1993, Volume I, nº 2
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- The mixed capacitated arc routing problem with non-overlapping routesPublication . Constantino, Miguel; Gouveia, Luís; Mourão, M. Cândida; Nunes, Ana CatarinaReal world applications for vehicle collection or delivery along streets usually lead to arc routing problems, with additional and complicating constraints. In this paper we focus on arc routing with an additional constraint to identify vehicle service routes with a limited number of shared nodes, i.e. vehicle service routes with a limited number of intersections. This constraint leads to solutions that are better shaped for real application purposes. We propose a new problem, the bounded overlapping MCARP (BCARP), which is defined as the mixed capacitated arc routing problem (MCARP) with an additional constraint imposing an upper bound on the number of nodes that are common to different routes. The best feasible upper bound is obtained from a modified MCARP in which the minimization criteria is given by the overlapping of the routes. We show how to compute this bound by solving a simpler problem. To obtain feasible solutions for the bigger instances of the BCARP heuristics are also proposed. Computational results taken from two well known instance sets show that, with only a small increase in total time traveled, the model BCARP produces solutions that are more attractive to implement in practice than those produced by the MCARP mode
- Investigação contabilísticaPublication . Ferreira, Rogério Fernandes
- A competitividade da empresa através da responsabilização das pessoasPublication . Santos, Maria Clara
- Os serviços à indústria em Portugal : oportunidades e reposicionamento estratégicoPublication . Mendes, Fernando Ribeiro
- Dynamic hedging of equity call optionsPublication . Duque, João; Paxson, Dean A.The theory of option pricing assumes generally that options can be replicated through dynamic hedging in the underlying stock. First, we outline the assumptions behind the popular models, such as regarding the distribution of stock returns, and the probability of the terminal stock value reaching certain levels. Then, we define the common "Greeks" of call options, that is the sensitivity of option values to changes in particular variables. Figures show the sensitivity of those Greeks to stock price levels, and time to expiration. Then, we attempt to show that delta and complex hedges, using options with more than one exercise price, are the "solutions" for simultaneous equations establishing delta and gamma (and eventually vega) neutrality, subject to a budget constraint. Finally, we examine the relative profitability and effectiveness (in terms of variance reduction) of delta hedging strategies for three trade positions (in, at and out-of-the-money).