scholarly journals Conditions for the Existence of Absolutely Optimal Portfolios

Mathematics ◽  
2021 ◽  
Vol 9 (17) ◽  
pp. 2032
Author(s):  
Marius Rădulescu ◽  
Constanta Zoie Rădulescu ◽  
Gheorghiță Zbăganu
Keyword(s):  
Random Vector ◽  
Sufficient Conditions ◽  
Classical Case ◽  
Complete Characterization ◽  
Utility Functions ◽  
Optimal Portfolio ◽  
Optimal Portfolios ◽  
Conditional Expectations ◽  
Necessary And Sufficient ◽  
Bounded Below

Let Δn be the n-dimensional simplex, ξ = (ξ1, ξ2,…, ξn) be an n-dimensional random vector, and U be a set of utility functions. A vector x*∈ Δn is a U -absolutely optimal portfolio if EuξTx*≥EuξTx for every x ∈ Δn and u∈ U. In this paper, we investigate the following problem: For what random vectors, ξ, do U-absolutely optimal portfolios exist? If U2 is the set of concave utility functions, we find necessary and sufficient conditions on the distribution of the random vector, ξ, in order that it admits a U2-absolutely optimal portfolio. The main result is the following: If x0 is a portfolio having all its entries positive, then x0 is an absolutely optimal portfolio if and only if all the conditional expectations of ξi, given the return of portfolio x0, are the same. We prove that if ξ is bounded below then CARA-absolutely optimal portfolios are also U2-absolutely optimal portfolios. The classical case when the random vector ξ is normal is analyzed. We make a complete investigation of the simplest case of a bi-dimensional random vector ξ = (ξ1, ξ2). We give a complete characterization and we build two dimensional distributions that are absolutely continuous and admit U2-absolutely optimal portfolios.

scholarly journals Finite energy solutions to inhomogeneous nonlinear elliptic equations with sub-natural growth terms

2020 ◽  
Vol 13 (1) ◽  
pp. 53-74 ◽  
Author(s):  
Adisak Seesanea ◽  
Igor E. Verbitsky
Keyword(s):  
Sufficient Conditions ◽  
Nonlinear Elliptic Equations ◽  
Classical Case ◽  
Finite Energy ◽  
Natural Growth ◽  
Nonlinear Elliptic ◽  
Borel Measures ◽  
Inhomogeneous Problems ◽  
Necessary And Sufficient ◽  
Quasilinear Elliptic

AbstractWe obtain necessary and sufficient conditions for the existence of a positive finite energy solution to the inhomogeneous quasilinear elliptic equation-\Delta_{p}u=\sigma u^{q}+\mu\quad\text{on }\mathbb{R}^{n}in the sub-natural growth case {0<q<p-1}, where {\Delta_{p}} ({1<p<\infty}) is the p-Laplacian, and σ, μ are positive Borel measures on {\mathbb{R}^{n}}. Uniqueness of such a solution is established as well. Similar inhomogeneous problems in the sublinear case {0<q<1} are treated for the fractional Laplace operator {(-\Delta)^{\alpha}} in place of {-\Delta_{p}}, on {\mathbb{R}^{n}} for {0<\alpha<\frac{n}{2}}, and on an arbitrary domain {\Omega\subset\mathbb{R}^{n}} with positive Green’s function in the classical case {\alpha=1}.

scholarly journals Multigenerator Gabor Frames on Local Fields

2018 ◽  
Vol 33 (2) ◽  
pp. 307
Author(s):  
Owais Ahmad ◽  
Neyaz Ahmad Sheikh
Keyword(s):  
Sufficient Conditions ◽  
Complete Characterization ◽  
Necessary And Sufficient Conditions ◽  
Local Fields ◽  
Gabor Frames ◽  
Gabor System ◽  
Necessary And Sufficient

The main objective of this paper is to provide complete characterization of multigenerator Gabor frames on a periodic set $\Omega$ in $K$. In particular, we provide some necessary and sufficient conditions for the multigenerator Gabor system to be a frame for $L^2(\Omega)$. Furthermore, we establish the complete characterizations of multigenerator Parseval Gabor frames.

