Search results for: stock selection
Commenced in January 2007
Frequency: Monthly
Edition: International
Paper Count: 1246

Search results for: stock selection

586 A Design of the Organic Rankine Cycle for the Low Temperature Waste Heat

Authors: K. Fraňa, M. Müller

Abstract:

A presentation of the design of the Organic Rankine cycle (ORC) with heat regeneration and superheating processes is a subject of this paper. The maximum temperature level in the ORC is considered to be 110°C and the maximum pressure varies up to 2.5MPa. The selection process of the appropriate working fluids, thermal design and calculation of the cycle and its components are described. With respect to the safety, toxicity, flammability, price and thermal cycle efficiency, the working fluid selected is R134a. As a particular example, the thermal design of the condenser used for the ORC engine with a theoretical thermal power of 179 kW was introduced. The minimal heat transfer area for a completed condensation was determined to be approximately 520m2

Keywords: Organic Rankine Cycle, thermal efficiency, working fluids.

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585 Control Strategy of SRM Converters for Power Quality Improvement

Authors: Yogesh Pahariya, Rakesh Saxena, Biswaroop Sarkar

Abstract:

The selection of control strategy depends on the converters of the drive including power, speed, performance and the possible system costs. A number of attempts were therefore made in recent times to develop novel power electronic converter structures for SRM drives, based on the utilization. Many of the converters with variable speed drives have no input power factor correction circuits. This results in harmonic pollution of the utility supply, which should be avoided. The effect of power factor variation in terms of harmonic content is also analyzed in this study. The proposed topologies were simulated using MATLAB / Simulink software package and the results are obtained.

Keywords: Harmonic Pollution, Power Electronic Converter, Power Quality, Simulation.

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584 Selection of Saccharomyces cerevisiae Strains Tolerant to Lead and Cadmium Toxicity

Authors: Nadia R. A. Nassar, Yehia A. Heikal, Mahmoud A. M. Abou Donia, Mohamed Fadel, Gomaa N. Abdel-Rahman

Abstract:

The aim of this study was to select the best strains of Saccharomyces cerevisiae able to resist lead and cadmium. Ten strains were screened on the basis of their resistance at different concentrations of 0, 2, 4, 8, 12, 16, 20 and 24 ppm for Pb and 0, 0.5, 1, 2, 4, 6, 8 and 10 ppm for Cd. The properties of baker's yeast quality were decreased by the increase of Pb or Cd in growth medium. The slope values of yield, total viable cells and gassing power of produced baker's yeast were investigated as an indicator of metal resistant. In addition, concentrations of Pb and Cd in produced baker's yeast were determined. The strain of S. cerevisiae FH-620 had the highest resistance against Pb and Cd and had the minimum levels of both two investigated metals in produced baker's yeast.

Keywords: Cadmium, lead, S. cerevisiae, tolerant.

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583 An Improved Integer Frequency Offset Estimator using the P1 Symbol for OFDM System

Authors: Yong-An Jung, Young-Hwan You

Abstract:

This paper suggests an improved integer frequency offset (IFO) estimation scheme using P1 symbol for orthogonal frequency division multiplexing (OFDM) based the second generation terrestrial digital video broadcasting (DVB-T2) system. Proposed IFO estimator is designed by a low-complexity blind IFO estimation scheme, which is implemented with complex additions. Also, we propose active carriers (ACs) selection scheme in order to prevent performance degradation in blind IFO estimation. The simulation results show that under the AWGN and TU6 channels, the proposed method has low complexity than conventional method and almost similar performance in comparison with the conventional method.

Keywords: OFDM, DVB-T2, P1 symbol, ACs, IFO.

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582 Identifying Corporate Managerial Topics with Web Pages

Authors: Juan Llopis, Reyes Gonzalez, Jose Gasco

Abstract:

This paper has as its main aim to analyse how corporate web pages can become an essential tool in order to detect strategic trends by firms or sectors, and even a primary source for benchmarking. This technique has made it possible to identify the key issues in the strategic management of the most excellent large Spanish firms and also to describe trends in their long-range planning, a way of working that can be generalised to any country or firm group. More precisely, two objectives were sought. The first one consisted in showing the way in which corporate websites make it possible to obtain direct information about the strategic variables which can define firms. This tool is dynamic (since web pages are constantly updated) as well as direct and reliable, since the information comes from the firm itself, not from comments of third parties (such as journalists, academicians, consultants...). When this information is analysed for a group of firms, one can observe their characteristics in terms of both managerial tasks and business management. As for the second objective, the methodology proposed served to describe the corporate profile of the large Spanish enterprises included in the Ibex35 (the Ibex35 or Iberia Index is the reference index in the Spanish Stock Exchange and gathers periodically the 35 most outstanding Spanish firms). An attempt is therefore made to define the long-range planning that would be characteristic of the largest Spanish firms.

