A multi-objective evolutionary optimization approach for an integrated location-inventory distribution network problem under vendor-managed inventory systems

This paper develops a λ mean-hybrid entropy model to deal with portfolio selection problem with both random uncertainty and fuzzy uncertainty. Solving this model provides the investor a tradeoff frontier between security return and risk. We model the security return as a triangular fuzzy random variable, where the investor’s individual preference is reflected by the pessimistic-optimistic parameter λ. We measure the security risk using the hybrid entropy in this model. Algorithm is developed to solve this bi-objective portfolio selection model. Beside, a numerical example is also presented to illustrate this approach.     

Dominated estimates of convex combinations of commuting isometries

The principal result of this paper is that the convex combination of two positive, invertible, commuting isometries ofL _p(X,F, μ) 1<p<+∞, one of which is periodic, admits a dominated estimate with constantp/p−1. In establishing this, the following analogue of Linderholm’s theorem is obtained: Let σ and ε be two commuting non-singular point transformations of a Lebesgue Space with τ periodic. Then given ε>O, there exists a periodic non-singular point transformation σ′ such that σ′ commutes with τ and μ(x:σ′x≠σx}<ε. Byan approximation argument, the principal result is applied to the convex combination of two isometries ofL _p (0, 1) induced by point transformations of the form τx=x ^k,k>0 to show that such convex combinations admit a dominated estimate with constantp/p−1. Research supported in part by NSF Grant No. GP-7475. A portion of the contents of this paper is based on the author’s doctoral dissertation written under the direction of Professor R. V. Chacon of the University of Minnesota.     

Markov processes associated with L p -resolvents and applications to stochastic differential equations on Hilbert space

We give general conditions on a generator of a C₀-semigroup (resp. of a C₀-resolvent) on L^p(E,μ), p ≥ 1, where E is an arbitrary (Lusin) topological space and μ a σ-finite measure on its Borel σ-algebra, so that it generates a sufficiently regular Markov process on E. We present a general method how these conditions can be checked in many situations. Applications to solve stochastic differential equations on Hilbert space in the sense of a martingale problem are given. Dedicated to Giuseppe Da Prato on the occasion of his 70th birthday     

A note on quantum products of Schubert classes in a Grassmannian

Given two Schubert classes σ_λ and σ_μ in the quantum cohomology of a Grassmannian, we construct a partition ν, depending on λ and μ, such that σ_ν appears with coefficient 1 in the lowest (or highest) degree part of the quantum product σ_λ⋆σ_μ. To do this, we show that for any two partitions λ and μ, contained in a k × (n − k) rectangle and such that the 180^∘-rotation of one does not overlap the other, there is a third partition ν, also contained in the rectangle, such that the Littlewood-Richardson number c _λμ ^ν is 1.     

Sampling theorem of Hermite type and aliasing error on the Sobolev class of functions

Denote by B _2σ,p (1 < p < ∞) the bandlimited class p-integrable functions whose Fourier transform is supported in the interval [−σ, σ]. It is shown that a function in B _2σ,p can be reconstructed in L _p(ℝ) by its sampling sequences {f (κπ / σ)} _κ∈ℤ and {f’ (κπ / σ)} _κ∈ℤ using the Hermite cardinal interpolation. Moreover, it will be shown that if f belongs to L _p ^r (ℝ), 1 < p < ∞, then the exact order of its aliasing error can be determined. Project supported by the Scientific Research Common Program of Beijing Municipal Commission of Education under grant number KM 200410009010 and by the Natural Science Foundation of China under grant number 10071006     

Symmetry of the point spectrum of infinite dimensional hamiltonian operators and its applications

This paper studies the symmetry, with respect to the real axis, of the point spectrum of the upper triangular infinite dimensional Hamiltonian operator H. Note that the point spectrum of H can be described as σp(H) = σp(A) ∪σp1(-A*). Using the characteristic of the set σp1(-A*), we divide the point spectrum σp(A) of A into three disjoint parts. Then, a necessary and sufficient condition is obtained under which σp1(-A*) and one part of σp(A) are symmetric with respect to the real axis each other. Based on this result, the symmetry of σp(H) is completely given. Moreover, the above result is applied to thin plates on elastic foundation, plane elasticity problems and harmonic equations.     

A new class of unbalanced haar wavelets that form an unconditional basis for Lp on general measure spaces

Given a complete separable σ-finite measure space (X,Σ, μ) and nested partitions of X, we construct unbalanced Haar-like wavelets on X that form an unconditional basis for L_p (X,Σ, μ) where1<p<∞. Our construction and proofs build upon ideas of Burkholder and Mitrea. We show that if(X,Σ, μ) is not purely atomic, then the unconditional basis constant of our basis is (max(p, q) −1). We derive a fast algorithm to compute the coefficients.     

