Index Tracking Using Data-Mining Techniques and Mixed-Binary Linear Programming

Index tracking has become one of the most common strategies in asset management. The index-tracking problem consists of constructing a portfolio that replicates the future performance of an index by including only a subset of the index constituents in the portfolio. Finding the most representative subset is challenging when the number of stocks in the index is large. We introduce a new three-stage approach that at first identifies promising subsets by employing data-mining techniques, then determines the stock weights in the subsets using mixed-binary linear programming, and finally evaluates the subsets based on cross validation. The best subset is returned as the tracking portfolio. Our approach outperforms state-of-the-art methods in terms of out-of-sample performance and running times.

Red Eléctrica de España uses integer programming for annual salary revisions

In this paper, we present a mixed-integer linear programming model for determining salary-revision matrices for an organization based on that organization?s general strategies. The solution obtained from this model consists of salary increases for each employee; these increases consider the employee?s professional performance, salary level relative to peers within the organization, and professional group. In addition to budget constraints, we modeled other elements typical of compensation systems, such as equity and justice. Red Eléctrica de España (REE), the transmission agent and operator of the Spanish electricity system, used the model to revise its 2010 and 2011 salary policies, and achieved results that were aligned with the company strategy. REE incorporated the model into the salary management module within its information system, and plans to continue to use the model in revisions of the module.

A Code for zero-one integer programming, ILLIP-2 : a programming manual for ILLIP-2 /

"UILU-ENG 77 1711."

Optimum network design using NOR and NOR-AND gates by integer programming,

Bibliography: p. 44.

An implicit enumeration program for zero-one integer programming -- ILLIP-2 /

Thesis (M.S.)--Illinois.

A study of the effect of additional inequalities in integer programming for logical design.

Originally presented as the author's thesis (M.S.), University of Illinois at Urbana-Champaign.

Synthesis of optimal networks with NOR and NAND gates by integer programming /

"January 18, 1971."

On the synthesis by integer programming of optimal NOR gate networks for four variable switching functions /

"Supported in part by the National Science Foundation under grant no. NSF GJ-503."

An Implicit enumeration program for zero-one integer programming,

Bibliography: p. 41-42.

Synthesis of optimal double-rail logic networks using NOR-OR gates by integer programming.

"Supported in part by ... Grant no. NSF GJ-503."

Implicit enumeration algorithm of integer programming on Illiac IV,

Bibliography: p. 29.

Optimum network design using NOR-OR gates by integer programming.

"Supported in part by ... Grant no. NSF GJ-503."