摘要:

AbstractMost portfolio selection models found in the financial literature rely on an estimate of the probability distribution of returns to describe risk. Recent controversy over the appropriate description of risk, the psychological (and controversial) nature of probabilistic estimates and the potential bias introduced by estimation errors has raised doubts as to the adequacy of the frequency function as a unique measure of risk for portfolio selection. This paper applies an alternative approach, namely the Electre methods, to portfolio comparisons. The application of this analytical technique, based on `outranking' relationships, brings in a new perspective to this problem. It puts particular emphasis on a multicriteria analysis that integrates into a systematic framework the various dimensions of risk seen by portfolio managers. Problems with respect to the heterogeneity of measurement units, the conflicting nature of portfolio evaluations and the imprecise nature of the data used are taken care of in our approach, where the various criteria are used to derive the efficient set.

ISSN:0160-5682    

DOI:10.1057/jors.1988.107

出版商:Taylor&Francis    

年代:1988

数据来源: Taylor

摘要:

AbstractThis paper examines some of the problems associated with the handling of risk and, in particular, the arguments that may be deployed in favour of reducing particular forms of risk. The paper suggests that, whilst risk can always be reduced, the costs involved vary enormously in terms of benefits achieved. Governments should be concerned to maximize overall risk reduction for any given level of expenditure. To treat each risk separately and independently can lead to a non-optimal allocation of resources.

ISSN:0160-5682    

DOI:10.1057/jors.1988.108

出版商:Taylor&Francis    

年代:1988

数据来源: Taylor

摘要:

AbstractThe application of traditional techniques of capital-investment appraisal to new technology has been criticized for its bias towards short-term gains and the consequent favour of thestatus quo. This paper considers four classes of criticisms. They relate to the use of payback and discounted cash-flow methods, the assumptions made about the future, benefits of new technology which are ignored, and issues related to management control. The paper rehearses the criticisms and discusses their validity. The overall conclusion is that the biases in capital-investment appraisal are avoidable. The criticisms are not valid with regard to the overall approach of capital-investment appraisal, and the apparent bias is due to misapplication of the techniques.

ISSN:0160-5682    

DOI:10.1057/jors.1988.109

出版商:Taylor&Francis    

年代:1988

数据来源: Taylor

摘要:

AbstractThis paper is the first of two to present the detailed findings of a survey carried out on the membership of the OR Society. Preliminary findings were given in an earlier paper. The survey consisted of sending a questionnaire to all members of the OR Society (42% response rate). Reported in detail in this paper are the structure of the respondents, their educational background, functional involvement, skill requirements and use of time division. Also reported is their involvement with computers, decision support systems and expert systems.

ISSN:0160-5682    

DOI:10.1057/jors.1988.110

出版商:Taylor&Francis    

年代:1988

数据来源: Taylor

摘要:

AbstractThis paper investigates the abilities of a group of experts to produce subjective probabilities on the likelihood of their students obtaining various grades in their final-year examinations. We examine the calibration of these experts, and how their ability to forecast depends on experience and assessment procedures. We find that these well-motivated and statistically literate assessors, working in their field of expertise, still suffer from the types of assessment problems noted in previous studies on more naive subjects.

ISSN:0160-5682    

DOI:10.1057/jors.1988.111

出版商:Taylor&Francis    

年代:1988

数据来源: Taylor

摘要:

AbstractThis paper presents an application of the analytic hierarchy approach (AHP) to predict the ranking of the 16 soccer teams of the Israeli National League. Six criteria (attributes) were used for evaluating each team: the team's facility, the team's trainer, the players' level, the team's fans, the previous season's performance and the current performance. For each criterion a matrix of pairwise comparisons between teams was evaluated by a sports expert. The normalized eigenvector of each matrix scales the teams with regard to that criterion. The overall scaling is constructed by weighting the scales of all the criteria. The weight of the criteria are extracted from a judgemental matrix of pairwise comparisons between every two criteria. The normalized eigenvector of this matrix provides the criteria weights. Some comparisons to simpler ranking methods were made in order to validate the model.

ISSN:0160-5682    

DOI:10.1057/jors.1988.112

出版商:Taylor&Francis    

年代:1988

数据来源: Taylor

摘要:

AbstractThe concept ofWeltanschauungis just as integral to the processes of operational research and hard systems analysis as in the soft systems area. With reference to a method designed to make explicit the role of values in quantitative decision-making, this paper explores (i) the importance of‘problem framing’and‘system description’for the subsequent course of the analysis and of any associated conflict, (ii) the ways in which different measures of performance selectively serve competing interests and values, and (iii) the importance of the ordering of stages of the analysis. Illustrative examples are taken from a case study in urban road development.

ISSN:0160-5682    

DOI:10.1057/jors.1988.113

出版商:Taylor&Francis    

年代:1988

数据来源: Taylor

摘要:

AbstractIn a recent article, Gupta and Sen have developed an algorithm to minimize the range of lateness on a single machine. The algorithm is based on the branch-and-bound approach suggested by Townsend for single-machine problems with quadratic penalty functions of completion times. In this paper, a simple general result for regular composition of cost functions is presented, application of which improves the Gupta and Sen procedure.

ISSN:0160-5682    

DOI:10.1057/jors.1988.114

出版商:Taylor&Francis    

年代:1988

数据来源: Taylor

摘要:

AbstractLagrangian relaxations have been used in a variety of IP problem settings. The main thrust of such efforts is to obtain bounding information for use in a branch-and-bound procedure. This paper examines the effect of adding a single surrogate constraint to Lagrangian subproblems in an attempt to improve upon the bounds produced by conventional Lagrangian relaxation. Computational results on some randomly generated set-covering problems are reported.

ISSN:0160-5682    

DOI:10.1057/jors.1988.115

出版商:Taylor&Francis    

年代:1988

数据来源: Taylor

摘要:

AbstractAn optimal solution for inventory replenishment policy for an item having a deterministic demand pattern with linear increasing trend is developed considering shortages. Numerical examples are given to illustrate the results.

ISSN:0160-5682    

DOI:10.1057/jors.1988.116

出版商:Taylor&Francis    

年代:1988

数据来源: Taylor