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IPSSIS: An integrated multicriteria decision support system for equity portfolio construction and selection

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH 2011年第2期210卷 398-409页

作者： Xidonas, Panagiotis Mavrotas, George Zopounidis, Constantin Psarras, John Tech Univ Crete Dept Prod Engn & Management Financial Engn Lab Khania 73100 Greece Natl Tech Univ Athens Sch Elect & Comp Engn Management & Decis Support Syst Lab Athens 15780 Greece Natl Tech Univ Athens Sch Chem Engn Lab Ind & Energy Econ Athens 15780 Greece

A fundamental principle of modern portfolio theory is that comparisons between portfolios are generally made using two criteria, corresponding to the first two moments of return distributions, namely the expected return and portfolio variance. According to this model and according to most of the portfolio models derived from the stochastic dominance approach, the group of portfolios open to comparisons is divided into two parts: on the one hand there are the efficient portfolios (those that are not dominated by any other portfolio in the group), and on the other, those that are dominated. In other words, these models do not solve for one optimal portfolio, but rather solve for an efficient set of portfolios, among which the investor must choose, given his preference system. One criticism over these models, which has often been addressed both by practitioners and academics, is that they fail to embody the objectives of the decision maker (DM), through the various stages of the decision process. Our purpose in this article is to present an integrated and innovative methodological approach for the construction and selection of equity portfolios, which will take into account the inherent multidimensional nature of the problem, while allowing the DM to incorporate his preferences in the decision process. The proposed approach, which grounds its basis on the field of multiple criteria decision making (MCDM) and more specifically on multiobjective mathematical programming (MMP), is implemented in the IPSSIS (Integrated Portfolio Synthesis and Selection Information System) decision support system (DSS). The validity of the proposed approach is tested through an illustrative application in the Athens Stock Exchange (ASE). (C) 2010 Elsevier B.V. All rights reserved.

关键词： Portfolio construction Portfolio selection Equities Multiple criteria decision making multiobjective mathematical programming Decision support systems

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Multi-objective market clearing of joint energy and reserves auctions ensuring power system security

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ENERGY CONVERSION AND MANAGEMENT 2009年第4期50卷 899-906页

作者： Aghaei, J. Shayanfar, H. Amjady, N. Iran Univ Ssci & Technol IUST Dept Elect Engn Ctr Excellence Power Syst Automat & Operat Tehran 16846 Iran Semnan Univ Dept Elect Engn Semnan Iran

A model and solution approach to day-ahead market clearing of joint energy and reserves auctions is proposed in this paper. The model represents the clearing system used by ISO in charge of both the market operation and system security. A multiobjective mathematical programming (MMP) formulation is implemented for provision of ancillary services (Automatic Generation Control or AGC, Spinning, Non-spinning and operational reserves) as well as energy in simultaneous auctions by pool-based aggregated market scheme. System security is taken into account in the market clearing procedure as the extra objective functions of the optimization problem. So. in the MMP formulation of the market clearing process, the objective functions (generation cost and security indices) are optimized while meeting AC power flow constraints, system reserve requirements and lost opportunity cost (LOC) considerations. The model is applied to the IEEE 24-bus Reliability Test System (IEEE 24-bus RTS), and simulation studies are carried out to examine the effectiveness of the proposed method. (c) 2008 Elsevier Ltd. All rights reserved.

关键词： Market clearing multiobjective mathematical programming Lost opportunity cost

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Uncertainty management in multiobjective hydro-thermal self-scheduling under emission considerations

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APPLIED SOFT COMPUTING 2015年 37卷 737-750页

作者： Aghaei, Jamshid Ahmadi, Abdollah Rabiee, Abdorreza Agelidis, Vassilios G. Muttaqi, Kashem M. Shayanfar, H. A. Shiraz Univ Technol Dept Elect & Elect Engn Shiraz Iran Univ New S Wales Australian Energy Res Inst Sydney NSW 2052 Australia Univ New S Wales Sch Elect Engn & Telecommun Sydney NSW 2052 Australia Shahrekord Univ Fac Engn & Technol Dept Elect Engn Shahrekord Iran Univ Wollongong Australian Power Qual & Reliabil Ctr Sch Elect Comp & Telecommun Engn Wollongong NSW Australia Iran Univ Sci & Technol Dept Elect Engn Ctr Excellence Power Syst Automat & Operat Tehran Iran

