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Article
Publication date: 5 April 2013

Mohammad Reza Tavakoli Baghdadabad

The purpose of this paper is to appraise the risk‐adjusted performance of international mutual funds using measures generated by the optimized variance (OV), and to promote…

Abstract

Purpose

The purpose of this paper is to appraise the risk‐adjusted performance of international mutual funds using measures generated by the optimized variance (OV), and to promote ability of portfolio managers and investors in making logical decisions.

Design/methodology/approach

This study appraises the performance of 65 international mutual funds via the optimized risk‐adjusted measures during monthly period of 2001‐2010. Using 65 linear programming models, the OV is calculated to optimize the standard deviation of any funds. Then, another model is run to get the OV of market index. Consequently, seven optimized performance measures namely Treynor, Sharpe, Jensen's alpha, M‐squared, information ratio (IR), MSR, and FPI along with the optimized leverage factor are proposed to evaluate the performance of these mutual funds. Finally, the optimized measures are used to evaluate the funds during pre and post‐crisis periods in order to compare the funds' performance over the crisis periods.

Findings

The empirical evidence detects which OV, as measured by the Markowitz's linear programming model, is an important determinant in the performance evaluation measures. Using OV statistic and also its standard deviation, this paper shows that new optimized measures are mostly over‐performed rather than the benchmark index; in addition these optimized measures have close correlation with the conventional performance measures. The evidence shows that the average of the optimized measures during crisis has the lowest performance in comparison with other research periods. The results therefore highlight the importance of using the new optimized measures along with the conventional measures in the evaluation of mutual funds' performance.

Research limitations/implications

It can be worthwhile to compare the optimized measure and also the conventional measures in identifying their superior measures.

Practical implications

The result of this study can be directly used as initial data to make decision by investors and portfolio managers who are seeking the possibility of participating in the global stock market through international mutual funds.

Originality/value

This paper is one of the first studies that optimizes the variance of return for any fund to suggest four optimized measures of Sharpe, IR, MSR, and FPI, and then proposes a new linear programming model to get OV of market index in introducing four optimized new measures of Treynor, M‐square, Jensen's alpha, and leverage factor.

Details

International Journal of Emerging Markets, vol. 8 no. 2
Type: Research Article
ISSN: 1746-8809

Keywords

Article
Publication date: 21 September 2015

Mohammad Reza Tavakoli Baghdadabad

The purpose of this paper is to provide an attempt to evaluate the risk-adjusted performance of international mutual funds using the risk statistic generated by the mean absolute…

Abstract

Purpose

The purpose of this paper is to provide an attempt to evaluate the risk-adjusted performance of international mutual funds using the risk statistic generated by the mean absolute deviation (MAD) and promote the ability of portfolio managers and investors to make the logical decisions for selecting different funds using the new optimized measures.

Design/methodology/approach

This study evaluates the performance of 50 international mutual funds using optimized risk-adjusted measures by the MAD over the monthly period 2001-2010. Using 50 linear programming models, the MAD is first computed by the linear programming models, and then seven performance measures of Treynor, Sharpe, Jensen’s α, M2, information ratio (IR), MSR, and FPI are optimized and proposed by the MAD to evaluate the mutual funds.

Findings

The empirical evidence detects that the MAD is an important determinant to evaluate the funds’ performance. Using the MAD statistic, this paper shows that new optimized measures are mostly over-performed by the benchmark index; in addition, these optimized measures have close correlation with each other. The results, therefore, detect the importance of using new optimized measures in evaluating the mutual funds’ performance.

Practical implications

The result of this study can be directly used as an initial data for decision of investors and portfolio managers who are seeking the possibility of participating in the global stock market by the international mutual funds.

Originality/value

This paper is the first study which optimizes the variance of returns in the MAD framework for each fund to propose new seven optimized measures of Treynor, Sharpe, Jensen’s α, M2, IR, MSR, and FPI.

