A robust optimization approach for index tracking problem

Index tracking is an investment approach where the primary objective is to keep portfolio return as close as possible to a target index without purchasing all index components. The main purpose is to minimize the tracking error between the returns of the selected portfolio and a benchmark. In this paper, quadratic as well as linear models are presented for minimizing the tracking error. The uncertainty is considered in the input data using a tractable robust framework that controls the level of conservatism while maintaining linearity. The linearity of the proposed robust optimization models allows a simple implementation of an ordinary optimization software package to find the optimal robust solution. The proposed model of this paper employs Morgan Stanley Capital International Index as the target index and the results are reported for six national indices including Japan, the USA, the UK, Germany, Switzerland and France. The performance of the proposed models is evaluated using several financial criteria e.g. information ratio, market ratio, Sharpe ratio and Treynor ratio. The preliminary results demonstrate that the proposed model lowers the amount of tracking error while raising values of portfolio performance measures.

Scoring rules and abnormally low bids criteria in construction tenders: A taxonomic review

In the global construction context, the Best Value or Most Economically Advantageous Tender is becoming a widespread approach for contractor selection, as an alternative to other traditional awarding criteria such as the Lowest Price. In these multi-attribute tenders, the owner or auctioneer solicits proposals containing both a price bid and additional technical features. Once the proposals are received, each bidder's price bid is given an economic score according to a scoring rule, generally called an Economic Scoring Formula (ESF) and a technical score according to pre-specified criteria. Eventually, the contract is awarded to the bidder with the highest weighted overall score (economic + technical). However, Economic Scoring Formula selection by auctioneers is invariably and paradoxically a highly intuitive process in practice, involving few theoretical or empirical considerations, despite having being considered traditionally and mistakenly as objective, due to its mathematical nature. This paper provides a taxonomic classification of a wide variety of ESF and Abnormally Low Bid Criteria (ALBC) gathered in several countries with different tendering approaches. Practical implications concern the optimal design of price scoring rules in construction contract tenders, as well as future analyses of the effects of ESF and ALBC on competitive bidding behaviour.

A dangerous investment: Australia, New Zealand and the Trans-Pacific Partnership

This week, San Diego is hosting the latest round of talks over the Trans-Pacific Partnership. Australia and New Zealand are at loggerheads over this secretive new trade treaty spanning the Pacific Rim. The rift between the neighbours over the Trans-Pacific Partnership was revealed after the investment chapter of the agreement was leaked to the public.

Using political science to progress public health nutrition: a systematic review

Objective Poor dietary intake is the most important behavioural risk factor affecting health globally. Despite this, there has been little investment in public health nutrition policy actions. Policy process theories from the field of political science can aid understanding why policy decisions have occurred and identify how to influence ongoing or future initiatives. This review aims to examine public health nutrition policy literature and identify whether a policy process theory has been used to analyse the process. Design Electronic databases were searched systematically for studies examining policymaking in public health nutrition in high-income, democratic countries. Setting International, national, state and local government jurisdictions within high-income, democratic countries. Subjects Individuals and organisations involved in the nutrition policymaking process. Results Sixty-three studies met the eligibility criteria, most were conducted in the USA and a majority focused on obesity. The analysis demonstrates an accelerating trend in the number of nutrition policy papers published annually and an increase in the diversity of nutrition topics examined. The use of policy process theory was observed from 2003, however, it was utilised by only 14% of the reviewed papers. Conclusions There is limited research into the nutrition policy process in high-income countries. While there has been a small increase in the use of policy process theory from 2003, an opportunity to expand their use is evident. We suggest that nutrition policymaking would benefit from a pragmatic approach that ensures those trying to influence or understand the policymaking process are equipped with basic knowledge around these theories.

A multi-criteria analysis approach for ranking and selection of microorganisms for the production of oils for biodiesel production

Oleaginous microorganisms have potential to be used to produce oils as alternative feedstock for biodiesel production. Microalgae (Chlorella protothecoides and Chlorella zofingiensis), yeasts (Cryptococcus albidus and Rhodotorula mucilaginosa), and fungi (Aspergillus oryzae and Mucor plumbeus) were investigated for their ability to produce oil from glucose, xylose and glycerol. Multi-criteria analysis (MCA) using analytic hierarchy process (AHP) and preference ranking organization method for the enrichment of evaluations (PROMETHEE) with graphical analysis for interactive aid (GAIA), was used to rank and select the preferred microorganisms for oil production for biodiesel application. This was based on a number of criteria viz., oil concentration, content, production rate and yield, substrate consumption rate, fatty acids composition, biomass harvesting and nutrient costs. PROMETHEE selected A. oryzae, M. plumbeus and R. mucilaginosa as the most prospective species for oil production. However, further analysis by GAIA Webs identified A. oryzae and M. plumbeus as the best performing microorganisms.

The ASAS criteria for axial spondyloarthritis: Strengths, weaknesses, and proposals for a way forward

Classification criteria should facilitate selection of similar patients for clinical and epidemiologic studies, therapeutic trials, and research on etiopathogenesis to enable comparison of results across studies from different centers. We critically appraise the validity and performance of the Assessment of SpondyloArthritis international Society (ASAS) classification criteria for axial spondyloarthritis (axSpA). It is still debatable whether all patients fulfilling these criteria should be considered as having true axSpA. Patients with radiographically evident disease by the ASAS criteria are not necessarily identical with ankylosing spondylitis (AS) as classified by the modified New York criteria. The complex multi-arm selection design of the ASAS criteria induces considerable heterogeneity among patients so classified, and applying them in settings with a low prevalence of axial spondyloarthritis (SpA) greatly increases the proportion of subjects falsely classified as suffering from axial SpA. One of the unmet needs in non-radiographic form of axial SpA is to have reliable markers that can identify individuals at risk for progression to AS and thereby facilitate early intervention trials designed to prevent such progression. We suggest needed improvements of the ASAS criteria for axSpA, as all criteria sets should be regarded as dynamic concepts open to modifications or updates as our knowledge advances.