In this paper, a stochastic multiobjective framework is proposed for a day-ahead short-term Hydro Thermal Self-Scheduling (HTSS) problem for joint energy and reserve markets. An efficient linear formulations are introduced in this paper to deal with the nonlinearity of original problem due to the dynamic ramp rate limits, prohibited operating zones, operating services of thermal plants, multi-head power discharge characteristics of hydro generating units and spillage of reservoirs. Besides, system uncertainties including the generating units' contingencies and price uncertainty are explicitly considered in the stochastic market clearing scheme. For the stochastic modeling of probable multiobjective optimization scenarios, a lattice Monte Carlo simulation has been adopted to have a better coverage of the system uncertainty spectrum. Consequently, the resulting multiobjective optimization scenarios should concurrently optimize competing objective functions including GENeration COmpany's (GENCO's) profit maximization and thermal units' emission minimization. Accordingly, the epsilon-constraint method is used to solve the multiobjective optimization problem and generate the Pareto set. Then, a fuzzy satisfying method is employed to choose the most preferred solution among all Pareto optimal solutions. The performance of the presented method is verified in different case studies. The results obtained from epsilon-constraint method is compared with those reported by weighted sum method, evolutionary programming-based interactive Fuzzy satisfying method, differential evolution, quantum-behaved particle swarm optimization and hybrid multi-objective cultural algorithm, verifying the superiority of the proposed approach. (C) 2015 Elsevier B.V. All rights reserved.

关键词： Stochastic programming Hydro-thermal self scheduling Price uncertainty Generating unit contingency multiobjective mathematical programming

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Incorporating power system security into market-clearing of day-ahead joint energy and reserves auctions

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EUROPEAN TRANSACTIONS ON ELECTRICAL POWER 2010年第2期20卷 140-156页

作者： Aghaei, J. Shayanfar, H. Amjady, N. Iran Univ Sci & Technol Ctr Excellence Power Syst Automat & Operat Dept Elect Engn Tehran Iran Semnan Univ Dept Elect Engn Semnan Iran

This paper is intended to introduce a technique for incorporating system security into the clearing of day-ahead joint electricity markets, with particular emphasis on the voltage stability. A multiobjective mathematical programming (MMP) formulation is implemented for provision of ancillary services (Automatic Generation Control or AGC, spinning, non-spinning, and operating reserves) as well as energy in simultaneous auctions by pool-based aggregated market scheme. In the proposed market-clearing structure, the security problem, as an important responsibility of ISO, is addressed and a nonlinear model is formulated and used as the extra objective functions of the optimization problem. Thus, in the MMP formulation of the market-clearing process, the objective functions (including augmented generation offer cost, overload index, voltage drop index, and loading margin) are optimized while meeting AC power flow constraints, system reserve requirements, and lost opportunity cost (LOC) considerations. The IEEE 24-bus Reliability Test System (RTS 24-bus) is used to demonstrate the performance of the proposed method. Copyright (C) 2008 John Wiley & Sons, Ltd.

关键词： market clearing multiobjective mathematical programming lost opportunity cost voltage security margin

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Multiple Criteria Optimization Method for the Vehicle Assignment Problem in a Bus Transportation Company

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JOURNAL OF ADVANCED TRANSPORTATION 2009年第2期43卷 203-243页

作者： Zak, Jacek Jaszkiewicz, Andrzej Redmer, Adam Poznan Univ Tech Fac Working Machines & Transportat PL-60965 Poznan Poland Poznan Univ Tech Fac Comp Sci PL-60965 Poznan Poland

A vehicle assignment problem (VAP) in a road, long-haul, passenger transportation company with heterogeneous fleet of buses is considered in the paper. The mathematical model of the VAP is formulated in terms of rnultiobjective, combinatorial optimization. It has a strategic, long-term character and takes into account four criteria that represent interests of both passengers and the company's management. The decision consists in the definition of weekly operating frequency (number of rides per week) of buses on international routes between Polish and Western European cities. The VAP is solved in a step-wise procedure. In the first step a sample of efficient (Pareto-optimal) solutions is generated using an original metaheuristic method called Pareto Memetic Algorithm (PMA). In the second step this sample is reviewed and evaluated by the Decision Maker (DM). In this phase an interactive, multiple criteria analysis method with graphical facilities, called Light Beam Search (LBS), is applied. The method helps the DM to define his/her preferences, direct the search process and select the most satisfactory solution.

关键词： Multiple criteria analysis multiobjective mathematical programming Vehicle assignment problem Transportation Metaheuristics

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Optimality conditions and duality for mathematical programming with equilibrium constraints including multiple interval-valued objective functions on Hadamard manifolds

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JAPAN JOURNAL OF INDUSTRIAL AND APPLIED MATHEMATICS 2024年第2期41卷 1105-1136页

作者： Tung, L. T. Singh, V. Can Tho Univ Coll Nat Sci Dept Math Can Tho 900000 Vietnam Natl Inst Technol Mizoram Dept Math Aizawl 796012 Mizoram India

This paper investigates mathematical programming with equilibrium constraints including multiple interval-valued objective functions on Hadamard manifolds. In the first part, both necessary and sufficient optimality conditions for some types of efficient solutions are considered. After that, the Wolfe and Mond-Weir type dual problems are formulated and the duality relations under geodesic convexity assumptions are examined. Some examples are proposed to illustrate the results.

