Search results for: optimal risk

Authors: Ehsan Motamedian

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Finding all optimal flux distributions of a metabolic model is an important challenge in systems biology. In this paper, a new algorithm is introduced to identify all alternate optimal solutions of a large scale metabolic network. The algorithm reduces the model to decrease computations for finding optimal solutions. The algorithm was implemented on the Escherichia coli metabolic model to find all optimal solutions for lactate and acetate production. There were more optimal flux distributions when acetate production was optimized. The model was reduced from 1076 to 80 variable fluxes for lactate while it was reduced to 91 variable fluxes for acetate. These 11 more variable fluxes resulted in about three times more optimal flux distributions. Variable fluxes were from 12 various metabolic pathways and most of them belonged to nucleotide salvage and extra cellular transport pathways.

Keywords: flux variability, metabolic network, mixed-integer linear programming, multiple optimal solutions

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Authors: Mustafa Dogru, Ruveyda Komurlu

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Companies and professionals in the construction sector face various risks in every project depending on the characteristics, size, complexity, the location of the projects and the techniques used. Some risks’ effects may increase as the project progresses whereas new risks may emerge. Because of the ever-changing nature of the risks, risk management is a cyclical process that needs to be repeated throughout the project. Since the risks threaten the success of the project, risk management is an important part of the entire project management process. The aims of this study are to emphasize the importance of risk management in construction projects, summarize the risk identification process, and introduce a number of methods for preventing risks such as alternative design, checklists, prototyping and test-analysis-correction technique etc. Following the literature review conducted to list the techniques for preventing risks, case studies has been performed to compare and evaluate the success of the techniques in a number of completed projects with the same typology, performed domestic and international. Findings of the study suggest that controlling and minimizing the level of the risks in construction projects, taking optimal precautions for different risks, and mitigating or eliminating the effects of risks are important in order to prevent additional costs for the project. Additionally, focusing on the risks that have highest impact is the most rational way to minimize the effects of the risks on projects.

Keywords: construction projects, construction management, project management, risk management

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Authors: Ahmad Termimi Ab Ghani, Kojiro Higuchi

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In this paper, we present some results of simultaneous infinite games. We mainly work with generalized reachability games and Buechi games. These games are two-player concurrent games where each player chooses simultaneously their moves at each step. Our goal is to give simple expressions of values for each game. Moreover, we are interested in the question of what type of optimal (ε-optimal) strategy exists for both players depending on the type of games. We first show the determinacy (optimal value) and optimal (ε-optimal) strategies in generalized reachability games. We provide a simple expressions of value of this game and prove the existence of memoryless randomized ε-optimal strategy for Player I in any generalized reachability games. We then observe games with more complex objectives, games with Buechi objectives. We present how to compute an ε-optimal strategies and approximate a value of game in some way. Specifically, the results of generalized reachability games are used to show the value of Buechi games can be approximated as values of some generalized reachability games.

Keywords: optimal Strategies, generalized reachability games, Buechi games

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Authors: Abdel-Aziz M. Mohamed

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This paper presents a state-of-the-art survey of the operations research models developed for internal audit planning. Two alternative approaches have been followed in the literature for audit planning: (1) identifying the optimal audit frequency; and (2) determining the optimal audit resource allocation. The first approach identifies the elapsed time between two successive audits, which can be presented as the optimal number of audits in a given planning horizon, or the optimal number of transactions after which an audit should be performed. It also includes the optimal audit schedule. The second approach determines the optimal allocation of audit frequency among all auditable units in the firm. In our review, we discuss both the deterministic and probabilistic models developed for audit planning. In addition, game theory models are reviewed to find the optimal auditing strategy based on the interactions between the auditors and the clients.