The algebra of differential forms on a full matric bialgebra

1993 ◽  
Vol 114 (1) ◽  
pp. 111-130 ◽  
Author(s):  
A. Sudbery
Keyword(s):  
Vector Space ◽  
Commutative Algebra ◽  
Differential Algebra ◽  
Differential Forms ◽  
Sufficient Conditions ◽  
Classical Case ◽  
Algebra Of Functions ◽  
The Matrix ◽  
Constant Coefficients ◽  
Necessary And Sufficient

AbstractWe construct a non-commutative analogue of the algebra of differential forms on the space of endomorphisms of a vector space, given a non-commutative algebra of functions and differential forms on the vector space. The construction yields a differential bialgebra which is a skew product of an algebra of functions and an algebra of differential forms with constant coefficients. We give necessary and sufficient conditions for such an algebra to exist, show that it is uniquely determined by the differential algebra on the vector space, and show that it is a non-commutative superpolynomial algebra in the matrix elements and their differentials (i.e. that it has the same dimensions of homogeneous components as in the classical case).

On *-clean group rings

2014 ◽  
Vol 14 (01) ◽  
pp. 1550004 ◽  
Author(s):  
Yuanlin Li ◽  
M. M. Parmenter ◽  
Pingzhi Yuan
Keyword(s):  
Local Ring ◽  
Prime Order ◽  
Sufficient Conditions ◽  
Complete Characterization ◽  
Group Rings ◽  
Clean Ring ◽  
Commutative Local Ring ◽  
Irreducible Factorization ◽  
Necessary And Sufficient

A ring with involution * is called *-clean if each of its elements is the sum of a unit and a projection. Clearly a *-clean ring is clean. Vaš asked whether there exists a clean ring with involution * that is not *-clean. In a recent paper, Gao, Chen and the first author investigated when a group ring RG with classical involution * is *-clean and obtained necessary and sufficient conditions for RG to be *-clean, where R is a commutative local ring and G is one of C3, C4, S3 and Q8. As a consequence, the authors provided many examples of group rings which are clean, but not *-clean. In this paper, we continue this investigation and we give a complete characterization of when the group algebra 𝔽Cp is *-clean, where 𝔽 is a field and Cp is the cyclic group of prime order p. Our main result is related closely to the irreducible factorization of a pth cyclotomic polynomial over the field 𝔽. Among other results we also obtain a complete characterization of when RCn (3 ≤ n ≤ 6) is *-clean where R is a commutative local ring.

scholarly journals An Extension of the Gerber-Bühlmann-Jewell Conditions for Optimal Risk Sharing

2004 ◽  
Vol 34 (1) ◽  
pp. 27-48 ◽  
Author(s):  
Marek Kaluszka
Keyword(s):  
Risk Sharing ◽  
Sufficient Conditions ◽  
Utility Functions ◽  
Optimal Reinsurance ◽  
Optimal Insurance ◽  
Insurance Contracts ◽  
Optimal Dividend ◽  
Sufficient Conditions For Optimality ◽  
Necessary And Sufficient ◽  
Optimal Risk Sharing

We provide necessary and sufficient conditions for optimality of mutual contracts for risk sharing under constraints on premiums or utility functions of participants of the agreement. These conditions are an extension of those of the Borch, Gerber and Bühlmann-Jewell ones. Some applications to optimal insurance contracts, optimal dividend sharing and optimal reinsurance are given.

scholarly journals Orthogonality of quasi-orthogonal polynomials

Filomat ◽  
2018 ◽  
Vol 32 (20) ◽  
pp. 6953-6977 ◽  
Author(s):  
Cleonice Bracciali ◽  
Francisco Marcellán ◽  
Serhan Varma
Keyword(s):  
Orthogonal Polynomials ◽  
Sufficient Conditions ◽  
Classical Case ◽  
Continuous Functions ◽  
Quadrature Formulas ◽  
Algebraic Polynomials ◽  
Fixed Integer ◽  
Recurrence Formulas ◽  
Polynomial Factor ◽  
Necessary And Sufficient

