Improvement of the Inside-Outside Duality Method

2017 ◽  
pp. 149-159 ◽  
Author(s):  
A. Kleefeld ◽  
E. Reichwein
Keyword(s):  
Duality Method

scholarly journals Portfolio Optimization with Asset-Liability Ratio Regulation Constraints

Complexity ◽  
2020 ◽  
Vol 2020 ◽  
pp. 1-13
Author(s):  
De-Lei Sheng ◽  
Peilong Shen
Keyword(s):  
High Speed ◽  
Asset Price ◽  
Investment Strategy ◽  
Minimum Variance ◽  
Control Technique ◽  
Duality Method ◽  
Lagrange Duality ◽  
Short Period ◽  
High Investment ◽  
Hamilton Jacobi Bellman

This paper considers both a top regulation bound and a bottom regulation bound imposed on the asset-liability ratio at the regulatory time T to reduce risks of abnormal high-speed growth of asset price within a short period of time (or high investment leverage), and to mitigate risks of low assets’ return (or a sharp fall). Applying the stochastic optimal control technique, a Hamilton–Jacobi–Bellman (HJB) equation is derived. Then, the effective investment strategy and the minimum variance are obtained explicitly by using the Lagrange duality method. Moreover, some numerical examples are provided to verify the effectiveness of our results.

Improved phase-attenuation duality method with space-frequency joint domain iterative regularization

2018 ◽  
Vol 45 (8) ◽  
pp. 3681-3696 ◽  
Author(s):  
Zhongxing Zhou ◽  
Lin Zhang ◽  
Baikuan Guo ◽  
Wenjuan Ma ◽  
Limin Zhang ◽  
...  
Keyword(s):  
Iterative Regularization ◽  
Duality Method ◽  
Space Frequency

SCALAR CONSERVATION LAWS ON A HALF-LINE: A PARABOLIC APPROACH

2010 ◽  
Vol 07 (01) ◽  
pp. 165-189 ◽  
Author(s):  
MIRIAM BANK ◽  
MATANIA BEN-ARTZI
Keyword(s):  
Boundary Value Problem ◽  
Initial Boundary ◽  
Initial Boundary Value Problem ◽  
Scalar Conservation Laws ◽  
Duality Method ◽  
Scalar Conservation Law ◽  
Classical Duality ◽  
Scalar Conservation ◽  
Initial Boundary Value ◽  
Unique Limit

The initial-boundary value problem for the (viscous) nonlinear scalar conservation law is considered, [Formula: see text] The flux f(ξ) ∈ C2(ℝ) is assumed to be convex (but not strictly convex, i.e. f″(ξ)≥ 0). It is shown that a unique limit u = lim ∊ → 0 u∊ exists. The classical duality method is used to prove uniqueness. To this end parabolic estimates for both the direct and dual solutions are obtained. In particular, no use is made of the Kružkov entropy considerations.

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