1,721,002 research outputs found
Politiche ottime di comunicazione e produzione per prodotti stagionali: problemi, metodi di analisi e risultati nell'ottica del modello di Nerlove e Arrow
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Approaching mixed-integer nonlinear mean-variance portfolio selection
No full text(Pubblicazione citata nel repertorio MathSciNet, riferimento n. MR1701159; pubblicazione citata nel repertorio Zentralblatt MATH, riferimento n. Zbl 0976.91035)Generally, in the classical mean-variance portfolio selection approach, several realistic features are not taken into acount. Among these "forgotten" aspects, one of particular interest is the not finite divisibility of the financial asset to select, i.e. the obligation to buy/sell only integer quantities of asset lots whose numerousness is predetermined. In order to consider such a feature, we deal with a suitably defined mixed-integer nonlinear programming problem. In particular, first we propose a formulation of this problem in terms of quantities, i.e. integer numbers of asset lots to buy/sell, instead of starting capital percentages; second, we give necessary and sufficient conditions for the existence of feasible solution(s); third, we propose an algorithm for finding a "good" feasible solution and prove its convergence; finally, we give some numerical examples illustrating the previous points
Advertising and production of a seasonal good for a heterogeneous market: from total segment separability to real media
No full textMarket segmentation is a fundamental topic of marketing theory and practice. We bring some market segmentation concepts into the statement of an advertising and production problem for a seasonal product with Nerlove-Arrow's linear goodwill dynamics, along the lines of some analyses concerning the introduction of a new product. We consider two kinds of situations. In the first one, we assume that the advertising process can reach selectively each segment. In the second one, we assume that one advertising medium is available and that it has a known effectiveness segment-spectrum for a non-trivial set of segments. In both cases we study the optimal control problems in which goodwill productivity of advertising is either linear or concave, and good production costs are (convex and) quadratic. We obtain the explicit optimal solutions using the Pontryagin's Maximum Principle conditions
Advertising andproduction of a seasonal good for a heterogeneous market
Full text linkWe bring some concepts from market segmentation, which is a
fundamental topic of marketing theory and practice, into the statement of
an advertising and production problem for a seasonal product with Nerlove-
Arrow's linear goodwill dynamics. We consider two kinds of situations. In
the rst one the advertising process can reach selectively each segment.
In the second one one advertising medium is available which has a known
eectiveness spectrum for a non-trivial set of segments. In both cases we
solve, using the Pontryagin's Maximum Principle conditions, the optimal
control problems in which goodwill productivity of advertising is concave
and good production cost is convex. Two special cases are discussed in
detail
Quantifying the Exploration Performed by Metaheuristics
No full textIn this article we propose a formalisation of the concept of exploration performed by metaheuristics. In particular, we define and test a method for studying this aspect regardless of the specific approach implemented. Understanding the behaviour of metaheuristics is important for being able to boost their results. Measuring the exploration performed may help increase this understanding. We propose an experimental analysis to show how the measure of exploration defined may be used to this aim. We quantify the different level of exploration implied by different parameter settings in an ant colony optimisation and in a genetic algorithm for the travelling salesman problem. The results suggest that it may be possible to establish a relation between exploration and performance of the algorithm. © 2012 Copyright Taylor and Francis Group, LLC
On the existence of solutions to the quadratic mixed-integer mean-variance portfolio selection problem
No full textIn the standard mean–variance portfolio selection approach, several operative features are not taken into account. Among these neglected aspects, one of particular interest is the finite divisibility of the (stock) assets, i.e. the obligation to buy/sell only integer quantities of asset lots whose number is pre-established. In order to consider such a feature, we deal with a suitably defined quadratic mixed-integer programming problem. In particular, we formulate this problem in terms of quantities of asset lots (instead of, as usual, in terms of capital per cent quotas). Secondly, we provide necessary and sufficient conditions for the existence of a non-empty mixed-integer feasible set of the considered programming problem. Thirdly, we present some rounding procedures for finding, in a finite number of steps, a feasible mixed-integer solution which is better than the one detected by the necessary and sufficient conditions in terms of the value assumed by the portfolio variance. Finally, we perform an extensive computational experiment by means of which we verify the goodness of our approach
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