In this paper, a pair of second-order multiobjective mixed symmetric dual programs over arbitrary cones is formulated. The usual duality results are then established for the aforementioned pair using the notion of eta...
详细信息
In this paper, a pair of second-order multiobjective mixed symmetric dual programs over arbitrary cones is formulated. The usual duality results are then established for the aforementioned pair using the notion of eta-bonvexity/eta-pseudobonvexity assumptions. (C) 2011 Elsevier Ltd. All rights reserved.
The present paper considers variational inequalities with cone and operator constraints. The characterization of solutions is given. An algorithm for numerical solution of the problem is proposed, and the convergence ...
详细信息
The present paper considers variational inequalities with cone and operator constraints. The characterization of solutions is given. An algorithm for numerical solution of the problem is proposed, and the convergence of the generated sequence of points is proved.
Two pairs of non-differentiable multiobjective symmetric dual problems with cone constraints over arbitrary cones, which are Wolfe type and Mond-Weir type, are considered. On the basis of weak efficiency with respect ...
详细信息
Two pairs of non-differentiable multiobjective symmetric dual problems with cone constraints over arbitrary cones, which are Wolfe type and Mond-Weir type, are considered. On the basis of weak efficiency with respect to a convex cone, we obtain symmetric duality results for the two pairs of problems under cone-invexity and cone-pseudoinvexity assumptions on the involved functions. Our results extend the results in Khurana [S. Khurana, Symmetric duality in multiobjective programming involving generalized cone-invex functions, European Journal of Operational Research 165 (2005) 592-597] to the non-differentiable multiobjective symmetric dual problem. (C) 2007 Elsevier B.V. All rights reserved.
In this paper we study uniqueness of Lagrange multipliers in optimization problems subject to cone constraints. The main tool in our investigation of this question will be a calculus of dual (polar) cones. We give suf...
详细信息
In this paper we study uniqueness of Lagrange multipliers in optimization problems subject to cone constraints. The main tool in our investigation of this question will be a calculus of dual (polar) cones. We give sufficient and in some cases necessary conditions for uniqueness of Lagrange multipliers in general Banach spaces. General results are then applied to two particular examples of the semidefinite and semi-infinite programming problems, respectively.
The Dalang-Morton-Willinger theorem [Stochastics Stochastic Rep. 29 (1990) 185] asserts, for a discrete-time perfect market model, that there is no arbitrage if and only if the discounted price process is a martingale...
详细信息
The Dalang-Morton-Willinger theorem [Stochastics Stochastic Rep. 29 (1990) 185] asserts, for a discrete-time perfect market model, that there is no arbitrage if and only if the discounted price process is a martingale with respect to an equivalent probability measure. The financial market is supposed to be perfect in the sense that there is no transaction cost, no imperfection on the numeraire, no short sale constraint, no constraint on the amounts invested, etc. In this note, we explore the same issue in the presence of such imperfections, more precisely, in the presence of polyhedral convex cone constraints. We first obtain a generalization of the Dalang-Morton-Willinger theorem [Stochastics Stochastic Rep. 29 (1990) 185]: we prove that under polyhedral convex cone constraints, absence of arbitrage is equivalent to the existence of a discount process such that, taking this process as a deflator, the net present value of any available investment opportunity is nonpositive. We then apply this general result to specific market imperfections fitting in the convex cone framework, like short sale constraints, solvability constraints, constraints on the quantities, amounts or proportions invested. We improve a result of Pham-Touzi [J. Math. Econ. 31 (2) (1999) 265]. We show that our model enables to deal with financial markets with possible imperfections on the numeraire (like different borrowing and lending rates, or more general convex cone constraints involving the numeraire). (C) 2002 Elsevier Science B.V. All rights reserved.
We discuss in this paper Scheffe's method for constructing simultaneous confidence intervals which hold for all linear combinations of the parameters subject to the weight vector being restricted to a convex cone....
详细信息
We discuss in this paper Scheffe's method for constructing simultaneous confidence intervals which hold for all linear combinations of the parameters subject to the weight vector being restricted to a convex cone. (C) 2003 Elsevier B.V. All rights reserved.
In this paper, a pair of Mond-Weir type higher order fractional symmetric dual program over cone constraints is formulated. Under higher order invexity assumptions, we prove weak, strong and strict duality theorems. M...
详细信息
The prime objective of our discussions moves around the higher order variational symmetric dual pairs for which constraints are defined over cones and to explore relevant duality relations for the constructed duals. M...
详细信息
The prime objective of our discussions moves around the higher order variational symmetric dual pairs for which constraints are defined over cones and to explore relevant duality relations for the constructed duals. Making use of higher order eta-invexity, we derive appropriate duality results and validate the obtained results with the help of numerical examples. Further, we discuss the static case of the considered dual problems.
We analyze a strategy that minimizes the cost of hedging a liability stream in infinite-horizon incomplete security markets with a type of constraint that feasible portfolios form a polyhedral cone. Using an extended ...
详细信息
We analyze a strategy that minimizes the cost of hedging a liability stream in infinite-horizon incomplete security markets with a type of constraint that feasible portfolios form a polyhedral cone. Using an extended Stiemke lemma to construct a series of one-period linear programs and their dual problems, and applying linear programming duality theory to each primal-dual pair and dynamic programming technique on the dual formulation, we show that the infinite-horizon dynamic hedging problem can be solved by solving these mutually independent one-period primal linear programs. Independence implies that solutions to these single-period linear programs can be obtained separately, yet function together as a whole in forming an optimal portfolio strategy to solve the infinite-horizon dynamic hedging problem. (C) 2002 Elsevier Science B.V. All rights reserved.
We address a constrained utility maximization problem in an incomplete market for a utility function defined on the whole real line. We extend current research in two directions, firstly we allow for constraints cn th...
详细信息
We address a constrained utility maximization problem in an incomplete market for a utility function defined on the whole real line. We extend current research in two directions, firstly we allow for constraints cn the portfolio process. Secondly we prove our results without relying on the technique of quadratic inf convolution, simplifying the proofs in this area. (C) 2008 Elsevier B.V. All rights reserved.
暂无评论