Islamic Azad University, South Tehran Branch
Journal of Industrial Engineering, International
1735-5702
2251-712X
3
5
2007
07
01
Portfolio selection through imprecise Goal Programming model: Integration of the manager`s preferences
1
8
EN
N
Mansour
Assistant Professor, Faculté des Sciences Economiques et de Gestion de Mahdia, Mahdia, Tunisia
A
Rebai
Professor, Institut Supérieur d’Administration des Affaires de Sfax, Sfax, Tunisia
B
Aouni
Professor, Decision Aid Research Group, School of Commerce and Administration, Faculty of Management,
Laurentian University, Sudbury (Ontario) P3E 2C6, Canada
In the portfolio selection problem, the manager considers several objectives simultaneously such as the rate of return, the liquidity and the risk of portfolios. These objectives are conflicting and incommensurable. Moreover, the objectives can be imprecise. Generally, the portfolio manager seeks the best combination of the stocks that meets his investment objectives. The imprecise Goal Programming model will be utilized to build the most satisfactory portfolio. The concept of satisfaction functions will be utilized to integrate explicitly the preferences of the portfolio’s manager. The developed model has been applied to portfolio selection within the Tunisian stock exchange market.
Portfolio Selection,Imprecise goal programming,Satisfaction function,Manager’s preferences
http://jiei.azad.ac.ir/article_511077.html
http://jiei.azad.ac.ir/article_511077_f3afecb7aeb4a992f5d5128601966798.pdf
Islamic Azad University, South Tehran Branch
Journal of Industrial Engineering, International
1735-5702
2251-712X
3
5
2007
07
01
Numerical modeling of economic uncertainty
9
18
EN
H
Schjær-Jacobsen
Professor, Copenhagen University College of Engineering, Denmark
Representation and modeling of economic uncertainty is addressed by different modeling methods, namely stochastic variables and probabilities, interval analysis, and fuzzy numbers, in particular triple estimates. Fo-cusing on discounted cash flow analysis numerical results are presented, comparisons are made between alter-native modeling methods, and characteristics of the methods are discussed.
Economic uncertainty,Modeling,stochastic,Probability,Interval,fuzzy number,Triple esti-mate,Discounted Cash Flow
http://jiei.azad.ac.ir/article_511078.html
http://jiei.azad.ac.ir/article_511078_4ec205ffc7734f99cf0c7876f655299a.pdf
Islamic Azad University, South Tehran Branch
Journal of Industrial Engineering, International
1735-5702
2251-712X
3
5
2007
07
01
Fuzzy model for risk analysis
19
26
EN
F
Luban
Professor, Academy of Economic Studies from Bucharest, Romania
The goal of this paper is to show how the concept of fuzzy logic can be used to establish a degree to which an investment project belongs to a class of risk. Also, the probability of the fuzzy event is presented and is ap-plied to calculate the probability of the fuzzy event “the project X is a good investment”. This process has to enable the decision maker to compare several alternative investments from the fuzzy logic perspective and, in this way, allows him to include the uncertainty that comes with the problem in reality. Moreover, by experi-ments with the proposed fuzzy model the user can obtain new knowledge for investment risk analysis.
fuzzy numbers,fuzzy logic,Fuzzy probability,Risk analysis
http://jiei.azad.ac.ir/article_511079.html
http://jiei.azad.ac.ir/article_511079_ab49ee3cabe830a9ab5421cdae0dba54.pdf
Islamic Azad University, South Tehran Branch
Journal of Industrial Engineering, International
1735-5702
2251-712X
3
5
2007
07
01
A new Simulated Annealing algorithm for the robust coloring problem
27
32
EN
M.A
Gutiérrez-Andrade
Titular Professor, Departamento de Ingeniería Eléctrica, Universidad Autónoma Metropolitana – Iztapalapa, Av. San
Rafael Atlixco No. 186, Col. Vicentina, Del. Iztapalapa, México, D.F., C.P. 09340
P
Lara-Velázquez
Associate Professor, Departamento de Sistemas, Universidad Autónoma Metropolitana – Azcapotzalco. Av. San Pablo No.
180, Col. Reynosa Tamaulipas, Del. Azcapotzalco, México, D.F., C.P. 02200
S.G
de-los-Cobos-Silva
Titular Profesor, Departamento de Ingeniería Eléctrica, Universidad Autónoma Metropolitana – Iztapalapa, Av. San
Rafael Atlixco No. 186, Col. Vicentina, Del. Iztapalapa, México, D.F., C.P. 09340
The Robust Coloring Problem (RCP) is a generalization of the well-known Graph Coloring Problem where we seek for a solution that remains valid when extra edges are added. The RCP is used in scheduling of events with possible last-minute changes and study frequency assignments of the electromagnetic spectrum. This problem has been proved as NP-hard and in instances larger than 30 vertices, meta-heuristics are required. In this paper a Simulated Annealing Algorithm is proposed, and his performance is compared against other tech-niques such as GRASP, Tabu Search and Scatter Search. In the classic instances of the problem our proposal method which gives the best solutions at this moment.
