Can long-run dynamic optimal strategies outperform fixed-mix portfolios? Evidence from multiple data sets

Using five alternative data sets and a range of specifications concerning the underlying linear predictability models, we study whether long-run dynamic optimizing portfolio strategies may actually outperform simpler benchmarks in out-of-sample tests. The dynamic portfolio problems are solved using a combination of dynamic programming and Monte Carlo methods. The benchmarks are represented by two typical fixed mix strategies: the celebrated equally-weighted portfolio and a myopic, Markowitz-style strategy that fails to account for any predictability in asset returns. Within a framework in which the investor maximizes expected HARA (constant relative risk aversion) utility in a frictionless market, our key finding is that there are enormous difference in optimal long-horizon (in-sample) weights between the mean–variance benchmark and the optimal dynamic weights. In out-of-sample comparisons, there is however no clear-cut, systematic, evidence that long-horizon dynamic strategies outperform naively diversified portfolios.     

The non-existence of some NMDS codes and the extremal sizes of complete (n,3)-arcs in PG(2,16)

The non-existence of $[29+h,3+h,26]_{16}$ and $[29+h,4+h,25]_{16}$ -codes, $h\ge 0$ , is proven. These results are obtained using geometrical methods, exploiting the equivalence between NMDS codes of dimension $3$ and $(n,3)$ -arcs in $PG(2,q)$ . Along the way the packing problem for complete $(n,3)$ -arcs in $PG(2,16)$ is solved, proving that $m_{3}(2,16)=28$ and $t_{3}(2,16)=15$ and that the complete $(28,3)$ -arc and the complete $(15,3)$ -arc are unique up to collineations.     

A variational inequality formulation of equilibrium models for end-of-life products with nonlinear constraints

Variational inequality theory facilitates the formulation of equilibrium problems in economic networks. Examples of successful applications include models of supply chains, financial networks, transportation networks, and electricity networks. Previous economic network equilibrium models that were formulated as variational inequalities only included linear constraints; in this case the equivalence between equilibrium problems and variational inequality problems is achieved with a standard procedure because of the linearity of the constraints. However, in reality, often nonlinear constraints can be observed in the context of economic networks. In this paper, we first highlight with an application from the context of reverse logistics why the introduction of nonlinear constraints is beneficial. We then show mathematical conditions, including a constraint qualification and convexity of the feasible set, which allow us to characterize the economic problem by using a variational inequality formulation. Then, we provide numerical examples that highlight the applicability of the model to real-world problems. The numerical examples provide specific insights related to the role of collection targets in achieving sustainability goals.     

Analysis of a New Variational Model to Restore Point-Like and Curve-Like Singularities in Imaging

The paper is concerned with the analysis of a new variational model to restore point-like and curve-like singularities in biological images. To this aim we investigate the variational properties of a suitable energy which governs these pathologies. Finally in order to realize numerical experiments we minimize, in the discrete setting, a regularized version of this functional by fast descent gradient scheme.     

The continuum as a formal space

A constructive definition of the continuum based on formal topology is given and its basic properties studied. A natural notion of Cauchy sequence is introduced and Cauchy completeness is proved. Other results include elementary proofs of the Baire and Cantor theorems. From a classical standpoint, formal reals are seen to be equivalent to the usual reals. Lastly, the relation of real numbers as a formal space to other approaches to constructive real numbers is determined. Received: 11 November 1996     

A Lax type operator for quantum finite W-algebras

Selecta Mathematica - For a reductive Lie algebra $$mathfrak {g}$$ , its nilpotent element f and its faithful finite dimensional representation, we construct a Lax operator L(z) with coefficients...     

Asset prices in an ambiguous economy

Models with ambiguity averse preferences have the potential to explain some pricing anomalies on financial markets. However, the models used in applications make additional assumptions, beyond ambiguity aversion, on the structure of the investor’s preferences. Therefore, it is not clear how to disentangle the effect of ambiguity aversion from other features of preferences on equilibrium prices. This paper offers a general theory of asset pricing assuming only ambiguity aversion. Price indeterminacy may result in equilibrium when preferences are not smooth. A set of priors, which is identifiable in all the models used in applications, contains the relevant information to price assets. Ambiguity enriches the standard pricing formula by an additional stochastic discount factor and we calculate its explicit form for various models.