Available online at www.sciencedirect.

com

ScienceDirect
Procedia - Social and Behavioral Sciences 211 (2015) 1203 – 1209

QG*OREDO&RQIHUHQFHRQ%XVLQHVVDQG6RFLDO6FLHQFH*&%666HSWHPEHU
%DOL,QGRQHVLD

$SSOLFDWLRQVRI6LJQHG*UDSKVWR3RUWIROLR7XUQRYHU$QDO\VLV
%9DVDQWKLD6$UXPXJDPDEF $WXO\D.1DJDUEDQG6RYDQ0LWUDG
a
Kalasalingam University, Anand Nagar, Krishnankoil-626126, Tamil Nadu, India,
b
Department of Mathematics and Computer Science, Liverpool Hope University, Liverpool, L169JD, UK
c
Department of Computer Science, Ball State University, USA.
d
Department of Law, Economics, Accounting and Risk, Glasgow Caledonian University, Cowcaddens Road, Glasgow, G4 0BA, Scotland, UK

$EVWUDFW

3RUWIROLRWXUQRYHULVDQLPSRUWDQWDUHDIRUSRUWIROLRPDQDJHUVDQGLQYHVWRUVVLQFHLWVLJQLILFDQWO\LPSDFWVUHWXUQVWKURXJKKLJKHU
WUDGLQJFRVWVDQGWD[HV&XUUHQWO\PHWKRGVIRUDVVHVVLQJWKHSRVVLELOLW\RISRUWIROLRWXUQRYHUDUHSUDFWLFDOO\QRQH[LVWHQW8VLQJ
WKH FRQFHSW RI VLJQHG JUDSKV RQH FDQ DVVHVV WKH VWDELOLW\ RI SRUWIROLRV DQG WKHUHE\ WKH OLNHOLKRRG RI SRUWIROLR WXUQRYHU :H
GHPRQVWUDWHRXUPHWKRGXVLQJHPSLULFDOGDWDIURPWKH,QGLDQ6WRFN([FKDQJHDQGVKRZWKDWSRUWIROLRVIRFXVLQJRQULVNDORQHFDQ
UHVXOWLQKLJKHUSRUWIROLRWXUQRYHUFDXVLQJPLVOHDGLQJSRUWIROLRPDQDJHPHQW
‹7KH$XWKRUV3XEOLVKHGE\(OVHYLHU/WG
© 2015 The Authors. Published by Elsevier Ltd. This is an open access article under the CC BY-NC-ND license
3HHUUHYLHZXQGHUUHVSRQVLELOLW\RIWKH2UJDQL]LQJ&RPPLWWHHRIWKHQG*&%66
(http://creativecommons.org/licenses/by-nc-nd/4.0/).
Peer-review under responsibility of the Organizing Committee of the 2nd GCBSS-2015
Keywords:6LJQHGJUDSKSRUWIROLRVEDODQFHULVNPDQDJHPHQWSRUWIROLRWXUQRYHU

,QWURGXFWLRQ

3RUWIROLRULVNDQDO\VLVLQYROYHVPXOWLGLVFLSOLQDU\SHUVSHFWLYHVFRPELQLQJVWDWLVWLFDOPRGHOOLQJDQGILQDQFLDOWKHRU\
WRQDPHMXVWDFRXSOHRIDUHDV &RQQRU*ROGEHUJ .RUDMF]\N 2WKHUUHVHDUFKHUVVXFKDV -RULRQ KDYH
H[DPLQHG ULVNV IXUWKHU LQWR GLVWLQFWLYH FRPSRQHQWV ,Q DGGLWLRQ WR ULVN DQDO\VLV DQ LPSRUWDQW DVSHFW RI SRUWIROLR
SHUIRUPDQFHLVSRUWIROLRWXUQRYHUWKHIUHTXHQF\WKDWDVVHWVZLWKLQDIXQGDUHERXJKWDQGVROGE\PDQDJHUVWRDGMXVW
LWVFRPSRVLWLRQ,GHDOO\DPDQDJHUZRXOGOLNH]HURWXUQRYHURUDGMXVWPHQWVWRLWVSRUWIROLREHFDXVHHDFKDGMXVWPHQW
LQFXUVWUDGLQJFRVWV WD[HVEURNHUDJHIHHVHWF WKXVUHGXFHVWKHRYHUDOOIXQG¶VUHWXUQWRLQYHVWRUV7KLVFDQUHSUHVHQW


&RUUHVSRQGLQJDXWKRU7HOID[
E-mail address:YDVDQWKLB#\DKRRFRLQVDUXPXJDPNOX#JPDLOFRPQDJDUD#KRSHDFXNVRYDQPLWUD#JFXDFXN

1877-0428 © 2015 The Authors. Published by Elsevier Ltd. This is an open access article under the CC BY-NC-ND license
(http://creativecommons.org/licenses/by-nc-nd/4.0/).
Peer-review under responsibility of the Organizing Committee of the 2nd GCBSS-2015
doi:10.1016/j.sbspro.2015.11.160
1204 B. Vasanthi et al. / Procedia - Social and Behavioral Sciences 211 (2015) 1203 – 1209

