Approximate portfolio analysis

Article Abstract:

A portfolio selection model based on the concept of approximation was developed. The model represents a portfolio by its decumulative distribution curve and a preference structure by a family of convex indifference curves. While under the assumption of normality, the model simplifies to the mean-variance model. The model has a measure of risk attitudes that is similar to the Arrow-Pratt measure while combining both wealth and probability attitudes. By using this measure, it is demonstrated that the smaller the curvature of a value function and the larger the curvature of a weighting function, an agent is more risk averse.

Commercial Banks, Investment Banking and Securities Dealing, Portfolio & Funds Management, Risk assessment, Portfolio management, Analysis of variance

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Approximation algorithms for the maximum Hamiltonian path problem with specified endpoint(s)

Article Abstract:

New results have been provided concerning the approximability of the Hamiltonian path problem in which case one or two end points are specified. In addition some basic properties have been exposed, mainly by using reductions preserving differential approximations between these problems and some variants of them.

Algorithms, Algorithm, Hamiltonian systems

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Huber approximation for the non-linear l(sub 1) problem

Article Abstract:

An algorithm for calculating convergence of Huber approximation, which is used to solve non-linear l(sub 1) problem, is presented.

Germany, Convergence (Mathematics), Nonlinear programming

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