Robust coloring problem,Graph coloring,Heuristics,Simulated Annealing
http://jiei.azad.ac.ir/article_511080.html
http://jiei.azad.ac.ir/article_511080_89715ace7269f08dbfa8e32cffc3acdd.pdf
Islamic Azad University, South Tehran Branch
Journal of Industrial Engineering, International
1735-5702
2251-712X
3
5
2007
07
01
Correlation coefficient of intuitionistic fuzzy sets
33
40
EN
W
Zeng
Professor, College of Information Science and Technology, Beijing Normal University, Beijing, 100875, China
H
Li
Professor, School of Mathematical Sciences, Beijing Normal University, Beijing, 100875, China
Based on the point of view of geometrical representation of an intuitionistic fuzzy set, we take into account all three parameters describing intuitionistic fuzzy set, propose a kind of new method to calculate correlation and correlation coefficient of intuitionistic fuzzy sets which is similar to the cosine of the intersectional angle in finite sets and probability space, respectively. Further, we discuss some of their properties and give three numerical examples to illustrate our proposed method reasonable.
Intuitionistic fuzzy set,fuzzy set,Correlation,Correlation Coefficient
http://jiei.azad.ac.ir/article_511081.html
http://jiei.azad.ac.ir/article_511081_2a005d2c8358b9696bced128682e9985.pdf
Islamic Azad University, South Tehran Branch
Journal of Industrial Engineering, International
1735-5702
2251-712X
3
5
2007
07
01
A fuzzy approach to the evaluation of human factors in ultrasonic nondestructive examinations
41
52
EN
J
Domech Moré
Professor, Universidade de Ensino “Estácio de Sá”. Avenida Presidente Vargas, Rio de Janeiro - RJ - Brasil
A.S
Guimarães
Professor, Universidade Federal de Rio de Janeiro, Cidade Universitária, Centro de Tecnologia, COPPE-PEMM, Caixa
Ilha do Fundão, Rio de Janeiro - RJ - Brazil
G
Bonorino Xexéo
Professor, Universidade Federal de Rio de Janeiro, Cidade Universitária, Centro de Tecnologia, COPPE-PEMM, Caixa
Ilha do Fundão, Rio de Janeiro - RJ - Brazil
R
Tanscheit
Profesor,Universidade Católica de Rio de Janeiro, Departamento de Engenharia Elétrica , PUC-Rio. Rua Marquês de São
Vicente, 225. CEP 22453-900 Gávea - Rio de Janeiro - RJ - Brazil
Human factors are among the main elements affecting the reliability of nondestructive examinations (NDE). In a man-machine system, human reliability is affected by many factors (performance shaping factors) whose influence on reliability cannot be easily expressed quantitatively. This paper identifies and ranks 59 perform-ance shaping factors by using a fuzzy reasoning method and proposes a procedure to measure them. This will determine the Quality Standard (QS) for a NDE system so that human reliability in ultrasonic nondestructive examinations can be qualitatively evaluated.
Human reliability,Ultrasonic nondestructive examinations,fuzzy sets,Human Factors,Perform-ance shaping factors
http://jiei.azad.ac.ir/article_511082.html
http://jiei.azad.ac.ir/article_511082_ec11a03a2374b716b8b2f6db3e4cff98.pdf
Islamic Azad University, South Tehran Branch
Journal of Industrial Engineering, International
1735-5702
2251-712X
3
5
2007
07
01
Comparison of the performances of neural networks specification, the Translog and the Fourier flexible forms when different production technologies are used
53
60
EN
R
Feki
Maitre Assistant, High Institute of Commerce of Sfax, University of Sfax, P.O.Box 1081-3018, Sfax, Tunisia
This paper investigates the performances of artificial neural networks approximation, the Translog and the Fourier flexible functional forms for the cost function, when different production technologies are used. Using simulated data bases, the author provides a comparison in terms of capability to reproduce input demands and in terms of the corresponding input elasticities of substitution estimates. The results suggest that ANN provide a better approximation than other traditional functional forms only when a single technology is used. However, when elasticities of substitution are calculated, the Translog approximate batters the true technology in both single and mixed technology.
Artificial Neural Networks,Cost function,Flexible functional forms
http://jiei.azad.ac.ir/article_511083.html
http://jiei.azad.ac.ir/article_511083_4b955eb975fb2058e01970f6c4313c29.pdf