In this article, some new vectorial versions of Takahashi's nonconvexminimization theorem, which involve algebraic notions instead of topological notions, are established. A nonlinear separation theorem, which ex...
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In this article, some new vectorial versions of Takahashi's nonconvexminimization theorem, which involve algebraic notions instead of topological notions, are established. A nonlinear separation theorem, which extends the result derived by Gerth and Weidner (JAMA 67:297-320, 1990) to general linear spaces (not necessarily endowed with a topology), is proved. Some examples, in order to illustrate and compare the results of this article with the corresponding known results from the literature, are provided.
In this paper, some global optimality conditions for nonconvex minimization problems subject to quadratic inequality constraints are presented. Then some sufficient and necessary global optimality conditions for nonli...
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In this paper, some global optimality conditions for nonconvex minimization problems subject to quadratic inequality constraints are presented. Then some sufficient and necessary global optimality conditions for nonlinear programming problems with box constraints are derived. We also establish a sufficient global optimality condition for a nonconvex quadratic minimizationproblem with box constraints, which is expressed in a simple way in terms of the problem's data. In addition, a sufficient and necessary global optimality condition for a class of nonconvex quadratic programming problems with box constraints is discussed. We also present some numerical examples to illustrate the significance of our optimality conditions.
The authors demonstrated in earlier papers that a maximal predictability portfolio (MPP) using a dynamic strategy leads to a significantly better ex-post performance than the one based on a static strategy and the ind...
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The authors demonstrated in earlier papers that a maximal predictability portfolio (MPP) using a dynamic strategy leads to a significantly better ex-post performance than the one based on a static strategy and the index. In this paper, we will consider a maximal predictability portfolio subject to transaction cost. To reduce transaction cost, we employ turnover constraint. It will be shown that this approach leads to a significantly better performance than the standard MPP and the index.
We will show that the objective function of a constrained least square problem for estimating the term structure of the interest rates discussed in [4] is in fact convex in the feasible region defined by a set of line...
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In this paper, we will propose a practical method for improving the performance of a maximal predictability portfolio (MPP) model proposed by Lo and MacKinlay and later extended by the authors. We will employ an alter...
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In this paper, we will propose a practical method for improving the performance of a maximal predictability portfolio (MPP) model proposed by Lo and MacKinlay and later extended by the authors. We will employ an alternative version of MPP using absolute deviation instead of variance as a measure of fitting and apply a dynamic strategy for choosing the set of factors which fits best to the market data. It will be shown that this approach leads to a significantly better performance than the standard MPP and the index.
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