DPDMRUVRXUFHRIORVVLQSRUWIROLRVDQGFDQUHQGHUPDQ\SRWHQWLDOLQYHVWPHQWVWUDWHJLHVKLJKO\XQSURILWDEOH
3RUWIROLRWXUQRYHURFFXUVZKHQHYHUWKHDVVHW¶VSURSHUWLHVLQWKHSRUWIROLRFKDQJH HJFRUUHODWLRQVYDULDQFHHWF 
EHFDXVHVXFKFKDQJHVPHDQWKDWWKHPDQDJHUPXVWDGMXVWWKHSRUWIROLRWRWDNHDFFRXQWRIWKHQHZSURSHUWLHV3ULRUWR
WKHSRUWIROLR¶VDFWXDODGMXVWPHQWFXUUHQWPHWKRGVIRUDVVHVVLQJWKHIXWXUHSRVVLELOLW\RIDSRUWIROLRWRWXUQRYHUDUH
SUDFWLFDOO\QRQH[LVWHQW0RVWPHWKRGVRQDVVHVVLQJSRUWIROLRWXUQRYHUUHO\RQH[DPLQLQJWKHKLVWRULFDOWUDGHVRIWKH
IXQGDIWHUWKHWXUQRYHUKDVDFWXDOO\RFFXUUHGKHQFHGRQRWSURYLGHDSULRULJXLGDQFHWRPDQDJHUV
8VLQJ6LJQHG*UDSK7KHRU\LWLVSRVVLEOHWRUHSUHVHQWDSRUWIROLRDVD6LJQHG*UDSKDVLQ +DUDU\/LP :XQVFK
 %\ 6WUXFWXUDO %DODQFH7KHRU\LWLVNQRZQWKDWXQEDODQFHGVLJQHGJUDSKVDUHXQVWDEOHDQGVRDUHVXEMHFWWR
FKDQJH7KLVFKDQJHFDQWDNHDYDULHW\RIIRUPV HJFRUUHODWLRQFKDQJHVHWF EXWUHJDUGOHVVRIWKHW\SHRIWKHFKDQJH
WKHFKDQJHLQWKHFRQWH[WRISRUWIROLRVLPSOLHVWKHDVVHWVZLOOXQGHUJRFKDQJHV&RQVHTXHQWO\WKLVLPSOLHVXQEDODQFHG
VLJQHG JUDSK SRUWIROLRV ZLOO LQFXU KLJKHU WXUQRYHU WKDQ EDODQFHG SRUWIROLRV EHFDXVH XQEDODQFHG SRUWIROLRV ZLOO EH
VXEMHFWWRPRUHFKDQJHDQGVRSURPSWWKHSRUWIROLRPDQDJHUWRDGMXVWKLVSRUWIROLR
,QWKLVSDSHUZHDSSO\VLJQHGJUDSKWKHRU\WRSRUWIROLRVRIDUELWUDU\DVVHWVL]HDQGDVVHVVWKHLUVWDELOLW\ LQWHUPV
RIVLJQHGJUDSKWKHRU\ WRGHWHUPLQHWKHLUYXOQHUDELOLW\WRSRUWIROLRWXUQRYHU7KLVPHWKRGDOVRKDVLPSOHPHQWDWLRQ
DGYDQWDJHV)LUVWO\WKHFRPSXWDWLRQWLPHDQGHVWLPDWLRQGLIILFXOW\GRHVQRWQHFHVVDULO\LQFUHDVHZLWKSRUWIROLRDVVHW
VL]HKHQFHRXUPHWKRGGRHVQRWVXIIHUIURPWKHµFXUVHRIGLPHQVLRQDOLW\¶7KLVLVLPSRUWDQWLQILQDQFHZKHUHSRUWIROLRV
FDQUHDOLVWLFDOO\FRQVLVWRIDVVHWV6HFRQGO\RXUPHWKRGLVQRWGHSHQGHQWRQUREXVWRUDFFXUDWHIRUHFDVWLQJ
RUHVWLPDWLRQPHWKRGVKHQFHLWLVQRWSHQDOL]HGE\HVWLPDWLRQRUIRUHFDVWLQJHUURUV6XFKDSURSHUW\LVKLJKO\GHVLUDEOH
JLYHQWKDWHVWLPDWLRQDQGIRUHFDVWLQJLVQRQWULYLDOLQILQDQFH
7KHUHVWRIWKHSDSHULVRUJDQL]HGDVIROORZVLQWKHQH[WVHFWLRQZHH[SODLQRXUPHWKRGRIDQDO\]LQJSRUWIROLRV
XVLQJVLJQHGJUDSKV,QWKHWKLUGVHFWLRQZHDSSO\RXUPHWKRGE\FRQGXFWLQJDQXPHULFDOH[SHULPHQWDQGWKHQDQDO\VH
RXUUHVXOWV:HWKHQHQGZLWKDFRQFOXVLRQ