Keywords: operations research applications, audit frequency, audit-staff scheduling, audit planning

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Authors: Juhan Kim, Jinsoo Kim

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South Korea cannot import natural gas in any form other than LNG because of the division of South and North Korea. Further, the high proportion of natural gas in the national energy mix makes this resource crucial for energy security in Korea. Expansion of Panama Canal will allow for reducing the cost of shipping between the Far East and U.S East. Panama Canal expansion can have significant impacts on South Korea. Due to this situation, we review the natural gas optimal portfolio by considering the uniqueness of the Korean Natural gas market and expansion of Panama Canal. In order to assess Korea’s natural gas optimal portfolio, we developed natural gas portfolio model. The model comprises two steps. First, to obtain the optimal long-term spot contract ratio, the study examines the price level and the correlation between spot and long-term contracts by using the Markowitz, portfolio model. The optimal long-term spot contract ratio follows the efficient frontier of the cost/risk level related to this price level and degree of correlation. Second, by applying the obtained long-term contract purchase ratio as the constraint in the linear programming portfolio model, we determined the natural gas optimal import portfolio that minimizes total intangible and tangible costs. Using this model, we derived the optimal natural gas portfolio considering the expansion of Panama Canal. Based on these results, we assess the portfolio for natural gas import to Korea from the perspective of energy security and present some relevant policy proposals.

Keywords: natural gas, Panama Canal, portfolio analysis, South Korea

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Authors: Guldana Zhigerbayeva, Ming Yang

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Transportation of hazardous materials (HAZMAT) is inevitable in the process industries. The statistics show a significant number of accidents has occurred during the transportation of HAZMAT. This makes risk management of HAZMAT transportation an important topic. The tree-based methods including fault-trees, event-trees and cause-consequence analysis, and Bayesian network, have been applied to risk management of HAZMAT transportation. However, there is limited work on the development of a systematic approach. The existing approaches fail to build up the linkages between the regulatory requirements and the safety measures development. The analysis of historical data from the past accidents’ report databases would limit our focus on the specific incidents and their specific causes. Thus, we may overlook some essential elements in risk management, including regulatory compliance, field expert opinions, and suggestions. A systematic approach is needed to translate the regulatory requirements of HAZMAT transportation into specified safety measures (both technical and administrative) to support the risk management process. This study aims to first adapt the House of Quality (HoQ) to House of Safety (HoS) and proposes a new approach- Safety Function Deployment (SFD). The results of SFD will be used in a multi-criteria decision-support system to develop find an optimal route for HazMats transportation. The proposed approach will be demonstrated through a hypothetical transportation case in Kazakhstan.

Keywords: hazardous materials, risk assessment, risk management, quality function deployment

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Authors: Najeebah Almahmeed

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Risk Management is an evolving subject among organizations that include corporations, governments, non-governmental organizations, and not-for-profit corporations. In order to enhance awareness around the importance of Risk Management and make sure everyone is using it in their day-to-day job, the Risk Culture topic has emerged and gained importance not only in the Finance Sector but also in the National Oil Companies in Kuwait. Risk Culture can be defined as the shared beliefs, attitudes, and behaviors within a company that guide its approach to managing risks. It acts as a connecting force that links policies, procedures, and individuals, influencing how risks are understood and tackled through activities. In this research, benefits of Risk Culture are shared, guidelines are presented to promote a risk aware culture, and fully embed and enforce Risk-based processes and procedures. Moreover, this research demonstrates methodologies of measuring the Risk Culture using specific dimensions and clusters.

Keywords: clusters, dimensions, national oil companies, risk culture, risk management

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Authors: Wook-Won Kim, Je-Seok Shin, Jin-O Kim

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This paper propose the method for optimal scheduling for battery energy storage system with reliability constraint of energy storage system in reliability aspect. The optimal scheduling problem is solved by dynamic programming with proposed transition matrix. Proposed optimal scheduling method guarantees the minimum fuel cost within specific reliability constraint. For evaluating proposed method, the timely capacity outage probability table (COPT) is used that is calculated by convolution of probability mass function of each generator. This study shows the result of optimal schedule of energy storage system.

Keywords: energy storage system (ESS), optimal scheduling, dynamic programming, reliability constraints

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Authors: Imad Zeyad Ramadan

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In this paper a genetic algorithm was developed to construct the optimal portfolio based on the Treynor method. The GA maximizes the Treynor ratio under budget constraint to select the best allocation of the budget for the companies in the portfolio. The results show that the GA was able to construct a conservative portfolio which includes companies from the three sectors. This indicates that the GA reduced the risk on the investor as it choose some companies with positive risks (goes with the market) and some with negative risks (goes against the market).

