Journal of The Operations Research Society of Japan 

About: Journal of The Operations Research Society of Japan is an academic journal published by The Operations Research Society of Japan. The journal publishes majorly in the area(s): M/G/1 queue & Queue. It has an ISSN identifier of 0453-4514. It is also open access. Over the lifetime, 1076 publications have been published receiving 11293 citations. The journal is also known as: Nihon opereshonzu risachi gakkai rombunshi & Nihon opereshonzu risachi gakkai ronbunshi.

The multiple-choice knapsack problem

Abstract: This paper treats the multiple-choice (continuous) knapsack problem P: n mi n mi maximize L .L cijxijsubjectto(l) I I aij x ij";b,(2)0,,;xij";1,i=I,2, i=l J=l i=l J=1 ... , n, j = 1,2, .... mi and (3) at most one of x il, x i2' ... , x im. is positive for i = 1,2, ., ., n, , where n, mi are positive integers and aij' Cij' bare nonnegative real numbers. Two approximate algorithms and an exact branch-and-bound algorithm are proposed, by making use of the property that the LP relaxation of P provides considerably accurate upper and lower bounds of the optimal value of P. Although the multiple-choice knapsack problem is known to be NP-complete, computation results are quite encouraging. For example, approximate solutions withing 0.001% of the optimal values are obtained in less than one second (on FACOM 230/60) for problems with n = 1000 and mi = 2, which are randomly generated from the uniform distribution. Exact optimal solutions of these problems with n = 500 and mi = 2 are also obtained in less th-an 0.2 seconds (on FACOM M190). 59 © 1978 The Operations Research Society of Japan 60 T. Ibaraki, T. Hasegawa, K. Teranaka and J. Iwase

The mean-variance approach to portfolio optimization subject to transaction costs

Abstract: Tra,nsact>ion costss are a. source of concern for port,folio managers. Due to nonlinearity of the cost function, the ordinary quadratic programming solution technique cannot be applied. This paper addresses the portfolio optinlization problem subject to transaction costs. The transaction cost is assumed to be a V-sha,ped function of difference between an existing and new portfolio. A nonlinear programming solution technique is used to solve t,he proposed problem. The port,folio optimiza,t,ion syst,em ca,lled POSTRAC (Portfolio Optirniza,tion System with TRAnsaction Costs) is proposed. The experimental analysis indicates that ignoring the transa,ction costss results in inefficient portfolios. It is also shown tlmt there does not exist statistica,lly significant difference in portfolio performance with different methods to estimate the expected return of se~urit~ies, when considering the tra,nsact,ion costs int,o the p~rt~folio return.

Piecewise linear risk function and portfolio optimization

Abstract: A new portfolio optimization model using a piecewise linear risk function is proposed. This model is similar to, but has several advantages over the classical Markowitz's quadratic risk model. First, it is much easier to generate an optimal portfolio since the problem to be solved is a linear program instead of a quadratic program. Second, integer constraints associated with real transaction can be incorporated without making the problem intractable. Third, it enables us to distinguish two distributions with the same first and second moment but with different third moment. Fourth, we can generate the capital-market line and derive CAPM type equilibrium relations. We compared the piecewise linear risk model with the quadratic risk model using historical data of Tokyo Stock Market, whose results partly support the claims stated above.

AN OVERVIEW OF SOME STOCHASTIC STABILITY METHODS( Network Design, Control and Optimization)

Abstract: This paper presents an overview of stochastic stability methods, mostly motivated by (but not limited to) stochastic network applications. We work with stochastic recursive sequences, and, in particular, Markov chains in a general Polish state space. We discuss, and frequently compare, methods based on (i) Lyapunov functions, (ii) fluid limits, (iii) explicit coupling (renovating events and Harris chains), and (iv) monotonicity. We also discuss existence of stationary solutions and instability methods. The paper focuses on methods and uses examples only to exemplify the theory. Proofs are given insofar as they contain some new, unpublished, elements, or are necessary for the logical reading of this exposition.