6LJQHG*UDSK3RUWIROLR$QDO\VLV

*UDSK7KHRU\DQGVLJQHGJUDSKUHSUHVHQWDWLRQKDYHEHHQXVHGWRLQYHVWLJDWHFRPSOH[VWUXFWXUHVRILQWHUUHODWHG
HQWLWLHV )RU H[DPSOH +DUDU\   DQDO\VHV LQWHUQDWLRQDO UHODWLRQV EHWZHHQ FRXQWULHV IXUWKHU KH +DUDU\  
LQYHVWLJDWHGWKH0LGGOH(DVWLQDQGWKHVKLIWVLQDOOLDQFHEHWZHHQHQWLWLHVLQYROYHGLQWKHFRQIOLFW$JUDSKG
FRQVLVWVRIDILQLWHQRQHPSW\VHWVZKRVHHOHPHQWVDUHFDOOHGYHUWLFHVDQGDVHWERIXQRUGHUHGSDLUVRIGLVWLQFW
HOHPHQWVRIVZKRVHHOHPHQWVDUHFDOOHGHGJHV)RUH[DPSOHDFRPPXQLFDWLRQQHWZRUNFDQEHPRGHOHGDVDJUDSK
ZKHUHWKHYHUWH[VHWVLVWKHVHWRIDOOFRPPXQLFDWLRQVWDWLRQVDQGDQHGJHMRLQLQJWZRYHUWLFHVLQGLFDWHVWKHH[LVWHQFH
RIDGLUHFWFRPPXQLFDWLRQOLQNEHWZHHQWKHFRUUHVSRQGLQJVWDWLRQV$VLJQHGJUDSKLVDJUDSKG  V,E ZKHUHHDFK
HGJHLQELVODEHOHGDVSRVLWLYHRUQHJDWLYH
$SDWKPLQDJUDSKGLVDVHTXHQFHRIGLVWLQFWYHUWLFHV vv«vk VXFKWKDWviviEIRUDOOididk7KH
LQWHJHUkLVFDOOHGWKHOHQJWKRIWKHSDWK$F\FOHLQGLVJLYHQE\ vv«vk-1,v0 ZKHUHvv«vkDUHGLVWLQFW
YHUWLFHVDQGvivididkDQGvkvDUHHGJHVLQG0RWLYDWHGE\+HLGHU¶VWKHRU\ +DUDU\ LQWURGXFHGWKH
IROORZLQJPDWKHPDWLFDOIRUPXODWLRQRIWKHQRWLRQRIEDODQFHGVLJQHGJUDSKVA signed graph G is balanced if every
cycle in G has an even number of negative edges and is unbalanced if there exists at least one cycle with an odd
number of negative edges.,WKDVEHHQSURYHGWKDW +DUDU\ DVLJQHGJUDSKLVEDODQFHGLIDQGRQO\LIWKHYHUWH[
VHWVFDQEHSDUWLWLRQHGLQWRWZRVXEVHWVVDQGVVXFKWKDWDQ\WZRLQGLYLGXDOVaDQGbZLWKaVDQGbVKDYHD
QHJDWLYHWLHDQGWZRLQGLYLGXDOVLQWKHVDPHJURXSKDYHDSRVLWLYHWLH n
$SRUWIROLRRInDVVHWVLVDYHFWRUZ  ww«wn ZKHUHwi!DQG ¦
wi  
i 

7KHQXPEHUwiLVWKHZHLJKWRUIUDFWLRQRIWKHLQYHVWRUVFDSLWDOLQWKHiWKDVVHW$SRUWIROLRRIVHFXULWLHVUHSUHVHQWHG
DVDVLJQHGJUDSKG,KDVYHUWH[VHWVDVWKHVHWRIVHFXULWLHVRIWKHSRUWIROLRDQGWKHHGJHVDUHGHWHUPLQHGE\WKH
FRUUHODWLRQFRHIILFLHQWEHWZHHQWKHVHFXULWLHV¶UHWXUQV$VLJQHGJUDSKPRGHOIRUSRUWIROLRDQDO\VLVLQULVNPDQDJHPHQW
ZDVSURSRVHGLQ +DUDU\/LP :XQVFK WKH\FRQVWUXFWHGDVLJQHGJUDSKZKRVHYHUWH[VHWHTXDOVWKHSRUWIROLR
VWRFNVDQGWZRYHUWLFHVDUHMRLQHGE\DSRVLWLYHHGJHLIWKHFRUUHVSRQGLQJFRUUHODWLRQEHWZHHQWKHWZRDVVHWVLVSRVLWLYH
DQGODUJHUWKDQDSUHIL[HGWKUHVKROGYDOXHDQGDUHMRLQHGE\DQHJDWLYHHGJHLIWKHFRUUHODWLRQFRHIILFLHQWLVQHJDWLYH
DQGLVOHVVWKDQDQRWKHUSUHIL[HGWKUHVKROGYDOXH,IWKHFRUUHODWLRQFRHIILFLHQWOLHVEHWZHHQWKHWKUHVKROGYDOXHVWKHQ
 B. Vasanthi et al. / Procedia - Social and Behavioral Sciences 211 (2015) 1203 – 1209 1205

