Search Results (23)

Large infrastructure projects frequently experience schedule slippage and cost escalation; however, time–cost planning still relies on expert-assigned activity parameters that fail to reflect the variability induced by construction modes, resource supply, and on-site conditions. This study focuses on activity-level multi-mode time–cost trade-off planning and its dynamic correction during project execution. The proposed methodology is intended for project-level short-term operational scheduling and rolling re-scheduling within a finite project execution horizon, rather than long-term strategic or portfolio-level scheduling. A predict–optimize–update framework is proposed, where light gradient boosting machine (LightGBM) is employed to predict the duration and direct cost of activity–mode pairs using unified features extracted from BIM/IFC records, schedule-resource ledgers, and cost-settlement data, covering engineering quantities, mode and resource decisions, and contextual factors. These predicted parameters are then fed into a time-indexed bi-objective mixed-integer linear program (MILP), which minimizes both project makespan and total cost (including indirect cost) to generate an interpretable Pareto frontier via a weighted-sum approach. Meanwhile, real-time monitoring updates refresh the predictors and re-solve the remaining project network to ensure dynamic adaptability. Validated on a desensitized proprietary enterprise multi-source dataset comprising 25 completed infrastructure projects and 5258 activity–mode samples, the proposed method achieves a mean absolute error (MAE) of 2.7 days and a coefficient of determination (R²) of 0.89 for duration prediction, as well as an MAE of 7.4 × 10⁴ CNY and an R² of 0.91 for direct-cost prediction. The generated Pareto set exhibits a diminishing return trend: as the project duration is relaxed from 101 to 146 days, the total cost decreases from 45.10 to 40.27 million CNY. A weather-triggered update case demonstrates that the completion forecast is revised from 133 to 128 days, with the total cost reduced from 53.05 to 52.75 million CNY. This framework enables explainable schedule–cost co-control, thereby effectively aiding decision-making for the planning and control of large infrastructure projects. Full article

High-stakes logistics, defined as supply chains where delays, quality loss, or noncompliance have serious human, safety, financial, or geopolitical consequences, are a prominent case of a broader reality: global supply chains are safety-, cost-, and time-critical socio-technical systems where forecasting quality, vendor coordination, and operational decisions shape service levels and stakeholder welfare. At the same time, decarbonization pressures and the growing use of AI for planning and control introduce new risks and trade-offs across energy, computation, and physical logistics. We develop a multi-agent framework that models supply chain system-of-systems dynamics drawing on (1) supply chain decision functions (shipment planning, sourcing and vendor management), (2) national energy-transition conditions that determine grid carbon intensity, and (3) carbon-aware computation accounting for AI-enabled decision support. Methodologically, we combine predictive analytics, unsupervised segmentation, and a carbon-cost-of-intelligence layer in a scenario-based assessment of how national energy-transition profiles–from Norway to India–affect the intensity of AI compute carbon, meaning the carbon emissions generated by the hardware and data centers required to train and run AI models. We introduce the carbon-adjusted supply chain performance (CASP) metric that integrates physical transport carbon, cold-chain overhead where applicable, and AI compute carbon into a per-package-type performance measure. Our analysis yields three actionable outputs for systems engineering and environmental management: carbon, service, and cost trade-off frontiers; governance levers (sourcing portfolio rules, buffers, and compute policies); and system-level early-warning indicators for disruption amplification. This study implements a tool-augmented multi-agent system (orchestrator, risk, and sourcing agents) using AWS bedrock and strands agents, where LLM-based agents orchestrate deterministic analytical engines through structured tool interfaces with adaptive query generation. Theoretically, we extend previous systems-of-systems and sustainable supply chain findings by formalizing package-type-specific carbon–service frontiers and by embedding AI compute carbon into a socio-technical resilience framework. Practically, the CASP benchmark, governance lever analysis, and multi-agent implementation provide decision-makers with concrete tools to compare carriers, routes, and compute strategies across countries while making transparent the trade-offs between service reliability and total carbon. Full article

