Portfolio optimization: New capabilities and future methods

Summary  This paper addresses the problem of portfolio selection in finance. In many cases, currently available software to compute the efficient frontier runs into difficulty in problems with more than about 600 securities. To proceed beyond this size, it is often necessary to modify the problem in which case there is typically a loss of information. In this paper, we discuss a computer capability that can exactly compute mean-variance efficient frontiers of problems with up to 2,000 securities in very reasonable time (even if a problem’s covariance matrix is 100% dense). The paper also discusses an augmentation to the theory of portfolio selection that allows multiple objectives (such as dividends, liquidity, social responsibility, amount invested in R&D, and so forth) to be incorporated into the portfolio selection process. In such problems, the efficient set is no longer a “frontier,” but is now best described as a “surface” with the interesting property that it is composed of platelets (like on the back of a turtle). Moreover, the computer capability that can compute the exact efficient frontier of a mean-variance problem with up to 2,000 securities also has, after additional coding, the ability to compute exactly all platelets of the efficient surface of a tri-criterion portfolio problem with up to 400 securities.

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Zusammenfassung  In dieser Arbeit stellen wir einen leistungsf?higen Rechenalgorithmus vor, um den effizienten Rand (die nichtdominierten Alternativen) von Portfolio-Auswahlproblemen in der Finanzierung zu bestimmen. Wir bezeichnen den Berechnungsalgorithmus, der in Java programmiert ist, mit MPQ (multi-parametric quadratic programming). MPQ weist gegenüber bisherigen Berechnungsverfahren eine Reihe von Vorteilen auf: Es kann für umfangreiche Anwendungsf?lle genutzt werden, ist durch passable Rechenzeiten charakterisiert und kann die Menge effizienter Alternativen in einem Bruchteil bisher üblicher Rechenzeiten bestimmen.

     

糖的浓度和种类对人血小板冷冻干燥保存的影响

以海藻糖、蔗糖、麦芽糖、乳糖、葡萄糖作为冻干血小板的保护剂,研究糖的浓度和种类对血小板冻干保存的影响.结果表明,冻干血小板的保存效果随海藻糖浓度的增加而提高,当海藻糖质量分数增加到20%时,非活化血小板的恢复率达到85.7%;对于质量分数均为20%不同种类的糖保护剂,非活化血小板的恢复率都达到70%以上,海藻糖略优于其他几种糖,但它们之间没有显著性差异.