Yaşar University

About: Yaşar University is a education organization based out in Izmir, Turkey. It is known for research contribution in the topics: Exergy & Job shop scheduling. The organization has 760 authors who have published 1436 publications receiving 20813 citations. The organization is also known as: Yaşar Üniversitesi.

Constraint and Mathematical Programming Models for Integrated Port Container Terminal Operations

Abstract: This paper considers the integrated problem of quay crane assignment, quay crane scheduling, yard location assignment, and vehicle dispatching operations at a container terminal. The main objective is to minimize vessel turnover times and maximize the terminal throughput, which are key economic drivers in terminal operations. Due to their computational complexities, these problems are not optimized jointly in existing work. This paper revisits this limitation and proposes Mixed Integer Programming (MIP) and Constraint Programming (CP) models for the integrated problem, under some realistic assumptions. Experimental results show that the MIP formulation can only solve small instances, while the CP model finds optimal solutions in reasonable times for realistic instances derived from actual container terminal operations.

Idiosyncratic Volatility and Expected Returns at the Global Level

Abstract: We investigate the existence and significance of a cross-sectional relation between idiosyncratic volatility and expected returns at the global level by introducing a global idiosyncratic volatility measure and globally diversified test assets. We find that the portfolios with the highest and lowest global idiosyncratic volatility don’t earn significantly different average returns, indicating the absence of a link between global idiosyncratic volatility and expected returns. This result is robust to three different samples utilized; two different asset pricing models, two different data frequencies, and an alternative idiosyncratic volatility definition used to estimate global idiosyncratic volatility; two different weighting schemes to calculate portfolio returns and after controlling for the size of the global idiosyncratic volatility sorted portfolios. It also holds for four different sub-periods and eight subsamples reflecting different states of the economy and stock markets. Our results show that global diversification is effective in stabilizing the returns of global test assets as global investors don’t require a risk premium for bearing global idiosyncratic volatility and that benefits from global diversification can be gained by diversifying across countries or across industries.

Where have the profits gone? Market efficiency and the disappearing equity anomalies in country and industry returns

Abstract: We are the first to demonstrate the decline in the cross-sectional predictability of country and industry returns in recent years. We examine 53 anomalies in country and industry indices from 64 markets for the years 1973–2018. The profitability of the strategies has significantly decreased recently, driven particularly by the disappearance of value and reversal effects. The phenomenon is strongest in large developed markets. Neither changes in country- and industry-specific risks, nor investor learning from the academic literature can explain the effect. Our findings support the view that the fall in return predictability is caused by the overall improvement in market efficiency.