Narrow Results

An algorithm is derived for the development of portfolio decision-support information service. The algorithm allows being automated evaluations for the definition and solution of portfolio problems. Small set of historical data of asset returns with limited set of assets are used for the portfolio, which is the case for no institutional portfolio manager. The algorithm applies analytical relations for decreasing the computational workload for the estimation of the market parameters due to the limited number of assets. The subjective expert views in the Black–Litterman (BL) model are defined from additional assessment of historical data of the asset returns. The algorithm makes comparisons of the results for active portfolio management from the mean variance (MV) model, the BL one and the equal-weighted investment strategy. Benefits of the algorithm are the usage of small set of historical data and limited number of assets, which are proved in investment rolling horizon.

In this paper we study problem of fuzzy scheduling with the given number of activities to minimize the project duration, in which the activities are scheduled subject to generalized precedence relations, require some units of multiple renewable or non-renewable constrained resources with the limited availability, and can be performed in one of several different ways: multiple activity modes or alternatives. Fuzzy branch and bound solution methodology was presented to handle time-varying resource requirements and availabilities, activity ready times, due dates and deadlines, fuzzy activity overlaps, activity start time constraints and other types of temporal constraints.