Keywords: Web Pages, Strategic Management, Corporate Description, Large Firms, Spain.

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581 The Principle Probabilities of Space-Distance Resolution for a Monostatic Radar and Realization in Cylindrical Array

Authors: Anatoly D. Pluzhnikov, Elena N. Pribludova, Alexander G. Ryndyk

Abstract:

In conjunction with the problem of the target selection on a clutter background, the analysis of the scanning rate influence on the spatial-temporal signal structure, the generalized multivariate correlation function and the quality of the resolution with the increase pulse repetition frequency is made. The possibility of the object space-distance resolution, which is conditioned by the range-to-angle conversion with an increased scanning rate, is substantiated. The calculations for the real cylindrical array at high scanning rate are presented. The high scanning rate let to get the signal to noise improvement of the order of 10 dB for the space-time signal processing.

Keywords: Antenna pattern, array, signal processing, spatial resolution.

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580 A Matrix Evaluation Model for Sustainability Assessment of Manufacturing Technologies

Authors: Q. Z. Yang, B. H. Chua, B. Song

Abstract:

Technology assessment is a vital part of decision process in manufacturing, particularly for decisions on selection of new sustainable manufacturing processes. To assess these processes, a matrix approach is introduced and sustainability assessment models are developed. Case studies show that the matrix-based approach provides a flexible and practical way for sustainability evaluation of new manufacturing technologies such as those used in surface coating. The technology assessment of coating processes reveals that compared with powder coating, the sol-gel coating can deliver better technical, economical and environmental sustainability with respect to the selected sustainability evaluation criteria for a decorative coating application of car wheels.

Keywords: Evaluation matrix, sustainable manufacturing, surface coating, technology assessment

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579 Mining Educational Data to Support Students’ Major Selection

Authors: Kunyanuth Kularbphettong, Cholticha Tongsiri

Abstract:

This paper aims to create the model for student in choosing an emphasized track of student majoring in computer science at Suan Sunandha Rajabhat University. The objective of this research is to develop the suggested system using data mining technique to analyze knowledge and conduct decision rules. Such relationships can be used to demonstrate the reasonableness of student choosing a track as well as to support his/her decision and the system is verified by experts in the field. The sampling is from student of computer science based on the system and the questionnaire to see the satisfaction. The system result is found to be satisfactory by both experts and student as well. 

Keywords: Data mining technique, the decision support system, knowledge and decision rules.

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578 Calcification Classification in Mammograms Using Decision Trees

Authors: S. Usha, S. Arumugam

Abstract:

Cancer affects people globally with breast cancer being a leading killer. Breast cancer is due to the uncontrollable multiplication of cells resulting in a tumour or neoplasm. Tumours are called ‘benign’ when cancerous cells do not ravage other body tissues and ‘malignant’ if they do so. As mammography is an effective breast cancer detection tool at an early stage which is the most treatable stage it is the primary imaging modality for screening and diagnosis of this cancer type. This paper presents an automatic mammogram classification technique using wavelet and Gabor filter. Correlation feature selection is used to reduce the feature set and selected features are classified using different decision trees.

Keywords: Breast Cancer, Mammogram, Symlet Wavelets, Gabor Filters, Decision Trees

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577 Assessment of Psychomotor Development of Preschool Children: A Review of Eight Psychomotor Developmental Tools

Authors: Viola Hubačová Pirová

Abstract:

The assessment of psychomotor development allows us to identify children with motor delays, helps us to monitor progress in time and prepare suitable intervention programs. The foundation of psychomotor development lies in pre-school age and is crucial for child´s further cognitive and social development. Many assessment tools of psychomotor development have been developed over the years. Some of them are easy screening tools; others are more complex and sophisticated. The purpose of this review is to describe the history of psychomotor assessment, specify preschool children´s psychomotor evaluation and review eight psychomotor development assessment tools for preschool children (Denver II., DEMOST-PRE, TGMD -2/3, BOT-2, MABC-2, PDMS-2, KTK, MOT 4-6). The selection of test depends on purpose and context in which is the assessment planned.