关键词： multiobjective mathematical programming Equilibrium constraints Interval-valued objective functions Hadamard manifolds Karush-Kuhn-Tucker optimality conditions Mond-Weir and Wolfe duality

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Portfolio construction on the Athens Stock Exchange: a multiobjective optimization approach

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OPTIMIZATION 2010年第8期59卷 1211-1229页

作者： Xidonas, Panagiotis Mavrotas, George Psarras, John Natl Tech Univ Athens Management & Decis Syst Support Lab Sch Elect & Comp Engn Athens 15780 Greece Natl Tech Univ Athens Lab Ind & Energy Econ Sch Chem Engn Athens 15780 Greece

In this research article, our purpose is to propose a single-period multiobjective mixed-integer programming model for equity portfolio construction, in order to generate the Pareto optimal portfolios, using a variant of the well-known epsilon-constraint method. The decision maker's investment policy, i.e. constraints regarding the portfolio structure, is strongly taken into account. An illustrative application in the Athens Stock Exchange market is also presented.

关键词： portfolio construction multiobjective mathematical programming equities

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multiobjective portfolio optimization: bridging mathematical theory with asset management practice

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ANNALS OF OPERATIONS RESEARCH 2018年第1-2期267卷 585-606页

作者： Xidonas, Panos Hassapis, Christis Mavrotas, George Staikouras, Christos Zopounidis, Constantin ESSCA Grande Ecole Paris France Univ Cyprus Nicosia Cyprus Natl Tech Univ Athens Athens Greece Athens Univ Econ & Business Athens Greece Audencia Business Sch Nantes France

We attempt to establish an integrated portfolio optimization business framework, in order to bridge the underlying gap between the complex mathematical theory of multiobjective mathematical programming and asset management practice. Our aim is to assist practitioners and portfolio managers in formulating successful investment strategies, by providing them with an effective decision support tool. In particular, we propose a multiobjective portfolio model, able to support the simultaneous optimization of multiple investment objectives. We also manage to integrate a set of sophisticated real-world non-convex investment policy limitations, such as the cardinality constraints, the buy-in thresholds, the transaction costs, along with particular normative rules. The underlying investment management rationale of the proposed managerial protocol is displayed through an illustrative business flowchart, while we also provide an analytical step-by-step portfolio management business routine. The validity of the model is verified through an extended empirical testing application on the Eurostoxx 50. According to the results, a sufficient number of efficient or Pareto optimal portfolios produced by the model, appear to possess superior out-of-sample returns with respect to the underlying benchmark.

关键词： Portfolio optimization multiobjective mathematical programming Asset management Eurostoxx 50

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On the application of plug-in hybrid electric vehicle to compensate network harmonics: A multiobjective approach

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SCIENTIA IRANICA 2014年第6期21卷 2177-2185页

作者： Farahani, H. Feshki Khalili, M. Rabiee, A. Ghazizadeh, M. S. Islamic Azad Univ Ashtian Branch Dept Elect Engn Ashtian Iran Power & Water Univ Technol Tehran Iran Shahrekord Univ Dept Elect Engn Shahrekord Iran

One of the important capabilities of Plug in Hybrid Electric Vehicles (PHEVs) is the injecting/absorbing of harmonic current to/from the grid. In this paper, a multiobjective framework is proposed to improve the power quality of the grid by PHEVs. In this study, each PHEV is modeled as an injected harmonic current source, including different harmonic orders. The objective functions are: Total Harmonic Distortion (THD) of network nodes and the Total PHEV Current (TPC) index, both to be minimized. The multiobjective optimization problem is solved using the epsilon-constraint method. The best compromise solution among various non-dominated (Pareto optimal) solutions is chosen based on a fuzzy approach. A typical 14-node microgrid test system is considered in the case study to examine the effectiveness of the proposed method. (C) 2014 Sharif University of Technology. All rights reserved.

关键词： Plug-In Hybrid Electric Vehicle multiobjective mathematical programming Harmonic Compensating Total Harmonic Distortion (THD) Total PHEV Current (TPC)

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Legal Constraints and Conflict Resolution in Reservoir Control

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IFAC Proceedings Volumes 1985年第14期18卷 259-264页

作者： G. Guariso E. Laniado S. Rinaldi Centra Teoria dei Sistemi CNR Politecnico di Milano Milano Italy

The management of natural and artificial reservoirs is a complex control problem, in which upstream and downstream users are very often in conflict. In these cases the constraints imposed on the release by the State Water Authority are the most important tool for making a sound trade-off between all the objectives. The paper shows how any proposal of such release constraints should be analyzed by using suitable models for predicting the impacts on all physical, economical, and social components of the problem, thus allowing to discard all the constraints which are dominated in the sense of Pareto. The method is applied to the case of Lake Maggiore and shows that it is possible to determine, by solving a simple optimization model, a set of constraints which fully dominates all the proposals which are presently under examination.

关键词： Water resources mathematical models reservoir control environmental impact assessment multiobjective mathematical programming

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