Keywords: oOptimization, genetic algorithm, portfolio selection, Treynor method

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Authors: Meetty Tomy, Arxhana G Thosar

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This paper provides the implementation of optimal control for an armature-controlled DC motor. The selection of error weighted Matrix and control weighted matrix in order to implement optimal control theory for improving the dynamic behavior of DC motor is presented. The closed loop performance of Armature controlled DC motor with derived linear optimal controller is then evaluated for the transient operating condition (starting). The result obtained from MATLAB is compared with that of PID controller and simple closed loop response of the motor.

Keywords: optimal control, DC motor, performance index, MATLAB

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Authors: Shohel Ahmed, Md. Abdul Alim, Sumaiya Rahman

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Optimal control can be helpful to test and compare different vaccination strategies of a certain disease. The mathematical model of HIV we consider here is a set of ordinary differential equations (ODEs) describing the interactions of CD4+T cells of the immune system with the human immunodeficiency virus (HIV). As an early treatment setting, we investigate an optimal chemotherapy strategy where control represents the percentage of effect the chemotherapy has on the system. The aim is to obtain a new optimal chemotherapeutic strategy where an isoperimetric constraint on the chemotherapy supply plays a crucial role. We outline the steps in formulating an optimal control problem, derive optimality conditions and demonstrate numerical results of an optimal control for the model. Numerical results illustrate how such a constraint alters the optimal vaccination schedule and its effect on cell-virus interactions.

Keywords: chemotherapy of HIV, optimal control involving ODEs, optimality conditions, Pontryagin’s maximum principle

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Authors: Pui Yong Leo, Normy Maziah Mohd Said

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Change of global economy landscape and business environment has led to companies’ decision to go global and enter international markets. As the companies go beyond the comfort zone (i.e. investing in the home country), it is important to ensure a comprehensive risk assessment is carried out. This paper describes a standardized approach for international investment, ensuring identification of risk, risk appetite, risk rating, risk treatment and mitigation plans for respective international investment proposal. The standardized approach is divided into three (3) stages as follows: Stage 1 – Preliminary Risk profiling; with the objective to gauge exposure to countries and high level risk factors as first level assessment. Stage 2 – Risk Parameters; with the objective to define risk appetite for the international investment from the perspective of likelihood and impact. Stage 3 – Detailed Risk Assessments; with the objectives to assess in detail any triggered elements from Stage 1, and project specific risks. The final output will include the mitigation plans for the identified risks for the total investment. Example will be given in this paper to show how comprehensive risk assessment is carried out for an international investment in power energy sector.

Keywords: international investment, mitigation plans, risk appetite, risk assessment

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Authors: Eva Kirzner

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Based on outcome studies published over the past two decades, in 2018, the ACC/AHA published new guidelines for the management of hypercholesterolemia that incorporate the use of coronary artery calcium (CAC) scanning as a decision tool for ascertaining which patients may benefit from statin therapy. This use is based on the recognition that the absence of calcium on CAC scanning (i.e., a CAC score of zero) usually signifies the absence of significant atherosclerotic deposits in the coronary arteries. Specifically, in patients with a high risk for atherosclerotic cardiovascular disease (ASCVD), initiation of statin therapy is generally recommended to decrease ASCVD risk. However, among patients with intermediate ASCVD risk, the need for statin therapy is less certain. However, there is a need for new outcome studies that provide evidence that the management of hypercholesterolemia based on these new ACC/AHA recommendations is safe for patients. Based on a Pub-Med and Google Scholar literature search, four relevant population-based or patient-based cohort studies that studied the relationship between CAC scanning, risk assessment or mortality, and statin therapy that were published between 2017 and 2021 were identified (see references). In each of these studies, patients were assessed for their baseline risk for atherosclerotic cardiovascular disease (ASCVD) using the Pooled Cohorts Equation (PCE), an ACC/AHA calculator for determining patient risk based on assessment of patient age, gender, ethnicity, and coronary artery disease risk factors. The combined findings of these four studies provided concordant evidence that a zero CAC score defines patients who remain at low clinical risk despite the non-use of statin therapy. Thus, these new studies confirm the use of CAC scanning as a safe tool for reducing the potential overuse of statin therapy among patients with zero CAC scores. Incorporating these new data suggest the following best practice: (1) ascertain ASCVD risk according to the PCE in all patients; (2) following an initial attempt trial to lower ASCVD risk with optimal diet among patients with elevated ASCVD risk, initiate statin therapy for patients who have a high ASCVD risk score; (3) if the ASCVD score is intermediate, refer patients for CAC scanning; and (4) and if the CAC score is zero among the intermediate risk ASCVD patients, statin therapy can be safely withheld despite the presence of an elevated serum cholesterol level.

