Michael E. Hanna

A nineties perspective on international diversification

Abstract Investors often look to international diversification as a means to reduce the risk of a stock portfolio while maintaining a given level of return. In this study we look at ten years of historical data from the stock markets in the G-7 countries. We see how diversification from an S & P 500 portfolio into a two-market (two-country) portfolio would have impacted the risk and return. Across this ten-year period, we find that a portfolio consisting solely of the S & P 500 dominates any portfolio that can be constructed from the S & P 500 and the major market index of the G-7 countries.

The generalised dwell point location problem

This research presents a generalised procedure to determine the optimal dwell point location for an arbitrary service device within a defined region. Similar to some existing dwell point location research for material handling systems, this study models a generic system that responds to demands for service from a region defined by a bi-variate random vector over some predefined service region as well as from a particular point analogous to the Input/Output (I/O) location for an arbitrary material handling system. A step-by-step procedure is delineated for determining the optimal dwell point location for a generic system. Extensions to the model for systems with multiple point (I/O) locations as well as for systems with multiple service regions are also presented.

Portfolio diversification in a highly inflationary emerging market

Abstract This study applies modern portfolio theory to the individual asset allocation decision of an investor in an emerging market. The study utilizes data from January 1991 to January 1999. Turkey’s experience with high inflation, depreciation in its currency, and a relatively fast growing economy provide a unique financial environment to examine personal portfolio asset allocation. Seven investments are considered for inclusion in the portfolio, including the Turkish, German and American stock markets, gold, and 12-month bank deposits denominated in Turkish liras, German marks, and U.S. dollars. The findings indicate that the lira-denominated bank deposit is the dominant investment vehicle.

Closed form models for dwell point locations in a multi–aisle automated storage and retrieval system

This study investigates the optimal dwell point location of idle server within a multi-aisle automated storage and retrieval system. The objective function herein is to minimise the expected value of the next transaction time for the automated storage and retrieval system. After a brief review of the relevant literature on dwell point location, this research shows that the single server, multi-aisle dwell point location problem can be solved via an application of classical optimisation of a special class of Tchebychev expected distance functions.