QRHGJHLVDGGHG7KLVSURFHVVJLYHVDQHOHJDQWVLJQHGJUDSKUHSUHVHQWDWLRQRIDSRUWIROLRRIDVVHWV

7KHLPSRUWDQFHRIXQEDODQFHGVLJQHGJUDSKVLVWKDWE\6WUXFWXUDO%DODQFH7KHRU\ +DUDU\/LP :XQVFK 

VXFKJUDSKVWHQGWREHXQVWDEOHLQWKDWWKH\XQGHUJRFKDQJHVWRSXVKWKHPWRZDUGVEHFRPLQJDEDODQFHGVLJQHGJUDSK
,QIDFWDWKHRU\LQVRFLDOSV\FKRORJ\SURSRVHGLQ +HLGHU VWDWHVWKDWWKHUHLVDQDWXUDOWHQGHQF\WRZDUGVEDODQFH
LQDQ\VRFLHW\,QWHUPVRISRUWIROLRVWKDWKDYHXQEDODQFHGVLJQHGJUDSKVVXFKDVVHWVLQWKHSRUWIROLRVZLOOWHQGWR
FKDQJHVRWKDWWKHJUDSKGEHFRPHVEDODQFHG7KLVLPSOLHVWKDWSRUWIROLRVZLWKXQEDODQFHGVLJQHGJUDSKVPD\H[KLELW
FKDQJHVLQDVVHWFRUUHODWLRQVDVVHWFRPSRVLWLRQWRQDPHDFRXSOHRISRVVLELOLWLHV6LQFHFKDQJHVLQDVVHWSURSHUWLHV
FDXVHVSRUWIROLRPDQDJHUVWRDGMXVWWKHLUSRUWIROLRFRPSRVLWLRQWKLVLPSOLHVWKDWVXFKSRUWIROLRVDUHPRUHVXVFHSWLEOH
WRKLJKHUSRUWIROLRWXUQRYHU+HQFHVLJQHGJUDSKVHQDEOHXVWRDVVHVVDSULRULWKHSRUWIROLRWXUQRYHUOLNHOLKRRGRIDQ\
JLYHQSRUWIROLR
$QnDVVHWSRUWIROLRLVUHSUHVHQWHGE\DQnYHUWH[VLJQHGJUDSKG ZLWKHDFKYHUWH[FRQQHFWHGE\VLJQHGHGJHVWR
VRPH RWKHUYHUWLFHV LQG &RQVHTXHQWO\ ODUJH DVVHWSRUWIROLRVSRVVHVV JUDSKV WKDW DUH LQFUHDVLQJO\ LQWUDFWDEOH DVn
LQFUHDVHV )RU H[DPSOH UHDOLVWLF SRUWIROLRV FRQWDLQ  WR  DVVHWV 7KLV GRHV QRW PDNH RXU PHWKRG XQXVDEOH
EHFDXVHZHGRQRWQHHGWRH[DPLQHWKHHQWLUHJUDSKGIRUEDODQFH6LQFHDJUDSKLVXQEDODQFHGLIWKHUHH[LVWVDWOHDVW
RQHF\FOHZLWKDQRGGQXPEHURIQHJDWLYHHGJHVLIDYHUWH[VL]HVXEJUDSKRIGLVXQEDODQFHGWKHQDQ\YHUWH[VL]H
VXEJUDSKRIGFRQWDLQLQJWKLVXQEDODQFHGVXEJUDSKZLOODOVREHXQEDODQFHG+HQFHSRUWIROLRWXUQRYHU RUEDODQFH 
DQDO\VLVLVUHGXFHGWRH[DPLQLQJWKHYHUWH[VL]HVXEJUDSKVWKDWH[LVWLQDQ\VL]HSRUWIROLR
7KHQXPEHURIWKUHHYHUWH[VL]HVLJQHGVXEJUDSKVWUXFWXUHVLV7KHVHDUHJLYHQLQ)LJXUH




    



  






    
      


    

 )LJXUH6LJQHGJUDSKVRQWKUHHYHUWLFHV

7KHWHQVLJQHGJUDSKVWUXFWXUHVDUHUHSUHVHQWHGE\WKHWULSOHV           
       DQG  ZKHUHUHSUHVHQWVQRHGJHUHSUHVHQWVDSRVLWLYHHGJHDQG
UHSUHVHQWVDQHJDWLYHHGJH)URPWKHGHILQLWLRQRIXQEDODQFHJUDSKV  DQG  DUHXQEDODQFHG+HQFH
DQ\SRUWIROLRFRQWDLQLQJJUDSKV  DQG  ZLOOEHXQEDODQFHGZHQRWHWKDW  KDVQRF\FOHVDQG
WKHUHIRUHLVEDODQFHG+HQFHZHFDQGHWHUPLQHWKHSRUWIROLRWXUQRYHUOLNHOLKRRGXVLQJWKHVHXQEDODQFHGJUDSKVIRU
anySRUWIROLRRIanyDVVHWVL]H
$QLPSRUWDQWLQVLJKWIURPVLJQHGJUDSKDQDO\VLVRISRUWIROLRVLVWKDWSRUWIROLRPDQDJHUVWKDWIRFXVRQPLQLPL]LQJ
1206 B. Vasanthi et al. / Procedia - Social and Behavioral Sciences 211 (2015) 1203 – 1209

