A hybrid heuristic for the multi-plant capacitated lot sizing problem with setup carry-over

This paper addresses the capacitated lot sizing problem (CLSP) with a single stage composed of multiple plants, items and periods with setup carry-over among the periods. The CLSP is well studied and many heuristics have been proposed to solve it. Nevertheless, few researches explored the multi-plant capacitated lot sizing problem (MPCLSP), which means that few solution methods were proposed to solve it. Furthermore, to our knowledge, no study of the MPCLSP with setup carry-over was found in the literature. This paper presents a mathematical model and a GRASP (Greedy Randomized Adaptive Search Procedure) with path relinking to the MPCLSP with setup carry-over. This solution method is an extension and adaptation of a previously adopted methodology without the setup carry-over. Computational tests showed that the improvement of the setup carry-over is significant in terms of the solution value with a low increase in computational time.

Estudo de implementação da NP EN ISO 22000:2005 na sala de desmancha de carnes frescas da empresa “X” Cash & Carry

Dissertação para obtenção do Grau de Mestre em Tecnologia e Segurança Alimentar

Beyond the carry trade: Optimal currency portfolios

Author's Pre-print

Getting the carry trade's jackpot

This Working Project studies five portfolios of currency carry trades formed with the G10 currencies. Performance varies among strategies and the most basic one presents the worst results. I also study the equity and Pure FX risk factors which can explain the portfolios’ returns. Equity factors do not explain these returns while the Pure FX do for some of the strategies. Downside risk measures indicate the importance of using regime indicators to avoid losses. I conclude that although using VAR and threshold regression models with a variety of regime indicators do not allow the perception of different regimes, with a defined exogenous threshold on real exchange rates, an indicator of liquidity and the volatilities of the spot exchange rates it is possible to increase the average returns and reduce drawdowns of the carry trades

Introducing risk parity on momentum and carry portfolios

The momentum and carry anomalies have been extensively documented in the literature. However, there are still many issues relating to the risks associated to them that are left unexplained. One is the fact that an investor holds for too long the most volatile assets, both under momentum and carry strategies. Therefore, they present a level of risk and a probability of extreme events to happen inconsistent. This work project hypothesizes and proves the introduction of risk parity rules on the weights of the portfolios do increase risk rewarding of carry strategies. However, it fails under momentum strategies.

Carry and trend-following strategies

Recent research has shown that carry and trend strategies when combined lead to significant risk-adjusted returns that can be very attractive to investors, at a low cost with small and positive skewness. This study proposes to combine both carry and trend-following, considering a data set of ten years (09/2005-09/2015), within a portfolio composed by three major asset classes: currencies, commodities and equity indices. Following a futures-based methodology, the obtained results show that, indeed, the strategy results inevitably in higher returns and greater sharpe ratios for every asset class in study. This outcome results from the fact that trend proved to provide a significant hedge to the downside risk that carry is exposed to.

When to carry eccentric products? Optimal retail assortment under consumer returns

To understand whether retailers should consider consumer returns when merchandising, we study howthe optimal assortment of a price-taking retailer is influenced by its return policy. The retailer selects itsassortment from an exogenous set of horizontally differentiated products. Consumers make purchase andkeep/return decisions in nested multinomial logit fashion. Our main finding is that the optimal assortmenthas a counterintuitive structure for relatively strict return policies: It is optimal to offer a mix of the mostpopular and most eccentric products when the refund amount is sufficiently low, which can be viewed asa form of risk sharing between the retailer and consumers. In contrast, if the refund is sufficiently high, orwhen returns are disallowed, optimal assortment is composed of only the most popular products (a commonfinding in the literature). We provide preliminary empirical evidence for one of the key drivers of our results:more eccentric products have higher probability of return conditional on purchase. In light of our analyticalfindings and managerial insights, we conclude that retailers should take their return policies into accountwhen merchandising.

Kilpailuetu ja liiketoiminnan kehittäminen – cash&carry-ketju muuttuvassa ympäristössä

Suomalaiset yritykset ovat lähteneet hakemaan kasvua omille liiketoiminnoilleen, ja Baltian markkina-alue on ollut monille yrityksille ensimmäinen askel kansainvälisille liiketoiminnoille. Erityisesti tukkukauppatoimiala on ollut kasvussa Baltian alueella. Tässä työssä on käsitelty yhtä tukkukaupan muotoa, noutotukkukauppaa, Virossa toimivan pääosaltaan suomalaisomisteisen cash&carry-ketjun näkökulmasta. Ensimmäinen ketjun toimipiste perustettiin jo 1990-luvun alussa lähes heti Viron itsenäistymisen jälkeen. Toukokuussa 2005 perustetaan ketjun kahdeksas toimipiste. Jotta yritykset pärjäisivät kilpailussa, on niiden investoitava eri tavoin toimintaansa, että liiketoiminta jatkuisi ja asema kilpailutilanteessa säilyisi. Tehokkaat markkinointi- ja jakelukanavaratkaisut ovat yritysten intresseissä, koska niillä yritykset pystyvät lisäämään usein kontrollia markkinoista. Jokainen yritys pyrkii kehittämään liiketoimintaansa, ja sillä pyritään saavuttamaan kilpailuetuja tai säilyttämään nykyinen kilpailuetu. Toiminnan kehittäminen vaatii jatkuvaa liiketoimintaympäristön seurantaa, jotta aukenevat mahdollisuudet pystyttäisiin hyödyntämään ja tekemään liiketoiminnalle kannattavia ratkaisuja.

