We study amulti-periodmean-variance portfolio selection problemwith an uncertain time horizon and serial correlations. Firstly, we embed the nonseparablemulti-period optimization problem into a separable quadratic optimization problemwith uncertain exit time by employing the embedding technique of Li and Ng 2000 . Then we convert the later into an optimization problem with deterministic exit ti...

This paper studies the time-consistent investment strategy for a defined contribution (DC) pension plan under the mean–variance criterion. Since the time horizon of a pension fund management problem is relatively long, two background risks are taken into account: the inflation risk and the salary risk. Meanwhile, there are a risk-free asset, a stock and an inflation-indexed bond available in th...

Groundwater management in China has been facing challenges from both climate change and urbanization and is considered as a national priority nowadays. However, unprecedented uncertainty exists in future scenarios making it difficult to formulate management planning paradigms. In this paper, we apply modern portfolio theory (MPT) to formulate an optimal stage investment of groundwater contamina...

An easy-to-use procedure is presented for improving the ε-constraint method for computing the efficient frontier of the portfolio selection problem endowed with additional cardinality and semicontinuous variable constraints. The proposedmethod provides not only a numerical plotting of the frontier but also an analytical description of it, including the explicit equations of the arcs of parabola...

We present a class of partitioning scheme that we have called frontier sets. Frontier sets build on the notion of a potentially visible set (PVS) (Airey, Rohlf & Brooks, 1990) (Teller & Sequin, 1991). In a PVS, a world is sub-divided into cells and for each cell all the other cells that can be seen are computed. In contrast, a frontier set considers pairs of cells, A and B. For each pair, it li...

In current online games, player positions are synchronized by means of continual broadcasts through the server. This solution is expensive, forcing any server to limit its number of clients. With a hybrid networking architecture, player synchronization can be distributed to the clients, bypassing the server bottleneck and decreasing latency as a result. Synchronization in a decentralized fashio...

Anchor DMUs are a new class in the general classification of Decision Making Units (DMUs) in Data Envelopment Analysis (DEA). An anchor DMU in DEA is an extreme-efficient DMU that defines the transition from the efficient frontier to the free-disposability part of the boundary of the Production Possibility Set (PPS). In this paper, the anchor points of the PPS of the CCR model are investigated....