ULVNFDQPLVOHDGSRUWIROLRPDQDJHPHQW7KLVLVEHFDXVHQRWDOOPLQLPXPULVNSRUWIROLRVZLOOKDYHEDODQFHGJUDSKV
WKRVH SRUWIROLRV ZLWK XQEDODQFHG JUDSKV ZLOO EH XQVWDEOH DQG OHDG WR KLJKHU WXUQRYHU ZKLFK ZLOO UHGXFH UHWXUQV
&RQVHTXHQWO\ IRFXVLQJ RQ ULVN DORQH ZLWKRXW GXH DQDO\VLV RI SRUWIROLR EDODQFH GRHV QRW QHFHVVDULO\ RSWLPL]H D
SRUWIROLR¶VUHWXUQ
7KH VLJQHG JUDSK PHWKRG SURYLGHV FRPSXWDWLRQDO DGYDQWDJHV $V H[SODLQHG EHIRUH WKH SRUWIROLR¶V EDODQFH LV
GHWHUPLQHGE\WKHJUDSKVLQILJXUHUHJDUGOHVVRIWKHQXPEHURIDVVHWVnLQWKHSRUWIROLRKHQFHRXUPHWKRGGRHV
QRW VXIIHU IURP WKH µFXUVH RI GLPHQVLRQDOLW\¶ 6XFK D SURSHUW\ LV SDUWLFXODUO\ XVHIXO IRU SRUWIROLRV ZKHQ UHDOLVWLF
SRUWIROLRDVVHWVL]HVFDQEHn WRn WKHQXPEHURIFDOFXODWLRQVIRUFRUUHODWLRQVDORQHZRXOGEH

n  n
 


WKDWLV n  DQG n  7KLVFOHDUO\UHSUHVHQWVDQRQWULYLDOFRPSXWDWLRQDODQGHVWLPDWLRQWDVN

,QDGGLWLRQWRFRPSXWDWLRQDGYDQWDJHVWKHVLJQHGJUDSKPHWKRGDOVRKDVLPSOHPHQWDWLRQDGYDQWDJHV7RREWDLQ
WKHVLJQHGJUDSKVRQHGRHVQRWUHTXLUHDODUJHQXPEHURIYDULDEOHVWRHVWLPDWHRQO\WKHFRUUHODWLRQEHWZHHQDVVHWV
$GGLWLRQDOO\WKHFRUUHODWLRQVEHWZHHQDVVHWVGRQRWQHHGWREHDFFXUDWHO\HVWLPDWHG$QLPSOHPHQWDWLRQRIVLJQHG
JUDSKVSRUWIROLRZLWKDVLPSOHWKUHVKROGIXQFWLRQIRUFRUUHODWLRQVZKHUHE\WKHFRUUHODWLRQRQO\QHHGVWREHFDWHJRUL]HG
LQWRRIJURXSV SRVLWLYHQHJDWLYHRU KDVEHHQSURSRVHGLQ +DUDU\/LP :XQVFK 6XFKSDUVLPRQLRXV
HVWLPDWLRQ DQG QRQGHSHQGHQFH RQ IRUHFDVWLQJ LV SDUWLFXODUO\ DSSHDOLQJ WR ILQDQFH DSSOLFDWLRQV ZKHUHE\ UREXVW
HVWLPDWLRQDQGIRUHFDVWLQJRIDQ\YDULDEOHFDQEHKLJKO\FKDOOHQJLQJ

1XPHULFDO([SHULPHQW

,Q WKLV VHFWLRQ ZH QRZ GHPRQVWUDWH WKH VLJQHG JUDSK PHWKRG RI GHWHUPLQLQJ SRUWIROLR VWDELOLW\ RU EDODQFH E\
DSSO\LQJLWWRDUHDOZRUOGSRUWIROLR:HDOVRGHPRQVWUDWHWKHLPSRUWDQFHRIXQGHUVWDQGLQJWKHSRUWIROLR¶V XQ EDODQFH
JUDSKLQSRUWIROLRULVNPDQDJHPHQWLQWKDWE\IRFXVLQJRQULVNDORQHFDQOHDGWRPLVOHDGLQJSRUWIROLRPDQDJHPHQW
,QWKLVSDSHUZHVWXG\FUHDWLQJDSRUWIROLRIURPGLIIHUHQWDVVHWV:HUHFDOOIURPWKHSUHYLRXVVHFWLRQWKDWDQ\
JUDSKFRQWDLQLQJDYHUWH[VL]HVXEJUDSKWKDWLVXQEDODQFHGLVDOVRXQEDODQFHG+HQFHWRGHWHUPLQHDSRUWIROLR¶V
EDODQFH RIDQ\DUELWUDU\VL]H UHTXLUHVGHWHUPLQLQJWKHSRUWIROLRVFRQWDLQLQJDQ\RIWKHYHUWH[VXEJUDSKVLQ)LJXUH
$VZHKDYHDVVHWVWKLVPHDQVWKHWRWDOQXPEHURIJUDSKVWKDWFDQEHSURGXFHG IURPDOOWKHGLIIHUHQWDVVHWV LV

