3 papers
q-fin.RM2019
A nonlinear optimisation model for constructing minimal drawdown portfolios
C. A. Valle, J. E. Beasley
In this paper we consider the problem of minimising drawdown in a portfolio of financial assets. Here drawdown represents the relative opportunity cost of the single best missed tr…
q-fin.PM2019
Quantitative portfolio selection: using density forecasting to find consistent portfolios
N. Meade, J. E. Beasley, C. J. Adcock
In the knowledge that the ex-post performance of Markowitz efficient portfolios is inferior to that implied ex-ante, we make two contributions to the portfolio selection literature…
math.OC2019
Order allocation, rack allocation and rack sequencing for pickers in a mobile rack environment
Cristiano Arbex Valle, John E Beasley
In this paper we investigate the problem of simultaneously allocating orders and mobile storage racks to static pickers. Here storage racks are allocated to pickers to enable them…