This study advances a hierarchical bilevel optimization paradigm to rigorously characterize the intertwined processes of strategic bidding and regulatory market participation in electricity systems increasingly dominated by renewable resources. At the upper tier, a central regulatory authority orchestrates participation rules, renewable integration mandates, and incentive mechanisms with the overarching aim of maximizing system-wide social welfare while driving decarbonization and reliability objectives. At the subordinate level, profit-maximizing generation firms—each managing heterogeneous renewable portfolios—pursue strategic bidding under deep uncertainty, conceptualized as a multi-agent game governed by imperfect and asymmetric information. The interaction between these tiers is formalized as a bilevel Stackelberg game that encapsulates price-responsive demand, intertemporal reserve adequacy, and policy-driven incentive structures. To ensure both computational tractability and robustness against strategic indeterminacy, the lower-level equilibrium is reformulated into a mathematical program with equilibrium constraints (MPEC), enabling a hybrid solution procedure that combines penalty-based regularization with exact decomposition algorithms. The framework’s efficacy is validated through a stylized multi-zone case study featuring diverse renewable assets and strategic participants, revealing how policy signals, capacity ceilings, and market power asymmetries reshape efficiency frontiers and bidding equilibria. A set of high-resolution post-processing visualizations is further employed to illustrate the dynamic evolution of marginal prices, equilibrium trajectories, and regulatory impacts under uncertainty. Full article

Exchange-traded funds (ETFs) provide low-cost, liquid access to broad equity and fixed-income exposures, including rapidly growing Asian and Asia-focused markets. Yet the academic evidence on Asian ETF portfolio construction remains fragmented, often limited to narrow country samples and centered on mean–variance trade-offs and standard performance statistics, with comparatively less emphasis on downside tail risk and on implementable long-only versus long–short designs under leverage constraints. This study examines the performance and risk characteristics of 29 Asian and Asia-focused ETFs over 2014–2025 and evaluates whether optimization using variance-based and tail-sensitive risk measures improves portfolio outcomes relative to a simple, implementable benchmark. We construct Markowitz mean–variance and conditional value-at-risk (CVaR) efficient frontiers and implement six optimized portfolios at the 95% and 99% tail levels under long-only and long–short configurations with leverage up to 30%. Performance is evaluated relative to an equally weighted Asian ETF benchmark using the Sharpe ratio and tail-sensitive measures, including the Rachev ratio and the stable tail adjusted return (STARR), complemented by fat-tail diagnostics based on the Hill tail-index estimator. The empirical results show that optimization improves efficiency relative to equal weighting in risk-adjusted terms and that moderate leverage can increase returns but typically amplifies volatility, dispersion, and drawdowns. Taken together, the evidence indicates that risk-measure choice materially affects portfolio composition and realized outcomes, with tail-based optimization generally producing more robust allocations than mean–variance approaches when downside risk is a primary concern. Full article

In modern financial markets, decision-makers increasingly rely on quantitative methods to navigate complex trade-offs among multiple, often conflicting objectives. This paper addresses constrained multi-objective optimization (MOO) with an application to portfolio optimization for minimizing risk and maximizing return. To this end, and to address existing gaps, we propose a novel reinforcement learning (RL)-guided non-dominated sorting genetic algorithm II (NSGA-II) enhanced with gray relational coefficients (GRC), termed RL-NSGA-II-GRC, which combines an RL agent controller and GRC-based selection to improve the convergence and diversity of the Pareto-optimal fronts. The agent adapts key evolutionary parameters online using population-level metrics of hypervolume, feasibility, and diversity, while the GRC-enhanced tournament operator ranks parents via a unified score simultaneously considering dominance rank, crowding distance, and geometric proximity to ideal reference. We evaluate the framework on the Kursawe and CONSTR benchmark problems and on a NASDAQ portfolio optimization application. On the benchmarks, RL-NSGA-II-GRC achieves convergence metric improvements of about 5.8% and 4.4% over the original NSGA-II, while preserving a well-distributed set of non-dominated solutions. In the portfolio application, the method produces a smooth and densely populated efficient frontier that supports the identification of the maximum Sharpe ratio portfolio (with annualized Sharpe ratio = 1.92), as well as utility-optimal portfolios for different risk-aversion levels. The main contributions of this work are three-fold: (1) we propose an RL-NSGA-II-GRC method that integrates an RL agent into the evolutionary framework to adaptively control key parameters using generational feedback; (2) we design a GRC-enhanced binary tournament selection operator that provides a comprehensive performance indicator to efficiently guide the search toward the Pareto-optimal front; (3) we demonstrate, on benchmark MOO problems and a NASDAQ portfolio case study, that the proposed method delivers improved convergence and well-populated efficient frontiers that support actionable investment insights. Full article