§  ·
¨¨ ¸¸  
©¹


6LQFHWKHJUDSK¶VEDODQFHLVGHWHUPLQHGE\WKHYHUWH[JUDSKVWKLVFRUUHVSRQGVWRDVVHWVLQWKHSRUWIROLR5DWKHU
WKDQDQDO\VLQJSRUWIROLRVRIODUJHUDVVHWVL]HVWKDQZHDQDO\VHWKHULVNRIWKHSRUWIROLRVUHTXLUHGWRSURGXFHWKH
DVVHWSRUWIROLRV KHQFHWKHWRWDOQXPEHURISRVVLEOHSRUWIROLRVDQDO\VHGLV 7KLVLVEHFDXVHWKHDLPRIWKHDQDO\VLV
LVWRGHPRQVWUDWHWKDWORZHUULVNSRUWIROLRVGRQRWQHFHVVDULO\SURYLGHEDODQFHGRUVWDEOHSRUWIROLRVKHQFHZLOOLQFXU
KLJKHU WXUQRYHU %\ LQFUHDVLQJ WKH QXPEHU RI DVVHWV LQ WKH SRUWIROLR GRHV QRW DIIHFW WKH JUDSK¶V EDODQFH DV LW LV
LQGHSHQGHQWRIYHUWH[VL]H KHQFHDGGLQJDGGLWLRQDODVVHWVGRHVQRWLQYDOLGDWHRXUDQDO\VLV6HFRQGO\FUHDWLQJODUJHU
SRUWIROLRVJUHDWO\LQFUHDVHVWKHQXPEHURIFRPSXWDWLRQVHJDVVHWVL]HSRUWIROLRJLYHV

§  ·
 ¨¨ ¸¸ [ 

© ¹

SRUWIROLRV7KHUHIRUHUDWKHUWKDQH[DPLQLQJDVVHWVL]HSRUWIROLRVZHUHVWULFWRXUDQDO\VLVWRDVVHWVL]HSRUWIROLRV
 B. Vasanthi et al. / Procedia - Social and Behavioral Sciences 211 (2015) 1203 – 1209 1207

7RFDOFXODWHWKHULVNRISRUWIROLRVUHTXLUHVVSHFLI\LQJDULVNPHDVXUH:HXVHWKHPRVWZLGHO\DQGFRPPRQO\DFFHSWHG
ULVNPHDVXUHSRUWIROLRYDULDQFH:HQRWHWKDWDQ\ULVNPHDVXUHFRXOGKDYHEHHQFKRVHQDVLWZRXOGQRWLQYDOLGDWHWKH
VLJQHGJUDSKDSSURDFKWRWXUQRYHUDQDO\VLV7KHYDULDQFHRIWKHSRUWIROLRFRQVLVWLQJRILQYHVWPHQWVLQWKUHHDVVHWVLV
FRPSXWHGXVLQJWKHIROORZLQJIRUPXOD,IABDQGCDUHDVVHWVwawbDQGwcDUHWKHSRUWIROLRZHLJKWVRQHDFKDVVHW
WKHQWKHYDULDQFHRIWKHSRUWIROLRLV

 V rp  waV ra wbV rb wcV rc wawbFRY rarb wawcFRY ra rc wbwcFRY rbrc 

)RUWKHEHQHILWRIFRQYHQLHQFHZHDVVXPHDOODVVHWVDUHHTXDOO\ZHLJKWHGWKDWLVwa wb wc :HKDYHDOVR
FRPSXWHGWKHFRYDULDQFHPDWUL[RIWKHZHHNO\UHWXUQVIRUDQ\WZRDVVHWV7KHFRUUHODWLRQFRHIILFLHQWVEHWZHHQWKH
ZHHNO\UHWXUQVIRUHDFKSDLURIDVVHWVKDYHEHHQFRPSXWHGXVLQJWKHWKUHVKROGYDOXHVRIDQG
7KHDVVHWVFKRVHQIRUWKHSRUWIROLRZHUHVWRFNVOLVWHGRQWKH,QGLDQ6WRFN([FKDQJH7KHVWRFNVFKRVHQZHUH
KLJKO\OLTXLGDQGVRDUHSULFHGHIILFLHQWO\KHQFHWKHVWRFNSULFHVDUHQRWGLVWRUWHGE\ORZYROXPHWUDGLQJ7KHUHWXUQ
GDWDDQGFDOFXODWLRQIRUHDFKDVVHWIROORZVWKHPHWKRGLQ +DUDU\/LP :XQVFK LWLVFROOHFWHGRQDZHHNO\
EDVLVRYHUDSHULRGRIRQH\HDU:HQRWHWKDWWKHWLPHSHULRGIUHTXHQF\DQGDVVHWFKRLFHV VWRFNV DUHQRWLPSRUWDQW
IDFWRUVLQWKHH[SHULPHQWLQWKDWWKH\FRXOGHDVLO\EHYDULHGZLWKRXWLQYDOLGDWLQJWKHPHWKRG