Keywords: Assessment of psychomotor development, preschool children, psychomotor development, review of assessment tools.

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576 Recovery of Acetonitrile from Aqueous Solutions by Extractive Distillation–Effect of Entrainer

Authors: Aleksandra Yu. Sazonova, Valentina M. Raeva

Abstract:

The aim of this work was to apply extractive distillation for acetonitrile removal from water solutions, to validate thermodynamic criterion based on excess Gibbs energy to entrainer selection process for acetonitrile – water mixture separation and show its potential efficiency at isothermal conditions as well as at isobaric (conditions of real distillation process), to simulate and analyze an extractive distillation process with chosen entrainers: optimize amount of trays and feeds, entrainer/original mixture and reflux ratios. Equimolar composition of the feed stream was chosen for the process, comparison of the energy consumptions was carried out. Glycerol was suggested as the most energetically and ecologically suitable entrainer.

Keywords: Acetonitrile, entrainer, extractive distillation, water.

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575 Selection of Plants as Possible Rhizoremediators for Restoration of Oil Contaminated Soil

Authors: Togzhan D. Mukasheva, Anel A. Omirbekova, Raikhan S. Sydykbekova, Ramza Zh. Berzhanova, Lyudmila V. Ignatova

Abstract:

In studying the possibility of using plants as rhizoremediators, barley and grass mixture which showed resistance to various concentrations of oil were selected. The minimum inhibitory effect of oil on these plants by morphological parameters such as survival of plants, length and biomass of shoot and root compared with the control was showed. In determining physiological parameters, a slight decrease in the number of chlorophyll a and b in the leaves of plants was noted. The differences in the ratio of the total surface of the roots to the work surface with the growth of plants in soil with oil in the study of adsorption of the root surface were showed.

Keywords: Length of shoot and root, biomass, chlorophyll a and b, adsorption surface, barley, grass mixture.

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574 Control of Pendulum on a Cart with State Dependent Riccati Equations

Authors: N. M. Singh, Jayant Dubey, Ghanshyam Laddha

Abstract:

State Dependent Riccati Equation (SDRE) approach is a modification of the well studied LQR method. It has the capability of being applied to control nonlinear systems. In this paper the technique has been applied to control the single inverted pendulum (SIP) which represents a rich class of nonlinear underactuated systems. SIP modeling is based on Euler-Lagrange equations. A procedure is developed for judicious selection of weighting parameters and constraint handling. The controller designed by SDRE technique here gives better results than existing controllers designed by energy based techniques.

Keywords: State Dependent Riccati Equation (SDRE), Single Inverted Pendulum (SIP), Linear Quadratic Regulator (LQR)

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573 Image Authenticity and Perceptual Optimization via Genetic Algorithm and a Dependence Neighborhood

Authors: Imran Usman, Asifullah Khan, Rafiullah Chamlawi, Abdul Majid

Abstract:

Information hiding for authenticating and verifying the content integrity of the multimedia has been exploited extensively in the last decade. We propose the idea of using genetic algorithm and non-deterministic dependence by involving the un-watermarkable coefficients for digital image authentication. Genetic algorithm is used to intelligently select coefficients for watermarking in a DCT based image authentication scheme, which implicitly watermark all the un-watermarkable coefficients also, in order to thwart different attacks. Experimental results show that such intelligent selection results in improvement of imperceptibility of the watermarked image, and implicit watermarking of all the coefficients improves security against attacks such as cover-up, vector quantization and transplantation.

Keywords: Digital watermarking, fragile watermarking, geneticalgorithm, Image authentication.

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572 Torque Based Selection of ANN for Fault Diagnosis of Wound Rotor Asynchronous Motor-Converter Association

Authors: Djalal Eddine Khodja, Boukhemis Chetate

Abstract:

In this paper, an automatic system of diagnosis was developed to detect and locate in real time the defects of the wound rotor asynchronous machine associated to electronic converter. For this purpose, we have treated the signals of the measured parameters (current and speed) to use them firstly, as indicating variables of the machine defects under study and, secondly, as inputs to the Artificial Neuron Network (ANN) for their classification in order to detect the defect type in progress. Once a defect is detected, the interpretation system of information will give the type of the defect and its place of appearance.

Keywords: Artificial Neuron Networks (ANN), Effective Value (RMS), Experimental results, Failure detection Indicating values, Motor-converter unit.