Australian data do not support current pharmaceutical benefits scheme criteria for use of tumour necrosis factor-α inhibitors in ankylosing spondylitis

On the basis of local data, we write in support of the conclusions of Smith and Ahern that current Pharmaceu- tical Benefits Scheme (PBS) criteria for tumour necrosis factor (TNF)-a inhibitors in ankylosing spondylitis (AS) are not evidence-based. 1 As a prerequisite to the appropriate use of biological therapy in AS, three aspects of the disease need to be defined: (i) diagnosis, (ii) activity and (iii) therapeutic failure (Table 1)....

Intra-cluster correlation structure in longitudinal data analysis: Selection criteria and misspecification tests

Selection criteria and misspecification tests for the intra-cluster correlation structure (ICS) in longitudinal data analysis are considered. In particular, the asymptotical distribution of the correlation information criterion (CIC) is derived and a new method for selecting a working ICS is proposed by standardizing the selection criterion as the p-value. The CIC test is found to be powerful in detecting misspecification of the working ICS structures, while with respect to the working ICS selection, the standardized CIC test is also shown to have satisfactory performance. Some simulation studies and applications to two real longitudinal datasets are made to illustrate how these criteria and tests might be useful.

Criteria for working-correlation-structure selection in GEE: Assessment via simulation

Efficiency of analysis using generalized estimation equations is enhanced when intracluster correlation structure is accurately modeled. We compare two existing criteria (a quasi-likelihood information criterion, and the Rotnitzky-Jewell criterion) to identify the true correlation structure via simulations with Gaussian or binomial response, covariates varying at cluster or observation level, and exchangeable or AR(l) intracluster correlation structure. Rotnitzky and Jewell's approach performs better when the true intracluster correlation structure is exchangeable, while the quasi-likelihood criteria performs better for an AR(l) structure.

Bi-criteria single machine scheduling problem with a learning effect: Aneja-Nair method to obtain the set of optimal sequences

In this paper, we consider the bi-criteria single machine scheduling problem of n jobs with a learning effect. The two objectives considered are the total completion time (TC) and total absolute differences in completion times (TADC). The objective is to find a sequence that performs well with respect to both the objectives: the total completion time and the total absolute differences in completion times. In an earlier study, a method of solving bi-criteria transportation problem is presented. In this paper, we use the methodology of solvin bi-criteria transportation problem, to our bi-criteria single machine scheduling problem with a learning effect, and obtain the set of optimal sequences,. Numerical examples are presented for illustrating the applicability and ease of understanding.

Exact solutions of linear reaction-diffusion on a uniformly growing domain: criteria for successful colonization

Many processes during embryonic development involve transport and reaction of molecules, or transport and proliferation of cells, within growing tissues. Mathematical models of such processes usually take the form of a reaction-diffusion partial differential equation (PDE) on a growing domain. Previous analyses of such models have mainly involved solving the PDEs numerically. Here, we present a framework for calculating the exact solution of a linear reaction-diffusion PDE on a growing domain. We derive an exact solution for a general class of one-dimensional linear reaction—diffusion process on 0

Water Use Efficiency Investment for Healthy Headwaters

Agri-Science Queensland to provide a range of extension services to improve water use efficiency in irrigated agriculture in the Queensland Murray Darling Basin and support the implementation of the Healthy Headwaters On-farm Water Use Efficiency program.

AG15 (Sustainable Agricultural State-level Investment Program) natural resource management extension in irrigated cotton and grain

Natural Resource Management project developing reources and supporting best practice management for irrigated cotton and grain growers in Queensland.

Oscillation criteria for differential equations of second order

In this article, we give sufficient condition in the form of integral inequalities to establish the oscillatory nature of non linear homogeneous differential equations of the form where r, q, p, f and g are given data. We do this by separating the two cases f is monotonous and non monotonous.

Estimating the duration and cost of weed eradication programmes

Two prerequisites for realistically embarking upon an eradication programme are that cost-benefit analysis favours this strategy over other management options and that sufficient resources are available to carry the programme through to completion. These are not independent criteria, but it is our view that too little attention has been paid to estimating the investment required to complete weed eradication programmes. We deal with this problem by using a two-pronged approach: 1) developing a stochastic dynamic model that provides an estimation of programme duration; and 2) estimating the inputs required to delimit a weed incursion and to prevent weed reproduction over a sufficiently long period to allow extirpation of all infestations. The model is built upon relationships that capture the time-related detection of new infested areas, rates of progression of infestations from the active to the monitoring stage, rates of reversion of infestations from the monitoring to active stage, and the frequency distribution of time since last detection for all infestations. This approach is applied to the branched broomrape (Orobanche ramosa) eradication programme currently underway in South Australia. This programme commenced in 1999 and currently 7450 ha are known to be infested with the weed. To date none of the infestations have been eradicated. Given recent (2008) levels of investment and current eradication methods, model predictions are that it would take, on average, an additional 73 years to eradicate this weed at an average additional cost (NPV) of $AU67.9m. When the model was run for circumstances in 2003 and 2006, the average programme duration and total cost (NPV) were predicted to be 159 and 94 years, and $AU91.3m and $AU72.3m, respectively. The reduction in estimated programme length and cost may represent progress towards the eradication objective, although eradication of this species still remains a long term prospect.