On the Lower Tail Probabilities of Some Random Sequences in <Emphasis Type="Italic">l</Emphasis><Subscript><Emphasis Type="Italic">p</Emphasis></Subscript>

We investigate the behaviour of the logarithmic small deviation probability of a sequence (σ _n θ _n ) in l _p , 0<p≤∞, where (θ _n ) are i.i.d. random variables and (σ _n ) is a decreasing sequence of positive numbers. In particular, the example σ _n ∼n ^−μ (1+log n)^−ν is studied thoroughly. Contrary to the existing results in the literature, the rate function and the small deviation constant are expressed expli- citly in the present treatment. The restrictions on the distribution of θ ₁ are kept to an absolute minimum. In particular, the usual variance assumption is removed. As an example, the results are applied to stable and Gamma-distributed random variables.     

On the most powerful quantile test of the scale parameter

Summary The most powerful test of the null hypothesisH ₀:σ=σ ₀ versus the alternative hypothesisH ₁:σ=σ ₁ based on a few selected sample quantiles is proposed here where σ is the scale parameter of the distribution and the location parameter μ is known. The quantiles are chosen from a large sample that is either complete or censored (singly-censored or doubly-censored). The relationship between the proposed test and the asymptotically best linear unbiased estimate (ABLUE) of the scale parameter is discussed.     

An improved estimation to make Markowitz’s portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment

Using the Markowitz mean–variance portfolio optimization theory, researchers have shown that the traditional estimated return greatly overestimates the theoretical optimal return, especially when the dimension to sample size ratio p/n is large. Bai et al. (2009) propose a bootstrap-corrected estimator to correct the overestimation, but there is no closed form for their estimator. To circumvent this limitation, this paper derives explicit formulas for the estimator of the optimal portfolio return. We also prove that our proposed closed-form return estimator is consistent when n → ∞ and p/n → y ∈ (0, 1). Our simulation results show that our proposed estimators dramatically outperform traditional estimators for both the optimal return and its corresponding allocation under different values of p/n ratios and different inter-asset correlations ρ, especially when p/n is close to 1. We also find that our proposed estimators perform better than the bootstrap-corrected estimators for both the optimal return and its corresponding allocation. Another advantage of our improved estimation of returns is that we can also obtain an explicit formula for the standard deviation of the improved return estimate and it is smaller than that of the traditional estimate, especially when p/n is large. In addition, we illustrate the applicability of our proposed estimate on the US stock market investment.     

Representation ofL p-norms and isometric embedding inL p-spaces

For fixed 1≦p<∞ theL _p-semi-norms onR ⁿ are identified with positive linear functionals on the closed linear subspace ofC(R ⁿ ) spanned by the functions |<ξ, ·>| ^p , ξ∈R ⁿ . For every positive linear functional σ, on that space, the function Φ_σ:R ⁿ →R given by Φ_σ is anL _p-semi-norm and the mapping σ→Φ_σ is 1-1 and onto. The closed linear span of |<ξ, ·>| ^p , ξ∈R ⁿ is the space of all even continuous functions that are homogeneous of degreep, ifp is not an even integer and is the space of all homogeneous polynomials of degreep whenp is an even integer. This representation is used to prove that there is no finite list of norm inequalities that characterizes linear isometric embeddability, in anyL _p unlessp=2. Supported by the National Science Foundation MCS-79-06634 at U.C. Berkeley.     

A functional characterization of certain mixed volumes

A function over the convex coneK{inn}, of convex bodiesK in Euclideann-space (where addition is vector addition, positive scalar multiplication is dilatation), which is linear overK{inn}, increasing with respect to set inclusion, and zero at point bodies must be a mixed volumeV(K; đ, p−1;σ ₁, …,σ _n−p). Heređ, takenp−1 times, is inK{inn} andσ ₁, …,σ _n−pare pairwise orthogonal unit segments spanning the orthogonal complement of the affine hull ofđ.     

