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On the Equivalence of Quadratic Optimization Problems Commonly Used in Portfolio Theory
investment analysis mean-variance analysis parameter uncertainty interval estimation test theory.
2012/9/14
In the paper, we consider three quadratic optimization problems which are frequently applied in portfolio theory, i.e, the Markowitz mean-variance problem as well as the problems based on the mean-var...
Belief Propagation Algorithm for Portfolio Optimization Problems
Belief Propagation Algorithm Portfolio Optimization Problems
2010/10/21
The typical behavior of optimal solutions to portfolio optimization problems with absolute deviation and expected shortfall models using replica analysis was pioneeringly estimated by S. Ciliberti and...
Transversality Conditions for Higher Order Infinite Horizon Discrete Time Optimization Problems
Transversality condition Dynamic optimization
2010/10/20
In this paper, we examine higher order difference problems. Using the "squeezing" argument, we derive both Euler's condition and the transversality condition. In order to derive the two conditions, tw...
Making Robust Decisions in Discrete Optimization Problems as a Game against Nature
Discrete optimization minmax minmax regret game against nature
2009/7/17
In this paper a discrete optimization problem under uncertainty is discussed. Solving such a problem can be seen as a game against nature. In order to choose a solution, the minmax and minmax regret ...
Limit of the Solutions for the Finite Horizon Problems as the Optimal Solution to the Infinite Horizon Optimization Problems
Limit Solutions Finite Horizon Problems Optimal Solution Infinite Horizon Optimization Problems
2010/12/17
We aim to generalize the results of Cai and Nitta (2007) by allowing both the utility and production function to depend on time. We also consider an additional intertemporal optimality criterion. We ...
Constructing the Optimal Solutions to the Undiscounted Continuous-Time Infinite Horizon Optimization Problems
Constructing Optimal Solutions Undiscounted Continuous-Time Infinite Horizon Optimization Problems
2010/12/17
We aim to construct the optimal solutions to the undiscounted continuous-time infinite horizon optimization problems, the objective functionals of which may be unbounded. We identify the condition un...