Keywords: cholesterol, cardiovascular disease, statin therapy, coronary calcium

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Authors: Min Dai, Hong Liu, Shuaijie Qian

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We study a portfolio selection problem of an investor who faces constraints on rebalancing frequency, which is common in pension fund investment. We formulate it as a multiple optimal stopping problem and utilize the dynamic programming principle. By numerically solving the corresponding Hamilton-Jacobi-Bellman (HJB) equation, we find a series of free boundaries characterizing optimal strategy, and the constraints significantly impact the optimal strategy. Even in the absence of transaction costs, there is a no-trading region, depending on the number of the remaining trading chances. We also find that the equivalent wealth loss caused by the constraints is large. In conclusion, our model clarifies the impact of the constraints on transaction frequency on the optimal strategy.

Keywords: portfolio selection, rebalancing frequency, optimal strategy, free boundary, optimal stopping

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Authors: Jai Heui Kim, Sotheara Veng

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This paper studies the portfolio optimization problem for a pension fund under a hybrid model of stochastic volatility and constant elasticity of variance (CEV) using asymptotic analysis method. When the volatility component is fast mean-reverting, it is able to derive asymptotic approximations for the value function and the optimal strategy for general utility functions. Explicit solutions are given for the exponential and hyperbolic absolute risk aversion (HARA) utility functions. The study also shows that using the leading order optimal strategy results in the value function, not only up to the leading order, but also up to first order correction term. A practical strategy that does not depend on the unobservable volatility level is suggested. The result is an extension of the Merton's solution when stochastic volatility and elasticity of variance are considered simultaneously.

Keywords: asymptotic analysis, constant elasticity of variance, portfolio optimization, stochastic optimal control, stochastic volatility

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Authors: Minjeong Kim, Seungchul Lee, Iman Janghorban Esfahani, Jeong Tai Kim, ChangKyoo Yoo

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A trajectory of set-point of ventilation control systems plays an important role for efficient ventilation inside subway stations since it affects the level of indoor air pollutants and ventilation energy consumption. To maintain indoor air quality (IAQ) at a comfortable range with lower ventilation energy consumption, the optimal trajectory of the ventilation control system needs to be determined. The concentration of air pollutants inside the station shows a diurnal variation in accordance with the variations in the number of passengers and subway frequency. To consider the diurnal variation of IAQ, an iterative dynamic programming (IDP) that searches for a piecewise control policy by separating whole duration into several stages is used. When outdoor air is contaminated by pollutants, it enters the subway station through the ventilation system, which results in the deteriorated IAQ and adverse effects on passenger health. In this study, to consider the influence of outdoor air quality (OAQ), a new performance index of the IDP with the passenger health risk and OAQ is proposed. This study was carried out for an underground subway station at Seoul Metro, Korea. The optimal set-points of the ventilation control system are determined every 3 hours, then, the ventilation controller adjusts the ventilation fan speed according to the optimal set-point changes. Compared to manual ventilation system which is operated irrespective of the OAQ, the IDP-based ventilation control system saves 3.7% of the energy consumption. Compared to the fixed set-point controller which is operated irrespective of the IAQ diurnal variation, the IDP-based controller shows better performance with a 2% decrease in energy consumption, maintaining the comfortable IAQ range inside the station.

