Mean-Variance Approximations to Expected Logarithmic Utility
Article Abstract:
How closely the functions of means and variances can approximate the Von Neumann-Morganstern expected utility function is investigated. The function is modeled as a logarithmic utility-of-wealth function. Using historical security return data, portfolios maximizing expected logarithmic utility are calculated and compared to those maximizing appropriate mean-variance formulations. In all cases the approximations were very good. The conclusion is that the mean-variance model can serve as a useful surrogate to at least one popular alternative, investment strategy. A table shows portfolio simulations using the growth-optimal rule and mean variance approximations. Another table shows related sum of squared errors. Other tables show rates of returns and averages of the portfolio-weight ratios.
Publication Name: Operations Research
Subject: Petroleum, energy and mining industries
ISSN: 0030-364X
Year: 1983
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Epsilon - Approximations for Multidimensional Weighted Location Problems
Article Abstract:
Developing algorithms for determining new facilities location is know as location analysis. The objective is to minimize response time to the most remote customers. The facility location problem has been investigated by a number of researchers; many have focused on the two-dimensional version of the problem. The present paper considers the k-dimensional, weighted version of the problem. The solution is achieved by using a variant of the Russian method for the solution of linear programming. The algorithm and computation results are presented and discussed. Diagrams and tables illustrate the problem and present the results of computation.
Publication Name: Operations Research
Subject: Petroleum, energy and mining industries
ISSN: 0030-364X
Year: 1985
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The Nested Ball Principle for the Relaxation Method
Article Abstract:
A feasible solution to a set of linear inequalities is found. There is a ball that can be determined a priori from the problem data knowing the property that it contains a feasible solution if there is one. The relaxation method for solving the problem determines a sequence of shrinking balls that contain a feasible solution if there is one. It is shown that if one of the smaller balls is nested in the first ball, then there is no possible solution to the problem. This principle is proved to be superior to the existing stopping criterion. It is shown that the principle can not be extended to the Russian method for linear programming.
Publication Name: Operations Research
Subject: Petroleum, energy and mining industries
ISSN: 0030-364X
Year: 1983
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