Determination and estimation of risk aversion coefficients

Computational Management Science - In the paper we consider two types of utility functions often used in portfolio allocation problems, i.e. the exponential utility and the quadratic utility. We...     

An O(T) algorithm for the capacitated lot sizing problem with minimum order quantities

This paper explores a single-item capacitated lot sizing problem with minimum order quantity, which plays the role of minor set-up cost. We work out the necessary and sufficient solvability conditions and apply the general dynamic programming technique to develop an O(T³) exact algorithm that is based on the concept of minimal sub-problems. An investigation of the properties of the optimal solution structure allows us to construct explicit solutions to the obtained sub-problems and prove their optimality. In this way, we reduce the complexity of the algorithm considerably and confirm its efficiency in an extensive computational study.     

Properties of the singular, inverse and generalized inverse partitioned Wishart distributions

In this paper we discuss the distributions and independency properties of several generalizations of the Wishart distribution. First, an analog to Muirhead [R.J. Muirhead, Aspects of Multivariate Statistical Theory, Wiley, New York, 1982] Theorem 3.2.10 for the partitioned matrix is established in the case of arbitrary partitioning for singular and inverse Wishart distributions. Second, the density of is derived in the case of singular, non-central singular, inverse and generalized inverse Wishart distributions. The importance of the derived results is illustrated with an example from portfolio theory.