Keywords: indoor air quality, iterative dynamic algorithm, outdoor air information, ventilation control system

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Authors: Tareq Oshan

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Facility location and size decisions are important to any company because they affect profitability and success. However, warehouses are exposed to various risks of failure that affect their activity. This paper presents a mixed-integer non-linear mathematical model that can be used to determine optimal warehouse locations and sizes, which warehouses to fortify, and which branches should be assigned to specific warehouses when there is a risk of warehouse failure. Every branch is assigned to a fortified primary warehouse or a nonfortified primary warehouse and a fortified backup warehouse. The standard method and an introduced method, based on the average probabilities, for linearizing this mathematical model were used. A Canadian case study was used to demonstrate the developed mathematical model, followed by some sensitivity analysis.

Keywords: supply chain network design, fortified warehouse, mixed-integer mathematical model, warehouse failure risk

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Authors: Baobao Li

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Operational risk covers all operations of commercial banks and has a close relationship with the bank’s internal control. But in the commercial banks' management practice, internal control is always separated from the operational risk measurement. With the increasing of operational risk events in recent years, operational risk is paid more and more attention by regulators and banks’ managements. The paper first discussed the relationship between internal control and operational risk management and used CVaR-POT model to measure operational risk, and then put forward a modified measurement method (to use operational risk assessment results to modify the measurement results of the CVaR-POT model). The paper also analyzed the necessity and rationality of this method. The method takes into consideration the influence of internal control, improves the accuracy and effectiveness of operational risk measurement and save the economic capital for commercial banks, avoiding the drawbacks of using some mainstream models one-sidedly.

Keywords: commercial banks, internal control, operational risk, risk measurement

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Authors: Kriengkrai Assawamartbunlue, Channarong Wantha

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This paper presents the effects of the mean operating pressure on the optimal operating frequency based on temperature differences across stack ends in a thermoacoustic refrigerator. In addition to the length of the resonance tube, components of the thermoacoustic refrigerator have an influence on the operating frequency due to their acoustic properties, i.e. absorptivity, reflectivity and transmissivity. The interference of waves incurs and distorts the original frequency generated by the driver so that the optimal operating frequency differs from the designs. These acoustic properties are not parameters in the designs and it is very complicated to infer their responses. A prototype thermoacoustic refrigerator is constructed and used to investigate its optimal operating frequency compared to the design at various operating pressures. Helium and air are used as working fluids during the experiments. The results indicate that the optimal operating frequency of the prototype thermoacoustic refrigerator using helium is at 6 bar and 490Hz or approximately 20% away from the design frequency. The optimal operating frequency at other mean pressures differs from the design in an unpredictable manner, however, the optimal operating frequency and pressure can be identified by testing.

Keywords: acoustic properties, Carnot’s efficiency, interference of waves, operating pressure, optimal operating frequency, stack performance, standing wave, thermoacoustic refrigerator

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Authors: Rashid Masoud Ali Al-Mazrui, Ramadhani Mashaka Shabani

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Islamic banks and financial institutions are exposed to the same risks as conventional banking. These risks include the rate return risk, credit or market risk, liquidity risk, and operational risk among others. However, being a financial institution that operates Islamic banking and finance operations, there is additional risk associated with its operations different from conventional finance, such as displacing commercial risk. They face Shari'ah compliance risks because of their failure to follow Shari'ah principles. To have proper mitigation and risk management, banks should have proper risk management policies to mitigate risks. This paper aims to study the risk management taken by Islamic banks in comparison with conventional banks. Also, the study evaluates the provisions for risk management taken by selected Islamic banks and conventional banks. The study employs qualitative analysis using secondary data by applying a content analysis approach with a sample size of 4 Islamic banks and four conventional banks ranging from 2010 to 2020. We find that these banks all use the same technique, except for the associated risk. The extra ways are used, but only for additional risks that are available to Islamic banking and finance.

Keywords: emerging risk, risk management, Islamic banking, conventional bank

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Authors: Cinzia Carrodano, Dimitri Konstantas

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Risk is part of our lives. In today’s society risk is connected to our safety and safety has become a major priority in our life. Each person lives his/her life based on the evaluation of the risk he/she is ready to accept and sustain, and the level of safety he/she wishes to reach, based on highly personal criteria. The assessment of risk a person takes in a complex environment and the impact of actions of other people’actions and events on our perception of risk are alements to be considered. The concept of Holistic Risk Assessment (HRA) aims in developing a methodology and a model that will allow us to take into account elements outside the direct influence of the individual, and provide a personalized risk assessment. The concept is based on the fact that in the near future, we will be able to gather and process extremely large amounts of data about an individual and his/her environment in real time. The interaction and correlation of these data is the key element of the holistic risk assessment. In this paper, we present the HRA concept and describe the most important elements and considerations.

