Graham, David I; Craven, Matthew J An Exact Algorithm for Small-Cardinality Constrained Portfolio Optimisation Journal Article In: Journal of the Operational Research Society, 2020. Abstract | Links | BibTeX @article{digmjc2,
title = {An Exact Algorithm for Small-Cardinality Constrained Portfolio Optimisation},
author = {David I. Graham and Matthew J. Craven},
doi = {10.1080/01605682.2020.1718019},
year = {2020},
date = {2020-02-13},
journal = {Journal of the Operational Research Society},
abstract = {Real-world portfolio optimisation problems are often NP-hard, their efficient frontiers (EFs) in practice being calculated by randomised algorithms. In this work, a deterministic method of decomposition of EFs into a short sequence of sub-EFs is presented. These sub-EFs may be calculated by a quadratic programming algorithm, the collection of such sub-EFs then being subjected to a sifting process to produce the full EF. Full EFs of portfolio optimisation problems with small cardinality constraints are computed to a high resolution, providing a fast and practical alternative to randomised algorithms. The method may also be used with other practical classes of portfolio problems, complete with differing measures of risk. Finally, it is shown that the identified sub-EFs correspond closely to local optima of the objective function of a case study evolutionary algorithm.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Real-world portfolio optimisation problems are often NP-hard, their efficient frontiers (EFs) in practice being calculated by randomised algorithms. In this work, a deterministic method of decomposition of EFs into a short sequence of sub-EFs is presented. These sub-EFs may be calculated by a quadratic programming algorithm, the collection of such sub-EFs then being subjected to a sifting process to produce the full EF. Full EFs of portfolio optimisation problems with small cardinality constraints are computed to a high resolution, providing a fast and practical alternative to randomised algorithms. The method may also be used with other practical classes of portfolio problems, complete with differing measures of risk. Finally, it is shown that the identified sub-EFs correspond closely to local optima of the objective function of a case study evolutionary algorithm. |
Craven, Matthew J; Graham, David I Exploring the (efficient) frontiers of portfolio optimization Inproceedings In: Bosman, P (Ed.): Proceedings of the Genetic and Evolutionary Computation Conference Companion, pp. 19–20, ACM ACM, 2017. Abstract | Links | BibTeX @inproceedings{craven2017exploring,
title = {Exploring the (efficient) frontiers of portfolio optimization},
author = {Matthew J Craven and David I Graham},
editor = {P. Bosman},
doi = {10.1145/3067695.3082036},
year = {2017},
date = {2017-07-15},
booktitle = {Proceedings of the Genetic and Evolutionary Computation Conference Companion},
pages = {19--20},
publisher = {ACM},
organization = {ACM},
abstract = {The cardinality-constrained portfolio optimization problem is NP-hard. Its Pareto front (or the Efficient Frontier - EF) is usually calculated by stochastic algorithms, including EAs. However, in certain cases the EF may be decomposed into a union of sub-EFs. In this work we propose a systematic process of excluding sub-EFs dominated by others, enabling us to calculate non-dominated sub-EFs. We then calculate whole EFs to a high degree of accuracy for small cardinalities, providing an alternative to EAs in those cases. We can use also this to provide insight into EAs on the problem.},
keywords = {},
pubstate = {published},
tppubtype = {inproceedings}
}
The cardinality-constrained portfolio optimization problem is NP-hard. Its Pareto front (or the Efficient Frontier - EF) is usually calculated by stochastic algorithms, including EAs. However, in certain cases the EF may be decomposed into a union of sub-EFs. In this work we propose a systematic process of excluding sub-EFs dominated by others, enabling us to calculate non-dominated sub-EFs. We then calculate whole EFs to a high degree of accuracy for small cardinalities, providing an alternative to EAs in those cases. We can use also this to provide insight into EAs on the problem. |
Mehmood, Arshad ; Graham, David I; Langfeld, Kurt ; Greaves, Deborah M; others, OpenFOAM Finite Volume Method Implementation of a Fully Nonlinear Potential Flow Model for Simulating Wave-Structure Interactions Inproceedings In: The Twenty-fifth International Offshore and Polar Engineering Conference, International Society of Offshore and Polar Engineers 2015. BibTeX @inproceedings{mehmood2015openfoamb,
