-to-one capacitated Pickup and Delivery Problem with Time Windows (PDPTW) and therefore, the mathematical formulation presents, beyond the traditional capacity constraints on the vehicles, also the pairing, the precedence and the time windows conditions. In particular, the pairing conditions guarantee that each couple (pickup, delivery) has to belong to the same route while the precedence constraints impose that each pickup has to be served before the associated delivery. This paper addresses the problem with the aim of optimizing, at the same time, the maximum total ride time and the total waiting time. Then, a bi-objective PDPTW with a constraint on the maximum duration of each route is proposed and solved by a two-step approach. In particular, the first step determines a set of feasible routes by meta-heuristics. These routes are used in second step in a bi-objective set partitioning formulation solved by the epsilon-constraint method to generate efficient solutions. The parameters of the meta-heuristics are properly set by a racing procedure. Computational experiments on some benchmark instances are carried out to assess the performance of the proposed approach. © 2014 The Authors.

关键词： Epsilon-constraint Method multi-objective programming Pickup and Delivery Problem with Time Windows Racing Methods Vehicle Routing

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An Electric Energy Balancing Model in a Medium Enterprise Grid

An Electric Energy Balancing Model in a Medium Enterprise Gr...

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Asia-Pacific Power and Energy Engineering Conference (APPEEC)

作者： Wang, Zhaojie Wang, Fei Gao, Feng Zhai, Qiaozhu Zhou, Dianmin Xi An Jiao Tong Univ SKLMS MOE KLINNS Syst Engn Inst Xian Peoples R China Baoshan Iron & Steel Co Ltd Baosteel Branch Energy Dept Shanghai Peoples R China

ISBN: (纸本)9781424462551

In the smart grid environment, appropriate power energy exchange strategies will be necessary for energy intensive industries (EIIs) with industrial power plants. This paper presents a systematic approach that can cope with the integration of industry consumers and an energy exchange strategy aiming at achieving balance between power production and consumption in EIIs. A basic balance model using Linear programming (LP) is built and the generation levels of thermal units are obtained. The solution is further improved to provide a more smooth power output curve. The ramping constraints of thermal units are addressed to ensure the result obtained is energy realizable. Penalty terms are also introduced in the objective function to reduce the level of power energy exchange between EII and the grid. Finally, numerical tests are performed and the simulation results for a real system suggest that the method presented is effective.

关键词： industry demand side energy balance rolling optimization linear programming multi-objective programming

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Research on the Operation Plan of Express Freight Train Based on Satisfaction of Shipper time 4

Research on the Operation Plan of Express Freight Train Base...

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IEEE 4th International Conference on Control Science and Systems Engineering (ICCSSE)

作者： Wang, Gang He, Zhenhuan Beijing Jiaotong Univ Sch Traff & Transportat Beijing Peoples R China

ISBN: (纸本)9781538678879

It is a new trend in the freight delivery industry to develop express freight transportation. Operation plan is both the basis of transportation organization and the important way to realize the satisfaction of shipper time. This paper fully considers the shipper's requirements on time value, establishes a model to design the express freight train operation plan which maximizes the satisfaction of shipper on delivered time and minimizes the operation cost of railway enterprise, and validates the feasibility by a case study. The results show that the model is a meaningful exploration in the field of express freight train operation planning.

关键词： express freight train operation plan shipper time satisfaction multi-objective programming

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Analysis of the Optimal Combination of Renewable Energies for an Enterprise 5

Analysis of the Optimal Combination of Renewable Energies fo...

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2015 International Conference on Industrial Engineering and Operations Management (IEOM)

作者： Chou, Pei-Wen Wang, Hsiao-Fan Natl Tsing Hua Univ Dept Ind Engn & Engn Management Hsinchu 30013 Taiwan

ISBN: (纸本)9781479960651

To achieve four goals of energy safety assurance, sustainable development, low-carbon environment and avoiding price volatility of fossil fuels, a new energy policy was announced by the government of Taiwan in November 2011. Also, the Government will actively fulfill the carbon reduction target and electricity stable supply policy under three major principles of reaching international carbon reduction commitments, no limitation of electricity usage and valid electricity price. Consequently, the Government encourages private enterprises to generate electric power of renewable energy and sell back to the public enterprise. In order to support a private enterprise to evaluate the possible generation combination of the renewable energy under the consideration of intermittence of renewable energy, environmental protection and generation cost, given the monthly electricity demand, this study proposes 2-stage analytical model of which at the first stage, a multi-objective model is proposed to optimize the mix of the electricity from power company and the renewable energy generation in order to maximize the total energy generation of renewable energies, while minimizing carbon emission at a minimum cost;and at the second stage, a Markov chain model is developed to determine which combination of renewable energies is most likely to provide more power generations. By substituting the steady-state probability obtained from the second stage, the third goal of generation maximization under the stable power supply can be achieved.

关键词： Renewable energy generation combination intermittence multi-objective programming Markov chain

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STUDY ON OPTIMIZATION OF TRAIN LINE PLANNING FOR HIGH SPEED RAIL CORRIDOR BASED ON ANALYZING IMPORTANCE OF NODES

STUDY ON OPTIMIZATION OF TRAIN LINE PLANNING FOR HIGH SPEED ...

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ASME 2010 Joint Rail Conference

作者： Niu, Yong-Tao Han, Bao-Ming Liu, Min Zhu, Qing-Lan Beijing Jiao Tong Univ Sch Traff & Transportat Beijing Peoples R China

ISBN: (纸本)9780791849071

In order to meet the demand of passengers for travelling and make their travelling more convenient, the railway operator must ascertain the operational train number, section, classes, stop stations and appropriate departure and arrival stations for passenger trains. The nodes of railway passenger transport are the generation and attraction points of passenger flow in the railway transport network. Starting from the analysis of the economic and social attributes as well as railway resource allocation of the Passenger Dedicated Railway Line (PDRL) covered nodes, this paper introduces the concept of the importance of nodes. On the basis of analytical hierarchy process (AHP), the paper studies the quantitative index of the nodes transport distribution capacity in the PDRL network and calculates the evaluation indexes of importance of those city nodes. Thus, in the light of the assessment results, the paper sets up the three-level hierarchy in the importance of city nodes covered by the PDRL. Based on that, the paper proposes that the first-level nodes serve as the departure and arrival stations, the second-level nodes adopt the fluid and alternate stop stations, and the tertiary-level nodes take the form of "all-stop" for low-class trains so as to build a multi-objective programming model for the PDRL train line planning. With the lingo 8.0 program, the train line planning optimizes the calculation of stop stations. This method has been applied in the PDRL train line planning of Wuhan-GuangZhou High-Speed Railway Line and proved to be effective in reducing the complexity of the train line planning problem according to different modes of passenger flow.

关键词： High Speed Rail Corridor Train Line Planning Importance of Nodes AHP multi-objective programming Train Stopping Pattern

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