Keywords: continuous data, dynamic risk, holistic risk assessment, risk concept

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Authors: Olaniyi O. Omoyajowo

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To be successful in today’s competitive global environment, manufacturing industry must be able to respond quickly to changes in technology. These changes in technology introduce new risks and hazards. The management of risk/hazard in a manufacturing process recommends method through which the success rate of an organization can be increased. Thus, there is a continual need for manufacturing industries to invest significant amount of resources in risk management, which in turn optimizes the production output and profitability of any manufacturing industry (if implemented properly). To help improve the existing risk prevention and mitigation practices in Small and Medium Enterprise (SME) in Nigeria Manufacturing Industries (NMI), the researcher embarks on this research to develop a systematic Risk Management process.

Keywords: manufacturing management, risk, risk management, SMEs

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Authors: Phontip Kanlahasuth

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This paper presents the environmental safety and occupational health risk assessment of rocket static test by assessing risk level from probability and severity and then appropriately applying the risk control measures. Before the environmental safety and occupational health measures are applied, the serious hazards level is 31%, medium level is 24% and low level is 45%. Once risk control measures are practically implemented, the serious hazard level can be diminished, medium level is 38%, low level is 45% and eliminated level is 17%. It is clearly shown that the environmental safety and occupational health measures can significantly reduce the risk level.

Keywords: rocket static test, hazard, risk, risk assessment, risk analysis, environment, safety, occupational health, acceptable risk, probability, severity, risk level

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Authors: Slim Amami

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A model is developed to prevent the risks related to climate conditions in the agricultural sector. It will determine the yearly optimum premium to be paid by a farmer in order to reach his required turnover. The model is mainly based on both climatic stability and 'soft' responses of usually grown species to average climate variations at the same place and inside a safety ball which can be determined from past meteorological data. This allows the use of linear regression expression for dependence of production result in terms of driving meteorological parameters, main ones of which are daily average sunlight, rainfall and temperature. By a simple best parameter fit from the expert table drawn with professionals, optimal representation of yearly production is deduced from records of previous years, and yearly payback is evaluated from minimum yearly produced turnover. Optimal premium is then deduced, and gives the producer a useful bound for negotiating an offer by insurance companies to effectively protect their harvest. The application to wheat production in the French Oise department illustrates the reliability of the present model with as low as 6% difference between predicted and real data. The model can be adapted to almost every agricultural field by changing state parameters and calibrating their associated coefficients.

Keywords: agriculture, database, meteorological factors, production model, optimal price

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Authors: Saadia Drissi

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The cloud computing is an innovative paradigm that introduces several changes in technology that have resulted a new ways for cloud providers to deliver their services to cloud consumers mainly in term of security risk assessment, thus, adapting a current risk assessment tools to cloud computing is a very difficult task due to its several characteristics that challenge the effectiveness of risk assessment approaches. As consequence, there is a need of risk assessment model adapted to cloud computing. This paper requires a new risk assessment model based on multi-agent system and AHP model as fundamental steps towards the development of flexible risk assessment approach regarding cloud consumers.

Keywords: cloud computing, risk assessment model, multi-agent system, AHP model, cloud consumer

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Authors: Francis Edum-Fotwe, Tony Thorpe, Charles Afetornu

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Risk perception informs the outcome of how issues are responded to in either solving or overcoming a problem or improving a situation. Risk perception is established to be affected by some key factors reflecting in the varying ways in which work is done as well as the level of efficiency achieved. These factors potentially would influence risk perception to different extents. Such that if these factors are said to determine risk perception, how does a change in any affect risk perception. Since the ability to address risk is influenced by risk perception, establishing and developing awareness of that perception should enable construction professionals to make viable decisions. Any act to improve the construction industry cannot be overemphasised, considering its contribution to national development. A survey questionnaire was conducted in Ghana to elicit data that measures the risk perception and the essential factors as well as the necessary demographics of the respondents, who are construction professionals. This study finds out the sensitivity of the critical factors of risk perception. It uses the Relative Importance Index analysis tool to investigate the differential effect of these essential factors on risk perception, such that a slight change in a factor makes a significant change in risk perception, having established that it is influenced by essential factors. The findings can lead to policy formation for employers on the prioritisation factors to undertake to improve the risk perception of employees. Other areas in which this study can be useful in team formation for sensitive and complex projects where efficient risk management is critical.

