Dynamic optimal portfolio with maximum absolute deviation model

In this paper, a new dynamic portfolio selection model is established. Different from original consideration that risk is defined as the variance of terminal wealth, the total risk is defined as the average of the sum of maximum absolute deviation of all assets in all periods. At the same time, noticing that the risk during the period is so high that the investor may go bankrupt, a maximum risk level is given to control risk in every period. By introducing an auxiliary problem, the optimal strategy is deduced via the dynamic programming method.     

On the maximum modulus of integers in Kummer extensions

Acta Mathematica Hungarica - We study the extension of a result of Loxton [5] on representation of algebraic integers as sums of roots of unity to Kummer extensions.     

On the maximum deviation in random walks

We consider a random walk with drift to the left. LetM _n denote the extreme position to the right of the particle during its firstn steps. An approximate expression for the characteristic function of the distribution of this random variable is evaluated. The numerical inversion of this characteristic function is performed with the aid of the Fast Fourier Transform.     

A maximal predictability portfolio using absolute deviation reformulation

This paper shows that a large-scale maximal predictability portfolio (MPP) optimization problem can be solved within a practical amount of computational time using absolute deviation instead of squared deviation in the definition of the coefficient of determination. Also, we will show that MPP portfolio outperforms the mean-absolute deviation portfolio using real asset data in Tokyo Stock Exchange.     

Least absolute deviation estimation of autoregressive conditional duration model

This paper studies the least absolute deviation estimation of the high frequency financial autoregressive conditional duration (ACD) model. The asymptotic properties of the estimator are studied given mild regularity conditions. Furthermore, we develop a Wald test statistic for the linear restriction on the parameters. A simulation study is conducted for the finite sample properties of our estimator. Finally, we give an empirical study of financial duration.     

Dynamic portfolio optimization with risk control for absolute deviation model

In this paper, we present a new multiperiod portfolio selection with maximum absolute deviation model. The investor is assumed to seek an investment strategy to maximize his/her terminal wealth and minimize the risk. One typical feature is that the absolute deviation is employed as risk measure instead of classical mean variance method. Furthermore, risk control is considered in every period for the new model. An analytical optimal strategy is obtained in a closed form via dynamic programming method. Algorithm with some examples is also presented to illustrate the application of this model.     

The absolute maximum payoff in differential games and optimal control

This paper deals with a differential game or optimal control problem in which the payoff is the maximum (or minimum), during play, of some scalar functionK of the statex. This unconventional payoff has many practical applications. By defining certain auxiliary games for a significant class of problems, one can show how to solve the general case where more than one maximum ofk(t)=K[x(t)] occurs under optimal play. For a subclass of such problems, it is found thatclosed optimal solutions can exist on certain surfaces in the playing space. As the playing interval becomes indefinitely long, the open optimal trajectories converge to (or diverge from) such surfaces. In particular, for two-dimensional problems of this subclass, the closed optimal trajectories are periodic and called periodic barriers. They are analogous to limit cycles in uncontrolled nonlinear systems.The writer is indebted to Dr. R. Isaacs for many stimulating conversations in connection with this study.     

On characterizations of distributions by mean absolute deviation and variance bounds

In this paper we present a bound for the mean absolute deviation of an arbitrary real-valued function of a discrete random variable. Using this bound we characterize a mixture of two Waring (hence geometric) distributions by linearity of a function involved in the bound. A double Lomax distribution is characterized by linearity of the same function involved in the analogous bound for a continuous distribution. Finally, we characterize the Pearson system of distributions and the generalized hypergeometric distributions by a quadratic function involved in a similar bound for the variance of a function of a random variable.     

Distribution function of the absolute maximum of random harmonic oscillations

An analytical expression is derived for the distribution function of the absolute maximum of a Gaussian stationary process with correlation function p(t)=₁ ²+₂ ²cost t.Translated from Statisticheskie Metody Otsenivaniya i Proverki Gipotez, pp. 144–147, 1986.     

基于半参数回归模型的最小一乘局部线性算法

根据最小一乘准则,推导出最小一乘局部线性估计的计算方法,并通过对模拟数据的计算和分析,对比最小一乘核算法和最小二乘局部线性算法,验证了最小一乘局部线性算法是一种有效的,稳健的估计方法,并且有降低边界效应的作用．     

On the maximum deviation between the histogram and the underlying density

Summary The limiting joint distribution of the location and size of the maximum deviation between the historgram and the underlying density is derived. For smooth densities, the location and size of the maximum are asymptotically independent. The size has a limiting double-exponential distribution and the location has a limiting normal distribution.Research partially supported by NSF grant MCS-80-02535Research partially supported by NSF grant MCS-77-16974     

Representations of integers by linear forms in nonnegative integers

Let Ω be the set of positive integers that are omitted values of the form f = Σ_i=1ⁿa_ix_i, where the a_i are fixed and relatively prime natural numbers and the x_i are variable nonnegative integers. Set ω = #Ω and κ = max Ω + 1 (the conductor). Properties of ω and κ are studied, such as an estimate for ω (similar to one found by Brauer) and the inequality 2ω ≥ κ. The so-called Gorenstein condition is shown to be equivalent to 2ω = κ.     

PARMA模型参数最小绝对偏差(LAD)估计量的极限分布

在最优化理论基础上,采用相对较稳健的最小绝对偏差（LAD）估计方法,首先研究了周期自回归滑动平均（PARMA）模型参数估计问题,得到了PARMA模型LAD估计量的渐近分布.其次对该模型的LAD估计作了进一步的讨论,给出更一般假设条件下模型参数LAD估计量的渐近性质。     

On the use of the simplex algorithm for the absolute deviation curve fitting problem

Linear curve-fitting problems are commonly solved using a criterion which minimises the sum of the squares of deviations of observations from the line. The legitimacy of this operation relies on a number of assumptions which in practice are often left untested. Alternatively the curve-fitting exercise is justified by its computational tractibility. An alternative procedure which fits lines using a criterion of minimising the sum of the absolute deviations of observations from the line is acknowledged to have attractive properties, but is often avoided because of computational difficulties in solution. In fact this problem has long been known to be amenable to solution by linear programming, and in this paper we present some results, commentary and advice based on the use of three LP codes to solve the problem. Two of these codes are conventional implementations of the simplex method while the third is a special purpose code written for just this problem. Live data from a problem of batch manufacture was used, and the influence of data is part of the investigation. At least some of the advice is contrary to that offered by earlier authors.     

Asymptotic analysis of the flow deviation method for the maximum concurrent flow problem

We analyze the asymptotic behavior of the Flow Deviation Method, first presented in 1971 by Fratta, Gerla and Kleinrock, and show that when applied to packing linear programs such as the maximum concurrent flow problem, it yields a fully polynomial-time approximation scheme. Received: December 28, 2000 / Accepted: May 25, 2001?Published online October 2, 2001