A note on constant proportion trading strategies

We consider constant proportion (CP) trading strategies when there are multiple underlying securities and use a recently derived expression for the terminal wealth of a CP strategy to address two issues. First, we characterize the performance of a CP strategy relative to the performance of the corresponding buy-and-hold strategy. We then explain the performance of leveraged ETFs which have been criticized for not performing as expected, particularly during the financial crisis of 2008.     

A note on a dirichlet problem with concave-convex nonlinearity

We prove an existence principle that would apply for elliptic problems with nonlinearity separating into a difference of derivatives of two convex functions in the case when the growth conditions are imposed only on the minuend term. We present abstract result and its application. We modify the so called dual variational method.     

A note on convergence of an approximate hedging portfolio with liquidity risk

When the underlying asset price depends on activities of traders, hedging errors include costs due to the illiquidity of the underlying asset and the size of this cost can be substantial. Cetin et al. (2004), Liquidity risk and arbitrage pricing theory, Finance and Stochastics, 8(3), 311-341, proposed a hedging strategy that approximates the classical Black–Scholes hedging strategy and produces zero liquidity costs. Here, we compute the rate of convergence of the final value of this hedging portfolio to the option payoff in case of a European call option; i.e. we see how fast its hedging error converges to zero. The hedging strategy studied here is meaningful due to its simple liquidity cost structure and its smoothness relative to the classical Black–Scholes delta.     

A note on a problem of Brocard-Ramanujan

The Brocard-Ramanujan problem pertains to the Diophantine equation n!+1=m ². Using the quadratic reciprocity law, we prove the existence of many infinite families of positive integers n such that n!+1 is not a perfect square, and we give several simple criteria for n!+1 to be a non-square.      

A note on a journal selection problem

This note explores the convergence properties of certain sequences of conditional probabilities arising in a journal selection problem, where the probabilities of interest are decreasing in either a deterministic or stochastic fashion. We prove the convergence to a nonextreme value of the probability of an eventual event for any choice of problem parameters within the open unit interval. Computational results illustrate the convergence properties.     

A note on a problem of Apollonius

Degenerate cases of the problem of Apollonius, to construct a circle tangent to each of three given circles, are discussed and exhaustively classified for proper circles (finite and non-zero radius). Singular cases are considered, and an outline of the extension of the problem to higher dimensions given. Amusing alternative interpretations of the results are obtained.     

A note on a nonlinear eigenvalue problem

Summary In this paper a necessary and sufficient condition for the existence of negative eigenvalues for the problem-u – u=(x)¦u¦^p–2u in u¦=0 is given. Here Rⁿ is supposed a smooth bounded domain, 0 a bounded nonnegative function, (₁, ₂), ₁ and ₁ being the first and the second eigenvalue of - in with zero Dirichlet boundary data, p2 and, if n 3, p < 2n¦(n–2). Moreover in the linear case (p=2) a uniqueness result is proved.Work supported by G.N.A.F.A. and by M.P.I, of Italy Fondi 40% Equazioni Differenziali e Calcolo delle Variazioni and Fondi 60% Analisi matematica.     

A note on the minimum instantaneous cost path of the dynamic traffic assignment problem

We consider an example to show that the minimum instantaneous cost path principle, as suggested in Friesz et al. [1] for generalising Wardrop's first principle to the dynamic state, may cause some drivers' routes to loop. These looping routes traverse the same link more than once - indeed, in our example six times.The work reported in this paper has been partly funded by the Science and Engineering Research Council of the United Kingdom.     

Dynamic mean-variance problem with constrained risk control for the insurers

In this paper, we study optimal reinsurance/new business and investment (no-shorting) strategy for the mean-variance problem in two risk models: a classical risk model and a diffusion model. The problem is firstly reduced to a stochastic linear-quadratic (LQ) control problem with constraints. Then, the efficient frontiers and efficient strategies are derived explicitly by a verification theorem with the viscosity solutions of Hamilton–Jacobi–Bellman (HJB) equations, which is different from that given in Zhou et al. (SIAM J Control Optim 35:243–253, 1997). Furthermore, by comparisons, we find that they are identical under the two risk models. This work was supported by National Basic Research Program of China (973 Program) 2007CB814905 and National Natural Science Foundation of China (10571092).     

A note on the syzygy problem

In the theorem of Evans and Griffith on the syzygy problem. The restriction on the ring being Cohen Macaulay domain is completely eliminated.     

A note on the Waring-Goldbach problem

The focus of this paper will be the extension of the Waring-Goldbach problem to all sufficiently large integers, without congruence restrictions. By reintroducing the effect of small primes, we are able to consider questions which more naturally resemble Waring's problem and the Goldbach conjecture. We extend the results of S.S. Pillai by considering the problem without the use of zero as an addend and we give a small improvement on the number of additional terms required.     

A note on the complementarity problem

We show by an example that, in a complementarity problem where the given map is continuous and monotone on the nonnegative orthant, the existence of a feasible solution is not sufficient to guarantee existence of a solution to the complementarity problem.The author thanks Professor S. Karamardian and Dr. J. More for helpful discussions regarding this note.