Keywords: construction industry, risk, risk management, risk perception

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Authors: Fuzhang Zhao

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Particle swarm optimization (PSO) is becoming one of the most important swarm intelligent paradigms for solving global optimization problems. Although some progress has been made to improve PSO algorithms over the last two decades, additional work is still needed to balance parameters to achieve better numerical properties of accuracy, efficiency, and stability. In the optimal PSO algorithm, the optimal weightings of (√ 5 − 1)/2 and (3 − √5)/2 are used for the cognitive factor and the social factor, respectively. By the same token, the same optimal weightings have been applied for intensification searches and diversification searches, respectively. Perturbation and constriction effects are optimally balanced. Simulations of the de Jong, the Rosenbrock, and the Griewank functions show that the optimal PSO algorithm indeed achieves better numerical properties and outperforms the canonical PSO algorithm.

Keywords: diversification search, intensification search, optimal weighting, particle swarm optimization

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Authors: Charles Amoatey

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The issue of risk in the mining industry is a global phenomenon and the Ghanaian mining industry is not exempted. The main purpose of this study is to identify the critical risk factors affecting the mining industry. The study takes an integrated view of the mining industry by examining the contribution of various risk factors to mining project failure in Ghana. A questionnaire survey was conducted to solicit the critical risk factors from key mining practitioners. About 80 respondents from 11 mining firms participated in the survey. The study identified 22 risk factors contributing to mining project failure in Ghana. The five most critical risk factors based on both probability of occurrence and impact were: (1) unstable commodity prices, (2) inflation/exchange rate, (3) land degradation, (4) high cost of living and (5) government bureaucracy for obtaining licenses. Furthermore, the study found that risk assessment in the mining sector has a direct link with mining project sustainability. Mitigation measures for addressing the identified risk factors were discussed. The key findings emphasize the need for a comprehensive risk management culture in the entire mining industry.

Keywords: risk, assessment, mining, Ghana

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Authors: Zubier Arfan, Paul Johnson

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The electronification of financial markets and the rise of algorithmic trading has sparked a lot of interest from the mathematical community, for the market making-problem in particular. The research presented in this short paper solves the classic stochastic control problem in order to derive the strategy for a market-maker. It also shows how to calibrate and simulate the strategy with real limit order book data for back-testing. The ambiguity of limit-order priority in back-testing is dealt with by considering optimistic and pessimistic priority scenarios. The model, although it does outperform a naive strategy, assumes constant volatility, therefore, is not best suited to the LOB data. The Heston model is introduced to describe the price and variance process of the asset. The Trader's constant absolute risk aversion utility function is optimised by numerically solving a 3-dimensional Hamilton-Jacobi-Bellman partial differential equation to find the optimal limit order quotes. The results show that the stochastic volatility market-making model is more suitable for a risk-averse trader and is also less sensitive to calibration error than the constant volatility model.

Keywords: market-making, market-microsctrucure, stochastic volatility, quantitative trading

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Authors: Jolanta Tamošaitienė

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The article focuses on a developed comprehensive model to be used in an agile environment for the risk assessment and selection based on multi-attribute methods. The model is based on a multi-attribute evaluation of risk in construction, and the determination of their optimality criterion values are calculated using complex Multiple Criteria Decision-Making methods. The model may be further applied to risk assessment in an agile construction environment. The attributes of risk in a construction project are selected by applying the risk assessment condition to the construction sector, and the construction process efficiency in the construction industry accounts for the agile environment. The paper presents the comprehensive risk assessment model in an agile construction environment. It provides a background and a description of the proposed model and the developed analysis of the comprehensive risk assessment model in an agile construction environment with the criteria.

Keywords: assessment, environment, agile, model, risk

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