Yeast-derived biomolecules are redefining the boundaries of green nanotechnology. Biosurfactants, exopolysaccharides, enzymes, pigments, proteins, and organic acids—when sourced from carbohydrate-rich lignocellulosic hydrolysates—offer a molecular toolbox capable of directing, stabilizing, and functionalizing nanoparticles (NPs) with unprecedented precision. Beyond their structural diversity and intrinsic biocompatibility, these biomolecules anchor a paradigm shift: the convergence of biorefineries with nanotechnology to deliver multifunctional materials for the circular bioeconomy. This review explores: (i) the expanding portfolio of metallic and metal oxide NPs synthesized through yeast biomolecules; (ii) molecular-level mechanisms of reduction, capping, and surface tailoring that dictate NP morphology, stability, and reactivity; (iii) synergistic roles in intensifying lignocellulosic processes—from enhanced hydrolysis to catalytic upgrading; and (iv) frontier applications spanning antimicrobial coatings, regenerative packaging, precision agriculture, and environmental remediation. We highlight structure–function relationships, where amphiphilicity, charge distribution, and redox activity govern resilience under saline, acidic, and thermally harsh industrial matrices. Yet, critical bottlenecks remain: inconsistent yields, limited comparative studies, downstream recovery hurdles, and the absence of comprehensive life-cycle and toxicological evaluations. To bridge this gap, we propose a translational roadmap coupling standardized characterization with real hydrolysate testing, molecular libraries linking biomolecule chemistry to NP performance, and integrated techno-economic and environmental assessments. By aligning yeast biotechnology with nanoscience, we argue that yeast-biomolecule-driven nanoplatforms are not merely sustainable alternatives but transformative solutions for next-generation lignocellulosic biorefineries. Full article

This study investigates the volatility dynamics of the Bahrain All Share Index (BAX) between 2010 and 2025, a period marked by COVID-19 and regional geopolitical shocks. Using ARMA (1,1) to model returns and four GARCH-family models (ARCH, GARCH, EGARCH, GJR-GARCH) to capture volatility, we provide new evidence from a bank-based frontier market that has received limited empirical attention. The results reveal that returns are stationary and exhibit volatility clustering. Among the competing models, EGARCH (1,1) provides the best fit—exhibiting the lowest AIC and SIC values and the highest log-likelihood—revealing a significant leverage effect whereby negative shocks generate stronger volatility than positive shocks. This asymmetric volatility pattern contradicts earlier findings for Bahrain but aligns with theoretical expectations for bank-based financial systems. The findings carry implications for investors in terms of portfolio risk management, derivative pricing, and asset allocation. They also have important implications for regulators and policymakers, suggesting that counter-cyclical buffers and interest rate adjustments could be applied to stabilize the market in anticipation of negative shocks. These insights enrich the scarce literature on volatility in small frontier markets and contribute to a more nuanced understanding of the volatility dynamics in the MENA region. Full article

This paper evaluates the performance and portfolio role of Artificial Intelligence (AI) and Blockchain exchange-traded funds (ETFs) based on monthly returns from 2010 to 2025. The findings show that both AI and Blockchain ETFs generate positive alpha and high standalone returns but also display considerable drawdown risk. Their weak correlations with each other and with broad indices highlight diversification benefits, particularly when combined with U.S. benchmarks. Portfolio optimization reveals that Global Minimum Variance (GMV) and Tangency portfolios ascribe lower weights to these ETFs, while Risk Parity portfolios have a more balanced exposure, helping to diversify risks. Efficient frontier analysis highlights that the inclusion of AI and Blockchain ETFs improves the attainable risk–return profiles, even if they are not a dominant allocation. The findings stress that AI and Blockchain ETFs are suitable as satellite holdings. When applied judiciously, they offer the potential to improve diversification and risk-adjusted performance; however, concentrated bets subject investors to undue downside risks. Positioning portfolios around broad-based indices and overlaying modest thematic tilts emerges as a prudent approach to capturing innovation-driven upsides without compromising long-term portfolio resilience. Full article