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571 Fault Detection and Isolation in Attitude Control Subsystem of Spacecraft Formation Flying Using Extended Kalman Filters

Authors: S. Ghasemi, K. Khorasani

Abstract:

In this paper, the problem of fault detection and isolation in the attitude control subsystem of spacecraft formation flying is considered. In order to design the fault detection method, an extended Kalman filter is utilized which is a nonlinear stochastic state estimation method. Three fault detection architectures, namely, centralized, decentralized, and semi-decentralized are designed based on the extended Kalman filters. Moreover, the residual generation and threshold selection techniques are proposed for these architectures.

Keywords: Formation flight of satellites, extended Kalman filter, fault detection and isolation, actuator fault.

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570 Performance Analysis of ERA Using Fuzzy Logic in Wireless Sensor Network

Authors: Kamalpreet Kaur, Harjit Pal Singh, Vikas Khullar

Abstract:

In Wireless Sensor Network (WSN), the main limitation is generally inimitable energy consumption during processing of the sensor nodes. Cluster head (CH) election is one of the main issues that can reduce the energy consumption. Therefore, discovering energy saving routing protocol is the focused area for research. In this paper, fuzzy-based energy aware routing protocol is presented, which enhances the stability and network lifetime of the network. Fuzzy logic ensures the well-organized selection of CH by taking four linguistic variables that are concentration, energy, centrality, and distance to base station (BS). The results show that the proposed protocol shows better results in requisites of stability and throughput of the network.

Keywords: ERA, fuzzy logic, network model, WSN.

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569 Effect of Inductance Ratio on Operating Frequencies of a Hybrid Resonant Inverter

Authors: Mojtaba Ghodsi, Hamidreza Ziaifar, Morteza Mohammadzaheri, Payam Soltani

Abstract:

In this paper, the performance of a medium power (25 kW/25 kHz) hybrid inverter with a reactive transformer is investigated. To analyze the sensitivity of the inverster, the RSM technique is employed to manifest the effective factors in the inverter to minimize current passing through the Insulated Bipolar Gate Transistors (IGBTs) (current stress). It is revealed that the ratio of the axillary inductor to the effective inductance of resonant inverter (N), is the most effective parameter to minimize the current stress in this type of inverter. In practice, proper selection of N mitigates the current stress over IGBTs by five times. This reduction is very helpful to keep the IGBTs at normal temperatures.

Keywords: Analytical analysis, hybrid resonant inverter, reactive transformer, response surface method.

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568 Gradual Shot Boundary Detection and Classification Based on Fractal Analysis

Authors: Zeinab Zeinalpour-Tabrizi, Faeze Asdaghi, Mahmooh Fathy, Mohammad Reza Jahed-Motlagh

Abstract:

Shot boundary detection is a fundamental step for the organization of large video data. In this paper, we propose a new method for video gradual shots detection and classification, using advantages of fractal analysis and AIS-based classifier. Proposed features are “vertical intercept" and “fractal dimension" of each frame of videos which are computed using Fourier transform coefficients. We also used a classifier based on Clonal Selection Algorithm. We have carried out our solution and assessed it according to the TRECVID2006 benchmark dataset.

Keywords: shot boundary detection, gradual shots, fractal analysis, artificial immune system, choose Clooney.

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567 Improved C-Fuzzy Decision Tree for Intrusion Detection

Authors: Krishnamoorthi Makkithaya, N. V. Subba Reddy, U. Dinesh Acharya

Abstract:

As the number of networked computers grows, intrusion detection is an essential component in keeping networks secure. Various approaches for intrusion detection are currently being in use with each one has its own merits and demerits. This paper presents our work to test and improve the performance of a new class of decision tree c-fuzzy decision tree to detect intrusion. The work also includes identifying best candidate feature sub set to build the efficient c-fuzzy decision tree based Intrusion Detection System (IDS). We investigated the usefulness of c-fuzzy decision tree for developing IDS with a data partition based on horizontal fragmentation. Empirical results indicate the usefulness of our approach in developing the efficient IDS.

Keywords: Data mining, Decision tree, Feature selection, Fuzzyc- means clustering, Intrusion detection.

