123 citations · 130 across the 10 of their papers we have counts for
4 papers · 1 filter
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…
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…
An algorithm for the optimal solution of variable knockout problems
J. E. Beasley
We consider a class of problems related to variable knockout, where knockout means set a variable to zero. Given an optimisation problem formulated as a zero-one integer program th…
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…