North African populations carry the signature of admixture with Neandertals

One of the main findings derived from the analysis of the Neandertal genome was the evidence for admixture between Neandertals and non-African modern humans. An alternative scenario is that the ancestral population of non-Africans was closer to Neandertals than to Africans because of ancient population substructure. Thus, the study of North African populations is crucial for testing both hypotheses. We analyzed a total of 780,000 SNPs in 125 individuals representing seven different North African locations and searched for their ancestral/derived state in comparison to different human populations and Neandertals. We found that North African populations have a significant excess of derived alleles shared with Neandertals, when compared to sub-Saharan Africans. This excess is similar to that found in non-African humans, a fact that can be interpreted as a sign of Neandertal admixture. Furthermore, the Neandertal's genetic signal is higher in populations with a local, pre-Neolithic North African ancestry. Therefore, the detected ancient admixture is not due to recent Near Eastern or European migrations. Sub-Saharan populations are the only ones not affected by the admixture event with Neandertals.

Currency Carry Trades – Excess Returns and Performance Optimization of G10 Currency Carry Trade Strategies during the Euro Era

This study examines the excess returns provided by G10 currency carry trading during the Euro era. The currency carry trade has been a popular trade throughout the past decades offering excess returns to investors. The thesis aims to contribute to existing research on the topic by utilizing a new set of data for the Euro era as well as using the Euro as a basis for the study. The focus of the thesis is specifically on different carry trade strategies’ performance, risk and diversification benefits. The study finds proof of the failure of the uncovered interest rate parity theory through multiple regression analyses. Furthermore, the research finds evidence of significant diversification benefits in terms of Sharpe ratio and improved return distributions. The results suggest that currency carry trades have offered excess returns during 1999-2014 and that volatility plays an important role in carry trade returns. The risk, however, is diversifiable and therefore our results support previous quantitative research findings on the topic.

A majority of Brazilian patients with rheumatoid arthritis HLA-DRB1 alleles carry both the HLA-DRB1 shared epitope and anti-citrunillated peptide antibodies

The objective of the present study was to evaluate the contribution of the shared epitope (SE), the rheumatoid arthritis (RA) protection model, and the occurrence of anti-cyclic citrullinated peptide (anti-CCP) antibodies in RA patients from a genetically diverse population. One hundred and forty Brazilian RA patients and 161 matched controls were typed for HLA-DRB1 alleles using amplified DNA hybridized with sequence-specific oligonucleotide probes or primers. Patients were stratified according to the presence or absence of SE (DRB1*0401, *0404, *0405, *0101, *1001, and *1402), of the DERAA alleles (DRB1*0103, *0402, *1102, *1103, *1301, *1302, and *1304), and X (all other alleles). Anti-CCP antibodies were measured by ELISA. The combined frequency of SE-positive alleles was significantly greater (76.4 vs 23.6%, P < 0.0001) than the controls. The SE/SE and SE/X genotypes were over-represented (P < 0.0001, OR = 6.02) and DERAA/X was under-represented in RA patients (P < 0.001, OR = 0.49), whereas the frequencies of the SE/DERAA, X/X and X/DERAA genotypes were not significantly different from controls. The frequency of anti-CCP antibodies was higher in SE-positive patients than in SE-negative patients (64.6 vs 44.7%, P = 0.03; OR = 2.25). Although the Brazilian population is highly miscegenated, the results of this study support the findings observed in most genetically homogeneous populations with RA; however, they are not mutually exclusive but rather complementary. The participation of DRB1-DERAA alleles in protection against RA was also observed (OR = 0.4; 95%CI = 0.23-0.68).

Diversity and effectiveness of tropical mangrove soil microflora on the degradation of polythene carry bags

The diversity and load of heterotrophic bacteria and fungi associated with the mangrove soil from Suva, Fiji Islands, was determined by using the plate count method. The ability of the bacterial isolates to produce various hydrolytic enzymes such as amylase, gelatinase and lipase were determined using the plate assay. The heterotrophic bacterial load was considerably higher than the fungal load. There was a predominance of the gram positive genus, Bacillus. Other genera encountered included Staphylococcus, Micrococcus, Listeria and Vibrio. Their effectiveness on the degradation of commercial polythene carry bags made of high density polyethylene (HDPE) and low density polyethylene (LDPE) was studied over a period of eight weeks in the laboratory. Biodegradation was measured in terms of mean weight loss, which was nearly 5 % after a period of eight weeks. There was a significant increase in the bacterial load of the soil attached to class 2 (HDPE) polythene. After eight weeks of submergence in mangrove soil, soil attached to class 1 and class 3 polythene mostly had Bacillus (Staphylococcus predominated in class 2 polythene). While most of the isolates were capable of producing hydrolytic enzymes such as amylase and gelatinase, lipolytic activity was low. Class 2 HDPE suffered the greatest biodegradation.