A model is proposed to investigate the effects of power generation source diversification and CO₂ emission control in the presence of dispatchable fossil fuel sources and non-dispatchable carbon-free renewables. In a stochastic environment in which three random factors are considered, namely fossil fuels (gas and coal) and CO₂ prices, we discuss a planning methodology for power system portfolio selection that integrates the non-dispatchable renewables available in a given energy system and optimally combines cost, risk and CO₂ emissions. By combining the deep neural network probabilistic forecasting of fossil fuel path prices with a geometric Brownian motion model for describing the CO₂ price dynamics, we simulate a wide range of plausible market scenarios. Results show that under CO₂ price volatility, optimal portfolios shift toward cleaner energy sources, even in the absence of explicit emission targets, highlighting the implicit regulatory power of volatility. The results suggest that incorporating CO₂ price volatility through market mechanisms can serve as an effective policy tool for driving decarbonization. Our model offers a flexible and reproducible approach to support policy design in energy planning under uncertainty. Full article

Computational algorithms are systematically written instructions or steps used to solve logical and mathematical problems with computers. These algorithms are crucial to rapidly and efficiently analyzing complex data, especially in global optimization problems like portfolio investment optimization. Investment portfolios are created because investors seek high average returns from stocks and must also consider the risk of loss, which is measured using the value at risk (VaR). This study aims to develop a computational algorithm based on the metaheuristic particle swarm optimization (PSO) model, which can be used to solve global optimization problems in portfolio investment. The data used in the simulation of the developed computational algorithm consist of daily stock returns from the banking sector traded in the Indonesian capital market. The quantitative research methodology involves formulating an algorithm to solve the global optimization problem in portfolio investment with mathematical calculations and quantitative data analysis. The objective function is to maximize the mean-value-at-risk model for portfolio investment, with constraints on the capital allocation weights in each stock within the portfolio. The results of this study indicate that the adapted PSO algorithm successfully determines the optimal portfolio weight composition, calculates the expected return and VaR in the optimal portfolio, creates an efficient frontier surface graph, and establishes portfolio performance measures. Across 50 trials, the algorithm records an average expected return of 0.000737, a return standard deviation of 0.00934, a value at risk of 0.01463, and a Sharpe ratio of 0.0504. Further evaluation of the PSO algorithm’s performance shows high consistency in generating optimal portfolios with appropriate parameter selection. The novelty of this research lies in developing an accurate computational algorithm for determining the global optima of mean-value-at-risk portfolio investments, yielding precise, consistent results with relatively fast computation times. The contribution to users is an easy-to-use tool for computational analysis that can assist in decision-making for portfolio investment formation. Full article

This survey offers a succinct overview of the General Framework of Portfolio Theory (GFPT), consolidating Markowitz portfolio theory, the growth optimal portfolio theory, and the theory of risk measures. Central to this framework is the use of convex analysis and duality, reflecting the concavity of reward functions and the convexity of risk measures due to diversification effects. Furthermore, practical considerations, such as managing multiple risks in bank balance sheets, have expanded the theory to encompass vector risk analysis. The goal of this survey is to provide readers with a concise tour of the GFPT’s key concepts and practical applications without delving into excessive technicalities. Instead, it directs interested readers to the comprehensive monograph of Maier-Paape, Júdice, Platen, and Zhu (2023) for detailed proofs and further exploration. Full article

