In Brennan and Lo (2010), a mean-variance efficient frontier is defined as “impossible” if every portfolio on that frontier has negative weights, which is incompatible with the Capital Asset Pricing Model (CAPM) requirement that the market portfolio is mean-variance efficient. We prove that as the number of assets n grows, the probability that a randomly chosen frontier is impossible tends to o...

This paper presents a method to analyze a broad range of decision-making organizational forms that lie between the hierarchy and the polyarchy. The method predicts Type I and II errors, speed, cost, and proportion of good projects approved for each organizational form. The model has far reaching implications, as all organizations have to decide how centralized or decentralized they are going to...

Frontier-based exploration method are known to be efficient for multi-robot exploration systems. In this paper, we propose a novel, computationally inexpensive, frontier allocation method favoring a well balanced spatial distribution of robots in the environment. It is based on the computation of a position criteria. The position of a robot towards a frontier is defined by the number of robots ...

The mean-variance framework for portfolio selection should be revised when investor’s concern is the downside risk. This is especially true when the asset returns are not normal. In this paper, we incorporate value-at-risk (VaR) in portfolio selection and the mean-VaR framework is proposed. Due to the twoobjective optimization problem faced by the meanVaR framework, an evolutionary multi-object...

Despite the volume of research conducted on efficient frontiers, in many cases it is still not the easiest thing to compute a mean-variance (MV) efficient frontier even when all constraints are linear. This is ∗Corresponding author [email protected]

An efficient dye sensitized solar cell (DSSC) is one possible solution to meet the world's rapidly increasing energy demands and associated climate challenges. This requires inexpensive and stable dyes with well-positioned frontier energy levels for maximal solar absorption, efficient charge separation, and high output voltage. Here we demonstrate an extensive computational screening of zinc po...

Abstract—Modern Portfolio Theory (MPT) according to Markowitz states that investors form mean-variance efficient portfolios which maximizes their utility. Markowitz proposed the standard deviation as a simple measure for portfolio risk and the lower semi-variance as the only risk measure of interest to rational investors. This paper uses a third volatility estimator based on intraday data and c...

During the last four decades Data Envelopment Analysis DEA has attracted considerable attention in the OR community. Using DEA, the efficiency frontier is constructed based on assumptions concerning the production possibility set rather than a priori defining a functional relationship between inputs and outputs. In this contribution, we propose an algorithm to visualize the efficiency surface i...

This study assessed the technical efficiency of fish farmers in Ibadan metropolis of Oyo State, Nigeria using the stochastic frontier production function analysis. Primary data were collected from 82 fish farmers in Ibadan metropolis. The mean efficiency value was 0.906 with majority (65.9 percent) of the fish farmers being over 90 percent efficient and about 34.1 percent having technical effic...