Search results for "Pareto"

Distance Measures for Portfolio Selection

2017

The classical Markowitz approach to the portfolio selection problem (PSP) consists of selecting the portfolio that minimises the return variance for a given level of expected return. By solving the problem for different values of this expected return we obtain the Pareto efficient frontier, which is composed of non-dominated portfolios. The final user has to discriminate amongst these points by resorting to an external criterion in order to decide which portfolio to invest in. We propose to define an external portfolio that corresponds to a desired criterion, and to assess its distance from the Markowitz frontier in market allowing for short-sellings or not. We show that this distance is ab…

Automatic multi-objective optimization of parameters for hardware and code optimizations

2011

Recent computer architectures can be configured in lots of different ways. To explore this huge design space, system simulators are typically used. As performance is no longer the only decisive factor but also e.g. power usage or the resource usage of the system it became very hard for designers to select optimal configurations. In this article we use a multi-objective design space exploration tool called FADSE to explore the vast design space of the Grid Alu Processor (GAP) and its post-link optimizer called GAPtimize. We improved FADSE with techniques to make it more robust against failures and to speed up evaluations through parallel processing. For the GAP, we present an approximation o…

THE ITALIAN DEBATE ON MARSHALLIAN AND PARETIAN ECONOMICS AND THE INTELLECTUAL ROOTS OF PIERO SRAFFA'S 'Sulle relazioni fra costo e quantità prodotta'…

2000

Ruin probabilities in the presence of heavy tails and interest rates

1997

Abstract We study the infinite time ruin probability for the classical Cramer-Lundberg model, where the company also receives interest on its reserve. We consider the large claims case, where the claim size distribution F has a regularly varying tail. Hence our results apply for instance to Pareto, loggamma, certain Benktander and stable claim size distributions. We prove that for a positive force of interest δ the ruin probability ψδ (u) ∼ κδ (1 - F(u)) as the initial risk reserve u→∞. This is quantitatively different from the non-interest model, where ψ(u) ∼ κ (1 – F(y)) dy.

A multi objective genetic algorithm for the facility layout problem based upon slicing structure encoding

2012

This paper proposes a new multi objective genetic algorithm (MOGA) for solving unequal area facility layout problems (UA-FLPs). The genetic algorithm suggested is based upon the slicing structure where the relative locations of the facilities on the floor are represented by a location matrix encoded in two chromosomes. A block layout is constructed by partitioning the floor into a set of rectangular blocks using guillotine cuts satisfying the areas requirements of the departments. The procedure takes into account four objective functions (material handling costs, aspect ratio, closeness and distance requests) by means of a Pareto based evolutionary approach. The main advantage of the propos…

Implementation aspects of interactive multiobjective optimization for modeling environments: The case of GAMS-NIMBUS

2014

Abstract. Interactive multiobjective optimization methods have provided promising results in the literature but still their implementations are rare. Here we introduce a core structure of interactive methods to enable their convenient implementation. We also demonstrate how this core structure can be applied when implementing an interactive method using a modeling environment. Many modeling environments contain tools for single objective optimization but not for interactive multiobjective optimization. Furthermore, as a concrete example, we present GAMS-NIMBUS Tool which is an implementation of the classification-based NIMBUS method for the GAMS modeling environment. So far, interactive met…

Environmental pollution, sustained growth, and sufficient conditions for sustainable development

2016

Abstract Sustainability and optimality are the two main issues discussed in environmental economics and economic growth theory. This paper studies economic growth in the presence of two environmental externalities. The first one is local and gives account of the marginal damage from the emissions flow. The second one is aggregate, or global, and relates to the extreme damage which may happen if the accumulated stock of pollutants is on the threshold of a worldwide catastrophe. In this context, the decentralized equilibrium is inefficient and economic growth unsustainable. However, we find and completely characterize the socially optimal equilibrium, which shows that sustained growth is feas…

Inverse Malthusianism and Recycling Economics: The Case of the Textile Industry

2020

The current use of natural resources in the textile industry leads us to introduce a new economic concept called inverse Malthusianism describing a context in which population grows linearly and resource consumption grows exponentially. Inverse Malthusianism implies an exponential increase in environmental impact that recycling may contribute to reduce. Our main goal is to extend the analysis of materials selection under the principle of equimarginality proposed by Jevons. As a first result, we show the particular circumstances under which policies excluding recycled supplies are never optimal. We also aim to overcome the difficulties of reducing environmental aspects to monetary units. To …

Identification of efficient equilibria in multiproduct trading with indivisibilities and non-monotonicity

2018

Abstract This paper focuses on multiproduct trading with indivisibilities and where a representative agent may have non-monotonic preferences. In this framework, the set of firms’ profits (which comes from efficient subgame perfect Nash equilibria) is the Pareto frontier of some projection of the core of the game. We show that under monotonicity efficient subgame perfect Nash equilibria are achieved by single offers and the equilibrium characterization is easy to obtain. When dealing with non-monotonic preferences the problem becomes more challenging. Then, we define a pair of primal–dual linear programming problems that fully identifies the core of the game. A set of modified versions of t…

Noncooperative dynamic games for inventory applications: A consensus approach

2008

We focus on a finite horizon noncooperative dynamic game where the stage cost of a single player associated to a decision is a monotonically nonincreasing function of the total number of players making the same decision. For the single-stage version of the game, we characterize Nash equilibria and derive a consensus protocol that makes the players converge to the unique Pareto optimal Nash equilibrium. Such an equilibrium guarantees the interests of the players and is also social optimal in the set of Nash equilibria. For the multi-stage version of the game, we present an algorithm that converges to Nash equilibria, unfortunately not necessarily Pareto optimal. The algorithm returns a seque…