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1.
The aim of this paper is to study the geometrical and topological structure of the efficient frontier of simply-shaded sets in a three-dimensional Euclidean space with respect to the usual positive cone. Our main result concerns the contractibility of the efficient frontier and refines a recent result of Daniilidis, Hadjisavvas, and Schaible (Ref. 1) regarding the connectedness of the efficient outcome set for three-criteria optimization problems involving continuous semistrictly quasiconcave objective functions. 相似文献
2.
In this paper, we investigate the contractibility of the efficient frontier in a vector maximization problem defined by a continuous vector-valued strictly quasiconcave function
and a convex compact set D in
p
. It is shown that the efficient frontier is contractible if one of the components of g is strongly quasiconcave on X. This work extends a result by Sun (see Ref. 1), which confirms the connectedness of the efficient frontier. 相似文献
3.
Using the technique of space theory and set-valued analysis, we establish contractibility results for efficient point sets in a locally convex space and a path connectedness result for a positive proper efficient point set in a reflexive space. We also prove a connectedness result for a positive proper efficient point set in a locally convex space; as an application, we give a connectedness result for an efficient solution set in a locally convex space. 相似文献
4.
In this paper, the concepts of approximate character amenability (contractibility), uniform approximate character amenability (contractibility) and w^*-approximate character amenability are introduced. We are concerned with the relations among the generalized concepts of character amenability for Banach algebras. We show that approximate character amenability, w^*-approximate character amenability and approximate character contractibility are the same properties, as uniform approximate character amenability and character amenability as uniform approximate character contractibility and character contractibility. The general theory for these concepts is also developed. Moreover, approximate character amenability of several concrete classes of Banach algebras related to locally compact groups and also some discrete semigroups is considered. 相似文献
5.
在市场上存在无风险资产且允许卖空的条件下,研究了新增加k种证券后对原有效前沿的影响.引入了有效证券和无效证券,给出了M-V证券组合有效前沿旋移的方向.研究结果表明新增加证券后有效前沿的斜率变大. 相似文献
6.
Because a rational decision maker should only select an efficient alternative in multiple criterion decision problems, the
efficient frontier defined as the set of all efficient alternatives has become a central solution concept in multiple objective
linear programming. Normally this set reduces the set of available alternatives of the underlying problem. There are several
methods, mainly based on the simplex method, for computing the efficient frontier. This paper presents a quite different approach
which uses a nonlinear parametric program, solved by Wolfe's algorithm, to determine the range of the efficient frontier. 相似文献
7.
Begoña Font 《Computational Management Science》2016,13(4):541-570
In this paper, we propose a bootstrap resampling methodology to obtain the confidence intervals for efficient portfolios weights and the sample characteristics of the mean-variance efficient frontier. We provide an estimate of efficient portfolios, compute the confidence region of the efficient frontier and get the prediction densities of the future efficient portfolio returns without distributional assumptions on returns. An extensive simulation study evaluates the finite-sample performance of these bootstrap intervals and stresses the advantages of such approach. Interestingly, the methodology can be easily modified to make inferences that incorporate our modelling of returns in the predictive efficient frontier estimation with or without additional managerial restrictions. 相似文献
8.
在DEA方法中,DEA有效和弱DEA有效的决策单元位于生产前沿面上,非弱DEA有效的DEA无效决策单元位于生产可能集的内部而非生产前沿面上.通过引入生产可能集与生产前沿面移动的思想,证明只有产出(投入)的BC2模型评价下的决策单元的最优值与相应的生产前沿面的移动值存在倒数关系,以双产出(投入)情形图示说明,明确了决策单元在生产可能集中所处的位置. 相似文献
9.
We study the contractibility of the efficient solution set of strictly quasiconcave vector maximization problems on (possibly) noncompact feasible domains. It is proved that the efficient solution set is contractible if at least one of the objective functions is strongly quasiconcave and any intersection of level sets of the objective functions is a compact (possibly empty) set. This theorem generalizes the main result of Benoist (Ref.1), which was established for problems on compact feasible domains.The authors thank Dr. T. D. Phuong, Dr. T. X. D. Ha, and the referees for helpful comments and suggestions. 相似文献
10.
Wang Yi Chen Zhiping Zhang Kecun 《高校应用数学学报(英文版)》2006,21(4):369-382
In order to study the effect of different risk measures on the efficient portfolios (fron- tier) while properly describing the characteristic of return distributions in the stock market, it is assumed in this paper that the joint return distribution of risky assets obeys the multivariate t-distribution. Under the mean-risk analysis framework, the interrelationship of efficient portfolios (frontier) based on risk measures such as variance, value at risk (VaR), and expected shortfall (ES) is analyzed and compared. It is proved that, when there is no riskless asset in the market, the efficient frontier under VaR or ES is a subset of the mean-variance (MV) efficient frontier, and the efficient portfolios under VaR or ES are also MV efficient; when there exists a riskless asset in the market, a portfolio is MV efficient if and only if it is a VaR or ES efficient portfolio. The obtained results generalize relevant conclusions about investment theory, and can better guide investors to make their investment decision. 相似文献
11.