Joint ergodicity and mixing

The study of jointly ergodic measure preserving transformations of probability spaces, begun in [1], is continued, and notions of joint weak and strong mixing are introduced. Various properties of ergodic and mixing transformations are shown to admit analogues for several transformations. The case of endomorphisms of compact abelian groups is particularly emphasized. The main result is that, given such commuting endomorphisms σ₁σ₂,...,σ, ofG, the sequence ((1/N)Σ _n=0 ^N−1 σ ₁ ⁿ f ¹·σ ₂ ⁿ f ²· ··· · σ _s ⁿ f ^sconverges inL ²(G) for everyf ₁,f ₂,…,f _s∈L ^∞(G). If, moreover, the endomorphisms are jointly ergodic, i.e., if the limit of any sequence as above is Π _i=1 ^s ∫ _G f ₁ d μ, where μ is the Haar measure, then the convergence holds also μ-a.e.     

Theorems for generalized Favard-Kantorovich and Favard-Durrmeyer operators in exponential function spaces

We consider the Kantorovich and the Durrmeyer type modifications of the generalized Favard operators and we prove some direct approximation theorems for functions f such that w _σ f ∈ L _p (R), where 1 ≤ p ≤ ∞ and w _σ (x) = exp(−σx ²), σ > 0.     

Composition of an efficient portfolio in the Bielecki and Pliska market model

We study the continuous time portfolio optimization model due to Bielecki and Pliska where the mean returns of individual securities or asset categories are explicitly affected by underlying economic factors. We introduce the functional Q _γ featuring the expected earnings yield of portfolio minus a penalty term proportional with a coefficient γ to the variance when we keep the value of the factor levels fixed. The coefficient γ plays the role of a risk-aversion parameter. We find the optimal trading positions that can be obtained as the solution to a maximization problem for Q _γ at any moment of time. The single-factor case is analyzed in more details. We present a simple asset allocation example featuring a Vasicek-type interest rate which affects a stock index and also serves as a second investment opportunity. Then we compare our results with the theory of Bielecki and Pliska where the authors employ the methods of the risk-sensitive control theory thereby using an infinite horizon objective featuring the long run expected growth rate, the asymptotic variance, and a risk-aversion parameter similar to γ.     

Any two irreducible Markov chains of equal entropy are finitarily Kakutani equivalent

We show here that any two finite state irreducible Markov chains of the same entropy are finitarily Kakutani equivalent. By this we mean they are orbit equivalent by an invertible measure preserving mapping that is almost continuous and monotone in time when restricted to some cylinder set. Smorodinsky and Keane have shown that any two irreducible Markov chains of equal entropy and period are finitarily isomorphic. Hence, all that is necessary to obtain our result is to show that for every entropy h > 0 and period p ∈ ℕ there exists two irreducible Markov chains σ ₁, σ ₂ both of entropy h, where (1) σ ₁ is mixing (2) ς ₂ has period p and (3) σ1 and σ ₂ are finitarily Kakutani equivalent.     

Asymmetric risk measures and tracking models for portfolio optimization under uncertainty

Traditional asset allocation of the Markowitz type defines risk to be the variance of the return, contradicting the common-sense intuition that higher returns should be preferred to lower. An argument of Levy and Markowitz justifies the mean/variance selection criteria by deriving it from a local quadratic approximation to utility functions. We extend the Levy-Markowitz argument to account for asymmetric risk by basing the local approximation onpiecewise linear-quadratic risk measures, which can be tuned to express a wide range of preferences and adjusted to reject outliers in the data. The implications of this argument lead us to reject the commonly proposed asymmetric alternatives, the mean/lower partial moment efficient frontiers, in favor of the risk tolerance frontier. An alternative model that allows for asymmetry is the tracking model, where a portfolio is sought to reproduce a (possibly) asymmetric distribution at lowest cost.     

Saturation classes for a sequence of convolution operators with limited oscillation

Saturation classes for the sequenceK _n (f, x) = ∫f(x −t)dμ _n (t) of linear operators whereK _n(f, x) is of the limited oscillation type, that is,μ _n (t) is monotonic fort ≠ [−Aσ _n ,Aσ _n ],σ _n =o(1),n → ∞ and ∫t ^2m dμ _n (t), are obtained. Examples of applications to some sequences of non-positive operators are given.     

A minimax theorem for irreducible compact operators inL p-spaces

Let (X, Σ, μ) be a σ-finite measure space,T a compact irreducible (positive, linear) operator onL ^p (μ) (1≦p<+∞). It is shown that the spectral radiusr ofT is characterized by the minimax property {fx196-1} where ∑₀ denotes the ring of sets of finite measure and whereQ denotes the set of all, almost everywhere positive functions inL ^p. Moreover, ifr>0 then equality on either side is assumed ifff is the (essentially unique) positive eigenfunction ofT. Various refinements are given in terms of corresponding relations for irreducible finite rank operators approximatingT. Dedicated to H. G. Tillmann on his 60th birthday