The mean‐variance formulation by Markowitz in the 1950s paved a foundation for modern portfolio selection analysis single period. This paper considers an analytical optimal solution to multiperiod selection. Specifically, policy and expression of efficient frontier are derived this formulation. An algorithm is also proposed finding maximize utility function expected value variance terminal wealth.

The convergence of the iterative identification algorithm for Hammerstein system has been an open problem a long time. In this paper, detailed study is carried out and various properties are derived. It shown that with normalization convergent in general. Moreover, it takes place one step (two least squares iterations) finite-impulse response models i.i.d. inputs.

The pioneering work of the mean–variance formulation proposed by Markowitz in 1950s has provided a scientific foundation for modern portfolio selection. Although trade practice often confines selection with certain discrete features, existing theory and solution methodologies have been primarily developed continuous policy that could be far away from real integer optimum. We consider this paper an exact algorithm obtaining optimal lot to cardinality constrained under concave transaction...

As the dynamic mean‐variance portfolio selection formulation does not satisfy principle of optimality programming, phenomena time inconsistency occur, i.e., investors may have incentives to deviate from precommitted optimal policy during investment process under certain circumstances. By introducing concept in efficiency and defining induced trade‐off, we further demonstrate this paper that behave irrationally when their wealth is above threshold process. relaxing self‐financing restriction...

One long-standing challenge in both the optimization and investment communities is to devise an efficient algorithm select a small number of assets from asset pool such that portfolio objective optimized. This cardinality constrained situation naturally arises due presence various forms market friction, as transaction costs management fees, or even consideration mental cost. Unfortunately, combinatorial nature selection problem formulation makes exact solution process NP-hard general. We...

Numerical experiments have indicated that the reweighted $\ell_1$-minimization performs exceptionally well in locating sparse solutions of underdetermined linear systems equations. We show $\ell_1$-methods are intrinsically associated with minimization so-called merit functions for sparsity, which essentially concave approximations to cardinality function. Based on this observation, we further a family $\ell_1$-algorithms can be systematically derived from perspective optimization through...

For an investor to claim his wealth resulted from multiperiod portfolio policy, he has sustain a possibility of bankruptcy before reaching the end investment horizon. Risk control over is thus indispensable ingredient optimal dynamic selection. We propose in this note generalized mean-variance model via which policy can be generated help investors not only achieve return sense tradeoff, but also have good risk bankruptcy. One key difficulty solving proposed nonseparability associated...

The newsvendor problem is a fundamental building block for inventory management with stochastic demand. classical focuses on sole objective of either minimizing the expected cost or maximizing profit. However, performance measure value alone insufficient, and it ignores risk preferences decision makers. As result, we carry out mean-variance analysis problem. We construct analytical models reveal problem's structural properties. propose solution schemes which help to identify optimal...

We consider in this paper quadratic programming problems with cardinality and minimum threshold constraints that arise naturally various real-world applications such as portfolio selection subset regression. This class of can be formulated mixed-integer 0-1 programs. propose a new semidefinite program (SDP) approach for computing the “best” diagonal decomposition gives tightest continuous relaxation perspective reformulation problem. also give an alternative way deriving by applying special...

It is vital to recycle precious metals effectively such as silver from waste sources because of limited natural reserves. Herein, passion fruit (Passiflora edulisSims) shell-derived S-doped porous carbons (SPCs) were newly synthesized by hydrothermal carbonization and following with activation KOH/(NH4)2SO4, the adsorption Ag+ on SPC under acidic solutions was investigated. found that activator (NH4)2SO4 can not only introduce doping S elements but also increase proportion mesopores in...

We prove sufficient conditions for the monotonicity and strong of fixed point normal maps associated with variational inequality problems over a general closed convex set. Sufficient their perturbed versions are also shown. These results include some well known in literature as particular instances. Inspired by these results, we propose modified Solodov Svaiter iterative algorithm problem whose map or is monotone.