查看更多>>摘要：This paper studies the optimal portfolio allocation of a fund manager when he bases decisions on both the absolute level of terminal relative performance and the change value of terminal relative performance comparison to a predefined reference point.We find the optimal investment strategy by maximizing a weighted average utility of a concave utility and an S-shaped utility via a concavification technique and the martingale method.Numerical results are carried out to show the impact of the extent to which the manager pays attention to the change of relative performance related to the reference point on the optimal terminal relative performance.
查看更多>>摘要：The mixed distribution model is often used to extract information from heteroge-neous data and perform modeling analysis.When the density function of mixed distribution is complicated or the variable dimension is high,it usually brings challenges to the parameter es-timation of the mixed distribution model.The application of MM algorithm can avoid complex expectation calculations,and can also solve the problem of high-dimensional optimization by decomposing the objective function.In this paper,MM algorithm is applied to the parameter estimation problem of mixed distribution model.The method of assembly and decomposition is used to construct the substitute function with separable parameters,which avoids the problems of complex expectation calculations and the inversion of high-dimensional matrices.
查看更多>>摘要：Let X be a Banach space and let P:X →X be a bounded linear operator.Using an algebraic inequality on the spectrum of P,we give a new sufficient condition that guarantees the existence of(I-P)-1 as a bounded linear operator on X,and a bound on its spectral radius is also obtained.This generalizes the classic Banach lemma.We apply the result to the perturbation analysis of general bounded linear operators on X with commutative perturbations.
查看更多>>摘要：We study a counterbalanced random walk Šn=(X)1+···+(X)n,which is a discrete time non-Markovian process and (X)n are given recursively as follows.For n≥2,(X)n is a new independent sample from some fixed law μ≠0 with a fixed probability p,and (X)n=-(X)v(n) with probability 1-p,where v(n) is a uniform random variable on{1,···,n-1}.We apply martingale method to obtain a strong invariance principle for Šn.
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