5HVXOWVDQG$QDO\VLV

,QRXUHPSLULFDOGDWDZHREVHUYHGWKDWWKHUHDUHQRVLJQHGJUDSKVWUXFWXUHVFRUUHVSRQGLQJWR     

 DQG  VLQFHWKHFRUUHODWLRQVEHWZHHQDVVHWVGLGQRWPDWFKWKHVHJUDSKV+HQFHLQRXUVWXG\WKHUH
DUH RQO\  FODVVHV UHPDLQLQJ LQ WRWDO DQG WKH\ IXQGDPHQWDOO\ GHWHUPLQH WKH SRUWIROLR¶V EDODQFH 7KH QXPEHU RI
SRUWIROLRVLQHDFKRIWKHUHPDLQLQJVL[FODVVHVWKHDYHUDJHSRUWIROLRYDULDQFHIRUHDFKRIWKHFODVVHVDQGWKHPD[LPXP
DQGPLQLPXPYDOXHRISRUWIROLRYDULDQFHIRUHDFKRIWKHFODVVHVDUHJLYHQLQ7DEOH

7DEOH3RUWIROLRYDULDQFHGDWDLQVL[FODVVHV

      

 C  C  C  C  C  C 

$9*      

0,1      

0$;      

FRXQW      


 
:HREVHUYHWKDWIRUWKHJUDSKVUHSUHVHQWLQJWKHFODVVHVCC DQGCLQ7DEOHDOOWKHHGJHVDUHSRVLWLYHDQG
KHQFHWKHVHJUDSKVDUHWULYLDOO\EDODQFHG$OVRWKHVLJQHGJUDSKUHSUHVHQWLQJWKHFODVVCKDVQRF\FOHVDQGKHQFHLV
EDODQFHG7KLVVLJQHGJUDSKKDVRQHQHJDWLYHHGJHDQGRQHSRVLWLYHHGJH7KHVLJQHGJUDSKUHSUHVHQWLQJWKHFODVVC
LVDOVREDODQFHG+RZHYHUWKHVLJQHGJUDSKUHSUHVHQWLQJWKHFODVVCLVXQEDODQFHGDQGLVWKHRQO\XQEDODQFHGJUDSK
LQ7DEOH
2XWRIWKHWRWDOQXPEHURISRUWIROLRVWKHPDMRULW\RISRUWIROLRV  DUHFDWHJRUL]HGZLWKLQEDODQFHGJUDSKV
KHQFHWKH\DUHQRWXQVWDEOHDQGDUHOHVVOLNHO\WREHH[SRVHGWRKLJKHUSRUWIROLRWXUQRYHU+RZHYHUWKHUHDUH
SRUWIROLRVLQCZKLFKLVWKHXQEDODQFHGJUDSKWKHVHUHSUHVHQWRIWKHWRWDOQXPEHURISRUWIROLRVDQGVRGRHVQRW
UHSUHVHQWDQLQVLJQLILFDQWSHUFHQWDJHRISRVVLEOHSRUWIROLRVZLWKLQVWDELOLW\$VFDQEHVHHQIURP7DEOHHYHQWKRXJK
C LV WKH RQO\ XQEDODQFHG JUDSK SRUWIROLR LW GRHV QRW KDYH WKH ORZHVW RU KLJKHVW DYHUDJH PLQLPXP RU PD[LPXP
YDULDQFH &RQVHTXHQWO\ ULVN PDQDJHPHQW WKURXJK ULVN YDULDQFH  FDQ EH PLVOHDGLQJ EHFDXVH LW PD\ OHDG WR
1208 B. Vasanthi et al. / Procedia - Social and Behavioral Sciences 211 (2015) 1203 – 1209

FRQVWUXFWLQJSRUWIROLRVZLWKKLJKHUWXUQRYHUVDQGORZHUUHWXUQV
7RLQYHVWLJDWHZKHWKHUWKHFRUUHODWLRQPDSSLQJIXQFWLRQPD\SRWHQWLDOO\LQFUHDVHWKHSRVVLELOLW\RIXQEDODQFHG
JUDSKVRFFXUULQJZHFRQVWUXFWHGVLJQHGJUDSKVEDVHGRQWKHFRUUHODWLRQFRHIILFLHQWVZLWKRXWXVLQJDQ\WKUHVKROG
YDOXH VR WKDW DQ HGJH EHWZHHQ WZR DVVHWV LV HLWKHU SRVLWLYH RU QHJDWLYH GHSHQGLQJ RQ WKH VLJQ RI WKH FRUUHODWLRQ
FRHIILFLHQW,QWKLVVLWXDWLRQWKHWRWDOQXPEHURISRVVLEOHFODVVHVLVQRZUHGXFHGWRWKUHH    DQG 
 7KHFRUUHVSRQGLQJUHVXOWVDUHJLYHQLQ7DEOH

7DEOH3RUWIROLRYDULDQFHGDWDLQWKUHHFODVVHV
 
   

