A parametric characterization of mean-variance efficient solutions for general feasible action sets

1998 ◽  
Vol 7 (2) ◽  
pp. 109-119
Author(s):  
D. J. White
Keyword(s):  
Efficient Solutions ◽  
Mean Variance ◽  
Feasible Action

Characterization of stochastic equilibrium controls by the Malliavin calculus

2021 ◽  
pp. 2150054
Author(s):  
Jiang Yu Nguwi ◽  
Nicolas Privault
Keyword(s):  
Malliavin Calculus ◽  
Linear Quadratic ◽  
Merton Problem ◽  
Classical Duality ◽  
The Mean ◽  
Time Inconsistent ◽  
Necessary And Sufficient ◽  
Mean Variance ◽  
Quadratic Case

We derive a characterization of equilibrium controls in continuous-time, time-inconsistent control (TIC) problems using the Malliavin calculus. For this, the classical duality analysis of adjoint BSDEs is replaced with the Malliavin integration by parts. This results into a necessary and sufficient maximum principle which is applied to a linear-quadratic TIC problem, recovering previous results obtained by duality analysis in the mean-variance case, and extending them to the linear-quadratic setting. We also show that our results apply beyond the linear-quadratic case by treating the generalized Merton problem.

Characterization of efficient frontier for mean–variance model with a drawdown constraint

2013 ◽  
Vol 220 ◽  
pp. 770-782 ◽  
Author(s):  
Haixiang Yao ◽  
Yongzeng Lai ◽  
Qinghua Ma ◽  
Huabao Zheng
Keyword(s):  
Efficient Frontier ◽  
Variance Model ◽  
Drawdown Constraint ◽  
Mean Variance

scholarly journals Spatiotemporal characterization of Ensemble Prediction Systems – the Mean-Variance of Logarithms (MVL) diagram

2008 ◽  
Vol 15 (1) ◽  
pp. 109-114 ◽  
Author(s):  
J. M. Gutiérrez ◽  
C. Primo ◽  
M. A. Rodríguez ◽  
J. Fernández
Keyword(s):  
Weather Prediction ◽  
The Other ◽  
Ensemble Prediction ◽  
Spatiotemporal Evolution ◽  
Novel Approach ◽  
The Mean ◽  
The Ensemble Method ◽  
Prediction Systems ◽  
Mean Variance

Abstract. We present a novel approach to characterize and graphically represent the spatiotemporal evolution of ensembles using a simple diagram. To this aim we analyze the fluctuations obtained as differences between each member of the ensemble and the control. The lognormal character of these fluctuations suggests a characterization in terms of the first two moments of the logarithmic transformed values. On one hand, the mean is associated with the exponential growth in time. On the other hand, the variance accounts for the spatial correlation and localization of fluctuations. In this paper we introduce the MVL (Mean-Variance of Logarithms) diagram to intuitively represent the interplay and evolution of these two quantities. We show that this diagram uncovers useful information about the spatiotemporal dynamics of the ensemble. Some universal features of the diagram are also described, associated either with the nonlinear system or with the ensemble method and illustrated using both toy models and numerical weather prediction systems.

Connectedness of the sets of weak efficient solutions for generalized vector equilibrium problems

2012 ◽  
Vol 62 (1) ◽  
Author(s):  
Qing-You Liu ◽  
Xian-Jun Long ◽  
Nan-jing Huang
Keyword(s):  
Equilibrium Problem ◽  
Equilibrium Problems ◽  
Efficient Solutions ◽  
Vector Equilibrium Problem ◽  
Vector Equilibrium Problems ◽  
Generalized Vector Equilibrium Problem ◽  
Generalized Vector Equilibrium Problems ◽  
Vector Equilibrium ◽  
Locally Convex

AbstractIn this paper, a generalized vector equilibrium problem is introduced and studied. A scalar characterization of weak efficient solutions for the generalized vector equilibrium problem is obtained. By using the scalarization result, the existence of the weak efficient solutions and the connectedness of the set of weak efficient solutions for the generalized vector equilibrium problem are proved in locally convex spaces.

A saddle point characterization of efficient solutions for interval optimization problems

2017 ◽  
Vol 58 (1-2) ◽  
pp. 193-217 ◽  
Author(s):  
Debdulal Ghosh ◽  
Debdas Ghosh ◽  
Sushil Kumar Bhuiya ◽  
Lakshmi Kanta Patra
Keyword(s):  
Saddle Point ◽  
Optimization Problems ◽  
Efficient Solutions ◽  
Interval Optimization
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