A Markowitz-type portfolio selection problem is to minimize a deviation measure of portfolio rate of return subject to constraints on portfolio budget and on desired expected return. In this context, the inverse portfolio problem is finding a deviation measure by observing the optimal mean-deviation portfolio that an investor holds. Necessary and sufficient conditions for the existence of such ...

For an ordered sequence of n weights, Huuman's algorithm constructs in time and space O(n) a search tree with minimum average path length, or, which is equivalent, a minimum redundancy code. However, if an upper bound B is imposed on the length of the codewords, the best known algorithms for the construction of an optimal code have time and space complexities O(Bn 2). A new algorithm is present...

Sample average approximation (SAA) method which is also known under various names such as Monte Carlo method, sample path optimization and stochastic counterpart has recently been applied to solve stochastic programs with second order stochastic dominance (SSD) constraints. In particular, Hu et al [19] presented a detailed convergence analysis of ε-optimal values and optimal solutions of sample...

We propose an evolutionary framework for optimal portfolio growth theory in which investors subject to environmental pressures allocate their wealth between two assets. By considering both absolute wealth and relative wealth between investors, we show that different investor behaviors survive in different environments. When investors maximize their relative wealth, the Kelly criterion is optima...