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In recent years, the soaring prices of heritage properties in Georgetown, Penang have gained attention practitioners and investors. The claim that within core buffer zones Georgetown increased more than 300% since city was recognized as a UNESCO World Heritage site 2008. Such containing historical or art elements lead to forming diversified portfolio could exert low correlation returns with con...

In this paper, we solve a general problem of optimizing a portfolio in a futures markets framework, extending the previous work of Galluccio et al. [Physica A 259, 449 (1998)]. We allow for long buying/short selling of a relatively large number of assets, assuming a fixed level of margin requirement. Because of non-linearity in the constraint, we derive a multiple equilibrium solution, in a siz...

The fallacy that a many-period expected-utility maximizer should maximize (a) the expected logarithm of portfolio outcomes or (b) the expected average compound return of his portfolio is now understood to rest upon a fallacious use of the LawofLargc Nurtrbcrs. This paper exposes a more subtle fallacy based upon a fallacious use of the Cenfral-Limit Throrcnr. While the properly normalized produc...

In the expected mean return, standard deviation portfolio selection problem, first step is usually to derive set of efficient portfolios, which in space objective function values represented by frontier. With modern methods and software, it an easy task even for thousands assets provided that problem continuous. However, investors often introduce requirement limit number portfolios (portfolio c...

In this paper, linear Data Envelopment Analysis models are used to estimate Markowitz efficient frontier. Conventional DEA models assume non-negative values for inputs and outputs. however, variance is the only variable in these models that takes non-negative values. Therefore, negative data models which the risk of the assets had been used as an input and expected return was the output are uti...

In Valiant’s model of evolution, a class of representations is evolvable iff a polynomialtime process of random mutations guided by selection converges with high probability to a representation as -close as desired from the optimal one, for any required > 0. Several previous positive results exist that can be related to evolving a vector space, but each former result imposes restrictions either...

This paper concerns the problems of quadratic hedging and pricing, and mean-variance portfolio selection in an incomplete market setting with continuous trading, multiple assets, and Brownian information. In particular, we assume throughout that the parameters describing the market model may be random processes. We approach these problems from the perspective of linear-quadratic (LQ) optimal co...

This report outlines the development of a grid-enabled computational methodology for solving the portfolio optimization problem. Unlike the classical treatment of a set of mean-variance optimized portfolios as a deterministic efficient frontier, we adopt a novel treatment of the frontier as a distribution of points on a statistical front. This is made possible by our stochastic algorithms, spec...