title = {OpenFOAM Finite Volume Method Implementation of a Fully Nonlinear Potential Flow Model for Simulating Wave-Structure Interactions},
author = {Mehmood, Arshad and Graham, David I and Langfeld, Kurt and Greaves, Deborah M and others},
year = {2015},
date = {2015-01-01},
booktitle = {The Twenty-fifth International Offshore and Polar Engineering Conference},
organization = {International Society of Offshore and Polar Engineers},
keywords = {},
pubstate = {published},
tppubtype = {inproceedings}
}
|
Hewson, Paul ; Graham, David Use of Audience Response Devices for Formative and Summative Assessment Journal Article In: MAPPING UNIVERSITY MATHEMATICS ASSESSMENT PRACTICES, pp. 119, 2012. BibTeX @article{hewson2012use,
title = {Use of Audience Response Devices for Formative and Summative Assessment},
author = {Hewson, Paul and Graham, David},
year = {2012},
date = {2012-01-01},
journal = {MAPPING UNIVERSITY MATHEMATICS ASSESSMENT PRACTICES},
pages = {119},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Graham, David I Peer assessment in an undergraduate mathematics module Journal Article In: CETL-MSOR Conference 2011, 2011. BibTeX @article{graham2011peer,
title = {Peer assessment in an undergraduate mathematics module},
author = {Graham, David I},
year = {2011},
date = {2011-01-01},
journal = {CETL-MSOR Conference 2011},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Hughes, Jason P; Graham, David I Comparison of incompressible and weakly-compressible SPH models for free-surface water flows Journal Article In: Journal of Hydraulic Research, 48 (S1), pp. 105–117, 2010. BibTeX @article{hughes2010comparison,
title = {Comparison of incompressible and weakly-compressible SPH models for free-surface water flows},
author = {Hughes, Jason P and Graham, David I},
year = {2010},
date = {2010-01-01},
journal = {Journal of Hydraulic Research},
volume = {48},
number = {S1},
pages = {105--117},
publisher = {Taylor & Francis},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Zhang, Yali ; Zou, Qingping ; Greaves, Deborah ; Reeve, Dominic ; Hunt-Raby, Alison ; Graham, David ; James, Phil ; Lv, Xin A level set immersed boundary method for water entry and exit Journal Article In: Comm. Comput. Phys, 8 (2), pp. 265–288, 2010. BibTeX @article{zhang2010level,
title = {A level set immersed boundary method for water entry and exit},
author = {Zhang, Yali and Zou, Qingping and Greaves, Deborah and Reeve, Dominic and Hunt-Raby, Alison and Graham, David and James, Phil and Lv, Xin},
year = {2010},
date = {2010-01-01},
journal = {Comm. Comput. Phys},
volume = {8},
number = {2},
pages = {265--288},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Zhang, Yali ; Zou, Qingping ; Greaves, Deborah ; Reeve, Dominic E; Hunt-Raby, Alison ; Graham, David ; James, Phil ; others, An investigation of the hydrodynamic characteristics of an oscillating water column device using a level set immersed boundary model Inproceedings In: The Twentieth International Offshore and Polar Engineering Conference, International Society of Offshore and Polar Engineers 2010. BibTeX @inproceedings{zhang2010investigation,
title = {An investigation of the hydrodynamic characteristics of an oscillating water column device using a level set immersed boundary model},
author = {Zhang, Yali and Zou, Qingping and Greaves, Deborah and Reeve, Dominic E and Hunt-Raby, Alison and Graham, David and James, Phil and others},
year = {2010},
date = {2010-01-01},
booktitle = {The Twentieth International Offshore and Polar Engineering Conference},
organization = {International Society of Offshore and Polar Engineers},
keywords = {},
pubstate = {published},
tppubtype = {inproceedings}
}
|
Biddiscombe, John ; Graham, David ; Maruzewski, Pierre Visualization and analysis of SPH data Journal Article In: Ercoftac Bulletin, 76 (LMH-ARTICLE-2008-006), pp. 9–12, 2008. BibTeX @article{biddiscombe2008visualization,
title = {Visualization and analysis of SPH data},
author = {Biddiscombe, John and Graham, David and Maruzewski, Pierre},
year = {2008},
date = {2008-01-01},
journal = {Ercoftac Bulletin},
volume = {76},
number = {LMH-ARTICLE-2008-006},
pages = {9--12},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Graham, David I; Hughes, Jason P Accuracy of SPH viscous flow models Journal Article In: International journal for numerical methods in fluids, 56 (8), pp. 1261–1269, 2008. BibTeX @article{graham2008accuracy,
title = {Accuracy of SPH viscous flow models},
author = {Graham, David I and Hughes, Jason P},
year = {2008},
date = {2008-01-01},
journal = {International journal for numerical methods in fluids},
volume = {56},
number = {8},
pages = {1261--1269},
publisher = {Wiley Online Library},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|