 C  C  C 
$9*   

0,1   

0$;   
&RXQW   


$VEHIRUHZHKDYHSRUWIROLRVLQWRWDODQGCLVVWLOOWKHRQO\XQEDODQFHGJUDSK)URP7DEOHZHVHHWKDWWKH
PDMRULW\RISRUWIROLRVDUHLQEDODQFHGJUDSKVEXWQRZWKHSHUFHQWDJHKDVVLJQLILFDQWO\UHGXFHGWRRIDOOSRUWIROLRV
1RZRISRUWIROLRVDUHLQCRUXQEDODQFHGJUDSKVKHQFHWKHSRVVLELOLW\RIFRQVWUXFWLQJSRUWIROLRVZLWKLQVWDELOLW\
LVIDUKLJKHULQ7DEOH+HQFHJUDSKEDODQFHLVDIIHFWHGE\WKHFRUUHODWLRQWKUHVKROGIXQFWLRQ
:LWKUHJDUGWRWKHLPSDFWRIULVN YDULDQFH IRU7DEOHWKHUHVXOWVDUHVRPHZKDWLQFRQFOXVLYH7KHFODVVCKDVWKH
ORZHVWDYHUDJHYDULDQFHEXWQRWWKHORZHVWPLQLPXPRUPD[LPXPYDULDQFH+RZHYHUHYHQZLWKIRFXVLQJRQULVN
PDQDJHPHQW RQH FDQ VWLOO SURGXFH SRUWIROLRV ZLWK XQEDODQFHG JUDSKV KHQFH WKLV FDQ EH PLVOHDGLQJ XQOHVV RQH
H[DPLQHVWKHVLJQHGJUDSKVWUXFWXUH

&RQFOXVLRQ

,QWKLVSDSHUZHSURSRVHDQHZPHWKRGRIGHWHUPLQLQJSRUWIROLRWXUQRYHUDSULRULWRWKHSRUWIROLRDGMXVWPHQW:H
GHPRQVWUDWH WKLV PHWKRG E\ DSSO\LQJ LW WR HPSLULFDO GDWD IURP DVVHWV RQ WKH ,QGLDQ VWRFN H[FKDQJH 2XU UHVXOWV
GHPRQVWUDWHWKDWSLFNLQJSRUWIROLRVEDVHGRQULVN YDULDQFH DORQHFDQUHVXOWLQSRUWIROLRVZLWKXQEDODQFHGRUXQVWDEOH
JUDSKV&RQVHTXHQWO\VXFKSRUWIROLRVFDQUHVXOWLQVXERSWLPDOSRUWIROLRPDQDJHPHQWGXHWRLQFXUULQJKLJKHUWUDGLQJ
FRVWVIURPEURNHUVWD[HVHWF
:HVKRZWKDWRXUPHWKRGKDVVLJQLILFDQWFRPSXWDWLRQDQGLPSOHPHQWDWLRQDGYDQWDJHV)LUVWO\IRUDQ\DVVHWVL]HG
SRUWIROLR WKH EDODQFH RI WKH SRUWIROLR FDQ EH GHWHUPLQHG E\ H[DPLQLQJ LWV VLJQHG JUDSK DQG )LJXUH  +HQFH RXU
PHWKRGLVQRWDIIHFWHGE\WKHµFXUVHRIGLPHQVLRQDOLW\¶6HFRQGO\RXUPHWKRGGRHVQRWUHO\RQDFFXUDWHHVWLPDWLRQ
DQGIRUHFDVWLQJDFFXUDF\DQGVRRXUPHWKRGLVUREXVWWRIRUHFDVWLQJDQGHVWLPDWLRQHUURUV:HKDYHDOVRVKRZQWKDW
JUDSKEDODQFHLVDOVRDIIHFWHGE\WKHFRUUHODWLRQPDSSLQJIXQFWLRQKHQFHWKLVVKRXOGEHFKRVHQZLWKFRQVLGHUDWLRQ
)XWXUHDUHDVRIUHVHDUFKZRXOGEHWRDSSO\RWKHUDUHDVRI*UDSK7KHRU\WRILQDQFHDQGWRH[SORUHRWKHUWRSLFVLQULVN
PDQDJHPHQW

5HIHUHQFHV
&RQQRU**ROGEHUJ/DQG.RUDMF]\N5  Portfolio Risk Analysis3ULQFHWRQ8QLYHUVLW\3UHVV
+DUDU\)  2QWKHQRWLRQRIEDODQFHRIDVLJQHGJUDSKMichigan Math. J., 
+DUDU\)  $VWUXFWXUDODQDO\VLVRIWKHVLWXDWLRQLQWKH0LGGOH(DVWLQThe Journal of Conflict Resolution,   
+DUDU\)  *UDSKLQJFRQIOLFWLQLQWHUQDWLRQDOUHODWLRQVThe Papers of the Peace Science Society
+DUDU\ )  /LP 0 DQG :XQVFK '&   6LJQHG JUDSKV IRU SRUWIROLR DQDO\VLV LQ ULVN PDQDJHPHQW IMA Journal of Management
Mathematics,
+HLGHU)  $WWLWXGHDQG&RJQLWLYH2UJDQL]DWLRQPsychology
 B. Vasanthi et al. / Procedia - Social and Behavioral Sciences 211 (2015) 1203 – 1209 1209

-RULRQ3  Vale at Risk, the New Benchmark for Managing Financial RiskUG(GLWLRQ1HZ<RUN0F*UDZ+LOO