含有资本结构因子、交易成本和风险偏好的模糊最优化投资模型 总被引:1,自引:0,他引:1
李宏杰 《数学的实践与认识》2008,38(21)
建立了含有资本结构因子、交易成本和风险偏好的模糊最优化投资模型,在允许卖空条件下,给出最优投资策略及有效边界;在不允许卖空条件下,给出了确定其有效边界的算法,并分析了风险偏好、无风险利率和交易成本对有效边界的影响,最后通过示例进行了分析. 相似文献
12.
Lei Fang 《The Journal of the Operational Research Society》2016,67(3):412-420
In a recent paper, Yang et al developed an algorithm based on the extended minimal adjustment strategy and the equilibrium competition strategy to achieve a common equilibrium efficient frontier. However, the computational burden of their algorithm is challenging when a sample contains many inefficient decision-making units (DMUs). In this paper, we propose a linear programming model that can achieve a common equilibrium efficient frontier in a single step, regardless of the number of inefficient DMUs. Furthermore, we demonstrate the existence and the non-uniqueness of the equilibrium efficient frontier and identify its shortcomings through an example. Next, we extend our approach to incorporate weight restrictions to indicate the relative importance of the different inputs and outputs and introduce the secondary goal of minimizing the maximal relative deviation for each fixed-sum output, which can result in a unique equilibrium efficient frontier. 相似文献
13.
G.R. Jahanshahloo F. Hosseinzadeh Lotfi M. Zohrehbandian 《Applied mathematics and computation》2005,170(2):985-993
Data envelopment analysis (DEA) is basically a linear programming based technique used for measuring the relative performance of organizational units, referred to as decision-making units (DMUs), where the presence of multiple inputs and outputs makes comparisons difficult. The ability of identifying frontier DMUs prior to the DEA calculation is of extreme importance to an effective and efficient DEA computation. In this paper, a method for identifying the efficient frontier is introduced. Then, the efficiency score and returns to scale (RTS) characteristic of DMUs will be produced by means of the equation of efficient frontier. 相似文献
14.
15.
证券组合选择的有效子集 总被引:19,自引:2,他引:17
本文引进证券组合选择的有效子集概念。有效子集可取代原有的基本证券集来生成Markowitz有效组合前沿。本文给出一个证券集的子集是全集的有效子集的充要条件。在理论上,这是一条新的k-基金分离定理;在实际应用上,这有可能用来减少计算有效组合前沿的计算量。 相似文献
16.
In order to study the effect of different risk measures on the efficient portfolios (frontier) while properly describing the characteristic of return distributions in the stock market, it is assumed in this paper that the joint return distribution of risky assets obeys the multivariate t-distribution. Under the mean-risk analysis framework, the interrelationship of efficient portfolios (frontier) based on risk measures such as variance, value at risk (VaR), and expected shortfall (ES) is analyzed and compared. It is proved that, when there is no riskless asset in the market, the efficient frontier under VaR or ES is a subset of the mean-variance (MV) efficient frontier, and the efficient portfolios under VaR or ES are also MV efficient; when there exists a riskless asset in the market, a portfolio is MV efficient if and only if it is a VaR or ES efficient portfolio. The obtained results generalize relevant conclusions about investment theory, and can better guide investors to make their investment decision. 相似文献
17.
Wang Yi Chen Zhiping Zhang Kecun Department of Scientific Computing Applied Softwares Faculty of Science Xi''''an Jiaotong University Xi''''an China. 《高校应用数学学报(英文版)》2006,(4)
In order to study the effect of different risk measures on the efficient portfolios (frontier) while properly describing the characteristic of return distributions in the stock market, it is assumed in this paper that the joint return distribution of risky assets obeys the multivari-ate t-distribution. Under the mean-risk analysis framework, the interrelationship of efficient portfolios (frontier) based on risk measures such as variance, value at risk (VaR), and expected shortfall (ES) is analyzed and compared. It is proved that, when there is no riskless asset in the market, the efficient frontier under VaR or ES is a subset of the mean-variance (MV) efficient frontier, and the efficient portfolios under VaR or ES are also MV efficient; when there exists a riskless asset in the market, a portfolio is MV efficient if and only if it is a VaR or ES efficient portfolio. The obtained results generalize relevant conclusions about investment theory, and can better guide investors to make their investment decision. 相似文献
18.
In a recent paper by Li (Ref. 1), a scheme was proposed to convexify an efficient frontier for a vector optimization problem by rescaling each component of the vector objective functions by its p-power. For sufficiently large p, it was shown that the transformed efficient frontier is cone-convex; hence, the usual linear scalarization (or supporting hyperplane) method can be used to find the efficient solutions. An outstanding question remains: What is the minimum value of p such that the efficient frontier can be convexified? In this note, we answer the above question by deriving some theoretical lower bounds for p.
相似文献19.
吴文江 《数学的实践与认识》2004,34(10):69-73
某决策单元为非 DEA有效 ( C2 R或 C2 GS2 ) ,为了将它变为 DEA有效 ,在找出其对应点附近的一些有效前沿面的基础上 ,给出了使其对应点与这些有效前沿面上的点的输入、输出的偏差和最小的方法 . 相似文献
20.
《Operations Research Letters》2020,48(5):630-634
We propose a simple approach to bridge between portfolio theory and machine learning. The outcome is an out-of-sample machine learning efficient frontier based on two assets, high risk and low risk. By rotating between the two assets, we show that the proposed frontier dominates the mean–variance efficient frontier out-of-sample. Our results, therefore, shed important light on the appeal of machine learning into portfolio selection under estimation risk. 相似文献