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566 Using the OWA Operator in the Minkowski Distance

Authors: José M. Merigó, Anna M. Gil-Lafuente

Abstract:

We study different types of aggregation operators such as the ordered weighted averaging (OWA) operator and the generalized OWA (GOWA) operator. We analyze the use of OWA operators in the Minkowski distance. We will call these new distance aggregation operator the Minkowski ordered weighted averaging distance (MOWAD) operator. We give a general overview of this type of generalization and study some of their main properties. We also analyze a wide range of particular cases found in this generalization such as the ordered weighted averaging distance (OWAD) operator, the Euclidean ordered weighted averaging distance (EOWAD) operator, the normalized Minkowski distance, etc. Finally, we give an illustrative example of the new approach where we can see the different results obtained by using different aggregation operators.

Keywords: Aggregation operators, Minkowski distance, OWA operators, Selection of strategies.

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565 Analyzing the Effect of Ambient Temperature and Loads Power Factor on Electric Generator Power Rating

Authors: Ahmed Elsebaay, Maged A. Abu Adma, Mahmoud Ramadan

Abstract:

This study presents a technique clarifying the effect of ambient air temperature and loads power factor changing from standard values on electric generator power rating. The study introduces an optimized technique for selecting the correct electric generator power rating for certain application and operating site ambient temperature. The de-rating factors due to the previous effects will be calculated to be applied on a generator to select its power rating accurately to avoid unsafe operation and save its lifetime. The information in this paper provides a simple, accurate, and general method for synchronous generator selection and eliminates common errors.

Keywords: Ambient temperature, de-rating factor, electric generator, power factor.

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564 Orthogonal Regression for Nonparametric Estimation of Errors-in-Variables Models

Authors: Anastasiia Yu. Timofeeva

Abstract:

Two new algorithms for nonparametric estimation of errors-in-variables models are proposed. The first algorithm is based on penalized regression spline. The spline is represented as a piecewise-linear function and for each linear portion orthogonal regression is estimated. This algorithm is iterative. The second algorithm involves locally weighted regression estimation. When the independent variable is measured with error such estimation is a complex nonlinear optimization problem. The simulation results have shown the advantage of the second algorithm under the assumption that true smoothing parameters values are known. Nevertheless the use of some indexes of fit to smoothing parameters selection gives the similar results and has an oversmoothing effect.

Keywords: Grade point average, orthogonal regression, penalized regression spline, locally weighted regression.

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563 Production Planning for Animal Food Industry under Demand Uncertainty

Authors: Pirom Thangchitpianpol, Suttipong Jumroonrut

Abstract:

This research investigates the distribution of food demand for animal food and the optimum amount of that food production at minimum cost. The data consist of customer purchase orders for the food of laying hens, price of food for laying hens, cost per unit for the food inventory, cost related to food of laying hens in which the food is out of stock, such as fine, overtime, urgent purchase for material. They were collected from January, 1990 to December, 2013 from a factory in Nakhonratchasima province. The collected data are analyzed in order to explore the distribution of the monthly food demand for the laying hens and to see the rate of inventory per unit. The results are used in a stochastic linear programming model for aggregate planning in which the optimum production or minimum cost could be obtained. Programming algorithms in MATLAB and tools in Linprog software are used to get the solution. The distribution of the food demand for laying hens and the random numbers are used in the model. The study shows that the distribution of monthly food demand for laying has a normal distribution, the monthly average amount (unit: 30 kg) of production from January to December. The minimum total cost average for 12 months is Baht 62,329,181.77. Therefore, the production planning can reduce the cost by 14.64% from real cost.

Keywords: Animal food, Stochastic linear programming, Production planning, Demand Uncertainty.

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562 Data Analysis Techniques for Predictive Maintenance on Fleet of Heavy-Duty Vehicles

Authors: Antonis Sideris, Elias Chlis Kalogeropoulos, Konstantia Moirogiorgou

Abstract:

The present study proposes a methodology for the efficient daily management of fleet vehicles and construction machinery. The application covers the area of remote monitoring of heavy-duty vehicles operation parameters, where specific sensor data are stored and examined in order to provide information about the vehicle’s health. The vehicle diagnostics allow the user to inspect whether maintenance tasks need to be performed before a fault occurs. A properly designed machine learning model is proposed for the detection of two different types of faults through classification. Cross validation is used and the accuracy of the trained model is checked with the confusion matrix.

Keywords: Fault detection, feature selection, machine learning, predictive maintenance.

