The paper concerns optimal mean-variance proportional reinsurance under group correlation. In order to solve the corresponding constrained quadratic optimization problem, we make large recourse both to the smart friendly technique originally proposed by B. de Finetti in his pioneering paper and to the well known Karush-Kuhn-Tucker conditions for constrained optimization. We offer closed form re...

5 We determine the optimal dynamic investment policy for a mean quadratic variation ob6 jective function by numerical solution of a nonlinear Hamilton-Jacobi-Bellman (HJB) partial 7 differential equation (PDE). We compare the efficient frontiers and optimal investment poli8 cies for three mean variance like strategies: pre-commitment mean variance, time-consistent 9 mean variance, and mean quad...

Given a directed graph D = (N, A) and a sequence of positive integers 1 ≤ c1 < c2 < · · · < cm ≤ |N |, we consider those path and cycle polytopes that are defined as the convex hulls of simple paths and cycles of D of cardinality cp for some p ∈ {1, . . . , m}, respectively. We present integer characterizations of these polytopes by facet defining linear inequalities for which the separation pr...

Portfolio management based on mean-variance portfolio optimization is subject to different sources of uncertainty. In addition to those related to the quality of parameter estimates used in the optimization process, investors face a portfolio implementation risk. The potential temporary discrepancy between target and present portfolios, caused by trading strategies, may expose investors to unde...

This paper describes an algorithm for cardinality-constrained quadratic optimization problems, which are convex quadratic programming problems with a limit on the number of non-zeros in the optimal solution. In particular, we consider problems of subset selection in regression and portfolio selection in asset management and propose branch-and-bound based algorithms that take advantage of the sp...

the present study is an attempt toward evaluating the performance of portfolios and assets selecting using modified mean-variance models by utilizing a non-parametric efficiency analysis tool, namely data envelopment analysis (dea). huge amounts of money are being invested in financial market. as a result, portfolio performance evaluation has created a great deal of interest among people. we kn...

short-selling prohibition has been one of the primary assumptions of markowitz mean-variance model. solving markowitz quadratic model creates investment efficient frontier by considering only two return and budget constraints. in order to develop a more realistic portfolio selection model, in this paper, a new mathematical model is developed to allow short-selling under some practical constrain...

This paper presents an efficient construction of a private disjointness testing protocol that is secure against malicious provers and honest-but-curious (semi-honest) verifiers, without the use of random oracles. In a completely semi-honest setting, this construction implements a private intersection cardinality protocol. We formally define both private intersection cardinality and private disj...

Under the assumption of multivariate normality of asset returns, this paper presents a geometrical interpretation and the finite-sample distributions of the sample Hansen-Jagannathan (1991) bounds on the variance of admissible stochastic discount factors, with and without the nonnegativity constraint on the stochastic discount factors. In addition, since the sample Hansen-Jagannathan bounds can...