Details

International Journal of Emerging Markets, vol. 10 no. 4
Type: Research Article
ISSN: 1746-8809

Keywords

Book part
Publication date: 1 November 2007

Irina Farquhar and Alan Sorkin

This study proposes targeted modernization of the Department of Defense (DoD's) Joint Forces Ammunition Logistics information system by implementing the optimized innovative…

Abstract

This study proposes targeted modernization of the Department of Defense (DoD's) Joint Forces Ammunition Logistics information system by implementing the optimized innovative information technology open architecture design and integrating Radio Frequency Identification Device data technologies and real-time optimization and control mechanisms as the critical technology components of the solution. The innovative information technology, which pursues the focused logistics, will be deployed in 36 months at the estimated cost of $568 million in constant dollars. We estimate that the Systems, Applications, Products (SAP)-based enterprise integration solution that the Army currently pursues will cost another $1.5 billion through the year 2014; however, it is unlikely to deliver the intended technical capabilities.

Details

The Value of Innovation: Impact on Health, Life Quality, Safety, and Regulatory Research
Type: Book
ISBN: 978-1-84950-551-2

Article
Publication date: 21 September 2012

Mohammad Reza Tavakoli Baghdadabad, Fauzias Matnor and Izani Ibrahim

This paper aims to evaluate the risk‐adjusted performance of Malaysian mutual funds using optimized drawdown risk measures (ODRMs) based on modern portfolio theory, and to…

1289

Abstract

Purpose

This paper aims to evaluate the risk‐adjusted performance of Malaysian mutual funds using optimized drawdown risk measures (ODRMs) based on modern portfolio theory, and to represent the results in a manner which is easily understood by average investors and portfolio managers.

Design/methodology/approach

This study evaluates the performance of 70 Malaysian mutual funds using risk‐adjusted returns during 2000‐2011. The ODRM is primarily calculated by 70 linear programming models, consequently seven new optimized risk‐adjusted performance measures including Sharpe, Treynor, M‐squared, Jensen's alpha, information ratio (IR), MSR, and FPI are proposed to evaluate these funds.

Findings

The results of this study have several implications. First, the ODRM can be an alternative risk measure to optimize the selection of mutual funds. Second, it proposes new seven optimized performance measures of Sharpe, Treynor, M‐square, Jensen's alpha, IR, MSR, and FPI. These measures help fund managers to evaluate the performance of Malaysian mutual funds optimally. Third, No‐Islamic funds have the upper performance than Islamic funds based on the results of optimized measures and robustness tests. Fourth, the majority of surveying funds over‐perform the benchmark indexes.

Practical implications

The research evidence reported by this study can be utilized as input in the process of decision making by small and average investors and portfolio managers who are seeking the possibility of participating in Malaysian stock market by mutual funds.

Originality/value

This paper is the first study that optimizes the drawdown risk measure to evaluate the performance of Malaysian mutual funds and propose seven optimized measures, Sharpe, Treynor, M‐Square, Jensen's alpha, IR, MSR, and FPI.

Details

Journal of Islamic Accounting and Business Research, vol. 3 no. 2
Type: Research Article
ISSN: 1759-0817

Keywords

Article
Publication date: 29 December 2023

Noah Ray and Il Yong Kim

Fiber reinforced additive manufacturing (FRAM) is an emerging technology that combines additive manufacturing and composite materials. As a result, design freedom offered by the…

Abstract

Purpose

Fiber reinforced additive manufacturing (FRAM) is an emerging technology that combines additive manufacturing and composite materials. As a result, design freedom offered by the manufacturing process can be leveraged in design optimization. The purpose of the study is to propose a novel method that improves structural performance by optimizing 3D print orientation of FRAM components.

Design/methodology/approach

This work proposes a two-part design optimization method that optimizes 3D global print orientation and topology of a component to improve a structural objective function. The method considers two classes of design variables: (1) print orientation design variables and (2) density-based topology design variables. Print orientation design variables determine a unique 3D print orientation to influence anisotropic material properties. Topology optimization determines an optimal distribution of material within the optimized print orientation.

Findings

Two academic examples are used to demonstrate basic behavior of the method in tension and shear. Print orientation and sequential topology optimization improve structural compliance by 90% and 58%, respectively. An industry-level example, an aerospace component, is optimized. The proposed method is used to achieve an 11% and 15% reduction of structural compliance compared to alternative FRAM designs. In addition, compliance is reduced by 43% compared to an equal-mass aluminum design.