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561 Numerical Modeling and Computer Simulation of Ground Movement above Underground Mine

Authors: A. Nuric, S. Nuric, L. Kricak, I. Lapandic, R. Husagic

Abstract:

This paper describes topic of computer simulation with regard to the ground movement above an underground mine. Simulation made with software package ADINA for nonlinear elastic-plastic analysis with finite elements method. The one of representative profiles from Mine 'Stara Jama' in Zenica has been investigated. A collection and selection of both geo-mechanical data and geometric parameters of the mine was necessary for performing these simulations. Results of estimation have been compared with measured values (vertical displacement of surface), and then simulation performed with assumed dynamic and dimensions of excavation, over a period of time. Results are presented with bitmaps and charts.

Keywords: Computer, finite element method, mine, nonlinear analysis, numerical modeling, simulation, subsidence.

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560 Evaluating Performance of an Anomaly Detection Module with Artificial Neural Network Implementation

Authors: Edward Guillén, Jhordany Rodriguez, Rafael Páez

Abstract:

Anomaly detection techniques have been focused on two main components: data extraction and selection and the second one is the analysis performed over the obtained data. The goal of this paper is to analyze the influence that each of these components has over the system performance by evaluating detection over network scenarios with different setups. The independent variables are as follows: the number of system inputs, the way the inputs are codified and the complexity of the analysis techniques. For the analysis, some approaches of artificial neural networks are implemented with different number of layers. The obtained results show the influence that each of these variables has in the system performance.

Keywords: Network Intrusion Detection, Machine learning, Artificial Neural Network.

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559 Quantitative Estimation of Periodicities in Lyari River Flow Routing

Authors: Rana Khalid Naeem, Asif Mansoor

Abstract:

The hydrologic time series data display periodic structure and periodic autoregressive process receives considerable attention in modeling of such series. In this communication long term record of monthly waste flow of Lyari river is utilized to quantify by using PAR modeling technique. The parameters of model are estimated by using Frances & Paap methodology. This study shows that periodic autoregressive model of order 2 is the most parsimonious model for assessing periodicity in waste flow of the river. A careful statistical analysis of residuals of PAR (2) model is used for establishing goodness of fit. The forecast by using proposed model confirms significance and effectiveness of the model.

Keywords: Diagnostic checks, Lyari river, Model selection, Monthly waste flow, Periodicity, Periodic autoregressive model.

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558 Evolving Neural Networks using Moment Method for Handwritten Digit Recognition

Authors: H. El Fadili, K. Zenkouar, H. Qjidaa

Abstract:

This paper proposes a neural network weights and topology optimization using genetic evolution and the backpropagation training algorithm. The proposed crossover and mutation operators aims to adapt the networks architectures and weights during the evolution process. Through a specific inheritance procedure, the weights are transmitted from the parents to their offsprings, which allows re-exploitation of the already trained networks and hence the acceleration of the global convergence of the algorithm. In the preprocessing phase, a new feature extraction method is proposed based on Legendre moments with the Maximum entropy principle MEP as a selection criterion. This allows a global search space reduction in the design of the networks. The proposed method has been applied and tested on the well known MNIST database of handwritten digits.

Keywords: Genetic algorithm, Legendre Moments, MEP, Neural Network.

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557 The Impact of Transaction Costs on Rebalancing an Investment Portfolio in Portfolio Optimization

Authors: B. Marasović, S. Pivac, S. V. Vukasović

Abstract:

Constructing a portfolio of investments is one of the most significant financial decisions facing individuals and institutions. In accordance with the modern portfolio theory maximization of return at minimal risk should be the investment goal of any successful investor. In addition, the costs incurred when setting up a new portfolio or rebalancing an existing portfolio must be included in any realistic analysis. In this paper rebalancing an investment portfolio in the presence of transaction costs on the Croatian capital market is analyzed. The model applied in the paper is an extension of the standard portfolio mean-variance optimization model in which transaction costs are incurred to rebalance an investment portfolio. This model allows different costs for different securities, and different costs for buying and selling. In order to find efficient portfolio, using this model, first, the solution of quadratic programming problem of similar size to the Markowitz model, and then the solution of a linear programming problem have to be found. Furthermore, in the paper the impact of transaction costs on the efficient frontier is investigated. Moreover, it is shown that global minimum variance portfolio on the efficient frontier always has the same level of the risk regardless of the amount of transaction costs. Although efficient frontier position depends of both transaction costs amount and initial portfolio it can be concluded that extreme right portfolio on the efficient frontier always contains only one stock with the highest expected return and the highest risk.

Keywords: Croatian capital market, Fractional quadratic programming, Markowitz model, Portfolio optimization, Transaction costs.

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