A result of P?lya states that every sequence of quadrature formulas Qn(f) with n nodes and positive Cotes numbers converges to the integral I(f) of a continuous function f provided Qn(f) = I(f) for a space of algebraic polynomials of certain degree that depends on n. The classical case when the algebraic degree of precision is the highest possible is well-known and the quadrature formulas are the Gaussian ones whose nodes coincide with the zeros of the corresponding orthogonal polynomials and the Cotes (Christoffel) numbers are expressed in terms of the so-called kernel polynomials. In many cases it is reasonable to relax the requirement for the highest possible degree of precision in order to gain the possibility to either approximate integrals of more specific continuous functions that contain a polynomial factor or to include additional fixed nodes. The construction of such quadrature processes is related to quasi-orthogonal polynomials. Given a sequence {Pn}n?0 of monic orthogonal polynomials and a fixed integer k, we establish necessary and sufficient conditions so that the quasi-orthogonal polynomials {Qn}n?0 defined by Qn(x) = Pn(x) + ?k-1,i=1 bi,nPn-i(x), n ? 0, with bi,n ? R, and bk-1,n ? 0 for n ? k-1, also constitute a sequence of orthogonal polynomials. Therefore we solve the inverse problem for linearly related orthogonal polynomials. The characterization turns out to be equivalent to some nice recurrence formulas for the coefficients bi,n. We employ these results to establish explicit relations between various types of quadrature rules from the above relations. A number of illustrative examples are provided.

Stability of a thermoelastic mixture with second sound

2018 ◽  
Vol 24 (6) ◽  
pp. 1692-1706 ◽  
Author(s):  
Margareth S. Alves ◽  
Marcio V. Ferreira ◽  
Jaime E. Muñoz Rivera ◽  
O. Vera Villagrán
Keyword(s):  
Initial Data ◽  
Asymptotic Properties ◽  
Sufficient Conditions ◽  
Complete Characterization ◽  
Second Sound ◽  
Dimensional Model ◽  
One Dimensional ◽  
The One ◽  
Necessary And Sufficient

We consider the one-dimensional model of a thermoelastic mixture with second sound. We give a complete characterization of the asymptotic properties of the model in terms of the coefficients of the model. We establish the necessary and sufficient conditions for the model to be exponential or polynomial stable and also the conditions for which there exist initial data for where the energy is conserved.

scholarly journals The Schur and (weak) Dunford-Pettis properties in Banach lattices

2002 ◽  
Vol 73 (2) ◽  
pp. 251-278 ◽  
Author(s):  
Anna Kamińska ◽  
Mieczysław Mastyło
Keyword(s):  
Orlicz Spaces ◽  
Sufficient Conditions ◽  
Complete Characterization ◽  
Sequence Spaces ◽  
Banach Lattices ◽  
Schur Property ◽  
Atomic Measure ◽  
Orlicz Sequence Spaces ◽  
Necessary And Sufficient

AbstractWe study the Schur and (weak) Dunford-Pettis properties in Banach lattices. We show that l1, c0 and l∞ are the only Banach symmetric sequence spaces with the weak Dunford-Pettis property. We also characterize a large class of Banach lattices without the (weak) Dunford-Pettis property. In MusielakOrlicz sequence spaces we give some necessary and sufficient conditions for the Schur property, extending the Yamamuro result. We also present a number of results on the Schur property in weighted Orlicz sequence spaces, and, in particular, we find a complete characterization of this property for weights belonging to class ∧. We also present examples of weighted Orlicz spaces with the Schur property which are not L1-spaces. Finally, as an application of the results in sequence spaces, we provide a description of the weak Dunford-Pettis and the positive Schur properties in Orlicz spaces over an infinite non-atomic measure space.

Sign in / Sign up

Export Citation Format

Share Document