Originality/value

Current research surrounding FRAM focuses on the manufacturing process and neglects opportunities to leverage design freedom provided by FRAM. Previous FRAM optimization methods only optimize fiber orientation within a 2D plane and do not establish an optimized 3D print orientation, neglecting exploration of the entire orientation design space.

Article
Publication date: 9 April 2018

Arpit Jain, Satya Sheel and Piyush Kuchhal

The purpose of this paper is to study the application of entropy based optimized fuzzy logic control for a real-time non-linear system. Optimization of the fuzzy membership…

Abstract

Purpose

The purpose of this paper is to study the application of entropy based optimized fuzzy logic control for a real-time non-linear system. Optimization of the fuzzy membership function (MF) is one of the most explored areas for performance improvement of the fuzzy logic controllers (FLC). Conversely, majority of previous works are motivated on choosing an optimized shape for the MF, while on the other hand the support of fuzzy set is not accounted.

Design/methodology/approach

The proposed investigation provides the optimal support for predefined MFs by using genetic algorithms-based optimization of fuzzy entropy-based objective function.

Findings

The experimental results obtained indicate an improvement in the performance of the controller which includes improvement in error indices, transient and steady-state parameters. The applicability of proposed algorithm has been verified through real-time control of the twin rotor multiple-input, multiple-output system (TRMS).

Research limitations/implications

The proposed algorithm has been used for the optimization of triangular sets, and can also be used for the optimization of other fussy sets, such as Gaussian, s-function, etc.

Practical implications

The proposed optimization can be combined with other algorithms which optimize the mathematical function (shape), and a potent optimization tool for designing of the FLC can be formulated.

Originality/value

This paper presents the application of a new optimized FLC which is tested for control of pitch and yaw angles in a TRMS. The performance of the proposed optimized FLC shows significant improvement when compared with standard references.

Details

World Journal of Engineering, vol. 15 no. 2
Type: Research Article
ISSN: 1708-5284

Keywords

Article
Publication date: 1 December 1998

Susan P. Ashdown

Most apparel sizing systems are based on one or two body dimensions and rely on assumptions about proportional body relationships to project other dimensions necessary to design…

2453

Abstract

Most apparel sizing systems are based on one or two body dimensions and rely on assumptions about proportional body relationships to project other dimensions necessary to design the garment pattern. Garments from these systems will not fit a population with large variations in body proportions. Using nonlinear optimization methods and anthropometric data of US Army women three multidimensional sizing systems were derived that are designed to provide improved fit for women from the USA, a population with much variation. These systems range from an optimized linear system with a regular grade to an unconstrained optimized system with a grade break at each size. The optimized sizing systems compare favorably with D5585‐94 in their ability to accommodate variation in the population based on a mathematical test of the aggregate loss of each system. Issues related to pattern grading, size selection, and calculation of stock keeping units are discussed.

Details

International Journal of Clothing Science and Technology, vol. 10 no. 5
Type: Research Article
ISSN: 0955-6222

Keywords

Article
Publication date: 29 June 2020

Wenming Cheng, Hui Wang, Min Zhang and Run Du

The purpose of this paper is to propose an improved proportional topology optimization (IPTO) algorithm for tackling the stress-constrained minimum volume optimization problem…

Abstract

Purpose

The purpose of this paper is to propose an improved proportional topology optimization (IPTO) algorithm for tackling the stress-constrained minimum volume optimization problem, which can meet the requirements that are to get rid of the problems of numerical derivation and sensitivity calculation involved in the process of obtaining sensitivity information and overcome the drawbacks of the original proportional topology optimization (PTO) algorithm.

Design/methodology/approach

The IPTO algorithm is designed by using the new target material volume update scheme and the new density variable update scheme and by introducing the improved density filter (considering the weighting function based on the Gaussian distribution) and Heaviside-type projection operator on the basis of the PTO algorithm. The effectiveness of the IPTO algorithm is demonstrated by solving the stress-constrained minimum volume optimization problems for two numerical examples and being compared with the PTO algorithm.

