Power Purchasing Portfolio Optimization Based on the Absolute Deviation

Author(s):  
Rui-Hua Liu ◽  
Jun-Yong Liu ◽  
Mai He ◽  
Lian-Fang Xie
Entropy ◽  
2021 ◽  
Vol 23 (10) ◽  
pp. 1266
Author(s):  
Weng Siew Lam ◽  
Weng Hoe Lam ◽  
Saiful Hafizah Jaaman

Investors wish to obtain the best trade-off between the return and risk. In portfolio optimization, the mean-absolute deviation model has been used to achieve the target rate of return and minimize the risk. However, the maximization of entropy is not considered in the mean-absolute deviation model according to past studies. In fact, higher entropy values give higher portfolio diversifications, which can reduce portfolio risk. Therefore, this paper aims to propose a multi-objective optimization model, namely a mean-absolute deviation-entropy model for portfolio optimization by incorporating the maximization of entropy. In addition, the proposed model incorporates the optimal value of each objective function using a goal-programming approach. The objective functions of the proposed model are to maximize the mean return, minimize the absolute deviation and maximize the entropy of the portfolio. The proposed model is illustrated using returns of stocks of the Dow Jones Industrial Average that are listed in the New York Stock Exchange. This study will be of significant impact to investors because the results show that the proposed model outperforms the mean-absolute deviation model and the naive diversification strategy by giving higher a performance ratio. Furthermore, the proposed model generates higher portfolio mean returns than the MAD model and the naive diversification strategy. Investors will be able to generate a well-diversified portfolio in order to minimize unsystematic risk with the proposed model.


1993 ◽  
Vol 45 (1) ◽  
pp. 205-220 ◽  
Author(s):  
Hiroshi Konno ◽  
Hiroshi Shirakawa ◽  
Hiroaki Yamazaki

2020 ◽  
Author(s):  
Jiaxiang Gao ◽  
Yunfei Hou ◽  
Zhichang Li ◽  
Runjun Li ◽  
Yan Ke ◽  
...  

Abstract Background: This study aimed to determine whether the iAssist navigation system (NAV) could improve the accuracy of restoring mechanical axis (MA), component positioning, and clinical outcomes compared to conventional (CON) total knee arthroplasty (TKA). Methods: A total of 301 consecutive patients (NAV: 27, CON: 274) were included. A 1:4 propensity score matching (PSM) was performed between the two groups according to preoperative demographic and clinical parameters. The postoperative MA, femoral coronal angle (FCA), femoral sagittal angle (FSA), tibial coronal angle (TCA) and tibial sagittal angle (TSA) were compared. Absolute deviations of aforementioned angles were calculated as the absolute value of difference between the exact and ideal value and defined as appropriate if within 3°, otherwise regarded as outliers. Additional clinical parameters, including the Knee Society knee and function scores (KSKS and KSFS) and range of motion (ROM), were assessed at the final follow-up (mean follow-up time was 21.88 and 21.56 months respectively for NAV and CON group). Results: A total of 98 patients/102 knees were analyzed after the PSM (NAV: 21 patients/24 knees, CON: 77 patients/78 knees). In the NAV group, the mean MA, FCA and TSA were significantly improved (p = 0.019, 0.006, <0.001, respectively). Proportions of TKAs within a ±3°deviation were significantly improved in all the postoperative radiological variables except for TCA (p = 0.003, 0.021, 0,017, 0.013, respectively for MA, FCA, FSA, and TSA). The absolute deviations of FSA and TSA were also significantly lower in the NAV group (p = 0.016, 0.048, respectively). In particular, no significant differences were found in either mean value, absolute deviation or outlier ratio of TCA between two groups. For the clinical outcomes, there were no significant differences between two groups, although KSKS, KSFS and ROM (p<0.01, respectively) dramatically improved compared to baseline. Conclusions: We suggested that the iAssist system could improve the accuracy and precision of mechanical alignment and component positioning without significant improvement of clinical outcomes. Further long-term high-quality studies are necessary to validate the results.


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