This paper performs a comprehensive analysis of the wind energy potential of onshore regions in Greece with emphasis on quantifying the volume risk and the spatial covariance structure. Optimization techniques are employed to derive efficient wind capacity allocation plans (also known as generation portfolios) incorporating different yield aspirations. The generation profile of minimum variance and other optimal portfolios along the efficient frontier are subject to rigorous evaluation using a fusion of descriptive and statistical methods. In particular, principal component analysis is employed to estimate factor models and investigate the spatiotemporal properties of wind power generation, providing valuable insights into the persistence of volume risk. The overarching goal of the study is to employ a set of statistical and mathematical programming tools guiding investors, aggregators and policy makers in their selection of wind energy generating assets. The findings of this research challenge the effectiveness of current policies and industry practices, offering a new perspective on wind energy harvesting with a focus on the management of volume risk. Full article

For some time, renewable solar energy generations using cellular photovoltaic panels have stood out among the options, especially in the segment of micro and small companies, where the return on investment is usually higher. In this context, when micro and small companies do not have the capital for the enterprises, several others, mainly small ones, have emerged to finance. However, significant difficulties occur for financiers in selecting investment portfolios, especially when considering the trade-off between return and risk and the covariations of return on investment, which are very common. In this type of selection, the Capital Asset Pricing Model criteria using the Gini risk can help significantly because this one is a more robust risk coefficient for assessments of non-normal probability distributions. However, searches for methods that meet the selection needs using the adjacent criteria are unsuccessful. Thus, this work seeks to help minimize the gap by presenting a new method for selection using the criteria. Historical and simulations data stochastic evaluations indicate that the portfolios selected by the method are attractive options for implementations. These portfolios have reasonable probabilistic expectations and satisfactory protection to avoid mistakes caused for not considering covariations in return on investment, which indicates a significant advance on the current knowledge frontier and will likely allow the increased use of the concept. The method also presents theoretical contributions in adaptations of the benchmark models, which help to minimize the adjacent literary gap of similar methods. Full article

This study develops three capital allocation approaches and a directional weight increment algorithm to identify the efficient frontier of all possible multi-asset portfolios precisely and rapidly. Subsequently, this study proposes an asset selection criterion, based on the coefficient of variance and volatility risk measures, to perform the asset allocation for two types of investors who are willing or not willing to bear the risk. Finally, this study uses a multivariate generalized autoregressive conditional heteroskedasticity (GARCH) model to estimate the conditional variance and covariance of several multi-asset portfolios constituted of seven assets dispersed in the oil, stock, and currency markets of the US. The empirical results show that, via applying the proposed asset selection criterion, the most suitable multi-asset portfolios are the SP500-Nasdaq and the GasNyh-DJ, which belong to the relatively most efficient portfolios. Moreover, two capital allocation approaches using the entire sample weight forecasts have the best forecast performance. Additionally, for all multi-asset portfolios the weight combination set of portfolios on the efficient frontier that resulted from the proposed algorithm is consistent with that obtained from the traditional approach. Full article

This paper evaluates the influence of foreign or domestic stock market return and return of volatility shocks on dynamic conditional correlations (DCCs) between international stock markets and correlation volatility, respectively. The correlations between markets have implications for the gains from portfolio diversification, while correlation volatilities can be seen as risks to portfolio diversification. Meanwhile, domestic shocks are sourced from the return and return volatility from 24 developed, emerging, and frontier stock markets. The US stock market is the source of foreign shocks. The domestic and foreign shocks are derived using market-based returns and under bearish market conditions. We estimate multivariate exponential generalized autoregressive conditional heteroskedasticity (E-GARCH) models using daily and monthly MSCI based stock price data of selected developed, emerging, and frontier markets over 1993:1–2014:1. Our key results are as follows. Domestic market shocks were significant drivers of gains from portfolio diversification most of the time, although the US market effects were relatively stronger. On the other hand, the US, in terms of the number of significant cases as well as the size effects of shocks, dominated as a determinant of correlation volatility (or risks to portfolio diversification). Further, under bear market conditions, adjustments in correlations and correlation volatilities are found to be mostly US-induced. Bearish shocks, rather than market return based shocks, show strong evidence of the leverage effect. Signs of persistence of shocks are mainly noticed under bearish conditions. Full article