Findings

The results of this paper show that the uses of the proposed strategies contribute to improving the optimized results and the performance (such as the ability to obtain accurate solutions, robustness and convergence speed) of the IPTO algorithm. Compared with the PTO algorithm, the IPTO algorithm has the advantages of fast convergence speed, enhancing the ability to obtain accurate solutions and improving the optimized results.

Originality/value

This paper achieved the author’s intended purpose and provided a new idea for solving the stress-constrained optimization problem under the premise of avoiding obtaining sensitivity information.

Details

Engineering Computations, vol. 38 no. 1
Type: Research Article
ISSN: 0264-4401

Keywords

Article
Publication date: 16 July 2021

Mani Sekaran Santhanakrishnan, Tim Tilford and Chris Bailey

The purpose of the study is to optimise the cross-sectional shape of passively cooled horizontally mounted pin-fin heat sink for higher cooling performance and lower material…

Abstract

Purpose

The purpose of the study is to optimise the cross-sectional shape of passively cooled horizontally mounted pin-fin heat sink for higher cooling performance and lower material usage.

Design/methodology/approach

Multi-objective shape optimisation technique is used to design the heat sink fins. Non-dominated sorting genetic algorithm (NSGA-II) is combined with a geometric module to develop the shape optimiser. High-fidelity computational fluid dynamics (CFD) is used to evaluate the design objectives. Separate optimisations are carried out to design the shape of bottom row fins and middle row fins of a pin-fin heat sink. Finally, a computational validation was conducted by generating a three-dimensional pin-fin heat sink using optimised fin cross sections and comparing its performance against the circular pin-fin heat sink with the same inter-fin spacing value.

Findings

Heat sink with optimised fin cross sections has 1.6% higher cooling effectiveness than circular pin-fin heat sink of same material volume, and has 10.3% higher cooling effectiveness than the pin-fin heat sink of same characteristics fin dimension. The special geometric features of optimised fins that resulted in superior performance are highlighted. Further, Pareto-optimal fronts for this multi-objective optimisation problem are obtained for different fin design scenarios.

Originality/value

For the first time, passively cooled heat sink’s cross-sectional shapes are optimised for different spatial arrangements, using NSGA-II-based shape optimiser, which makes use of CFD solver to evaluate the design objectives. The optimised, high-performance shapes will find direct application to cool power electronic equipment.

Details

International Journal of Numerical Methods for Heat & Fluid Flow, vol. 32 no. 3
Type: Research Article
ISSN: 0961-5539

Keywords

Article
Publication date: 29 October 2021

Ran Feng and Xiaoe Qu

To identify and analyze the occurrence of Internet financial market risk, data mining technology is combined with deep learning to process and analyze. The market risk management…

Abstract

Purpose

To identify and analyze the occurrence of Internet financial market risk, data mining technology is combined with deep learning to process and analyze. The market risk management of the Internet is to improve the management level of Internet financial risk, improve the policy of Internet financial supervision and promote the healthy development of Internet finance.

Design/methodology/approach

In this exploration, data mining technology is combined with deep learning to mine the Internet financial data, warn the potential risks in the market and provide targeted risk management measures. Therefore, in this article, to improve the application ability of data mining in dealing with Internet financial risk management, the radial basis function (RBF) neural network algorithm optimized by ant colony optimization (ACO) is proposed.

Findings

The results show that the actual error of the ACO optimized RBF neural network is 0.249, which is 0.149 different from the target error, indicating that the optimized algorithm can make the calculation results more accurate. The fitting results of the RBF neural network and ACO optimized RBF neural network for nonlinear function are compared. Compared with the performance of other algorithms, the error of ACO optimized RBF neural network is 0.249, the running time is 2.212 s, and the number of iterations is 36, which is far less than the actual results of the other two algorithms.

Originality/value

The optimized algorithm has a better spatial mapping and generalization ability and can get higher accuracy in short-term training. Therefore, the ACO optimized RBF neural network algorithm designed in this exploration has a high accuracy for the prediction of Internet financial market risk.

Details

Journal of Enterprise Information Management, vol. 35 no. 4/5
Type: Research Article
ISSN: 1741-0398

Keywords

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