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A geometric point of view on mean-variance models

Piotr Jaworski (2003)

Applicationes Mathematicae

This paper deals with the mathematics of the Markowitz theory of portfolio management. Let E and V be two homogeneous functions defined on ℝⁿ, the first linear, the other positive definite quadratic. Furthermore let Δ be a simplex contained in ℝⁿ (the set of admissible portfolios), for example Δ : x₁+ ... + xₙ = 1, x i ≥ 0 . Our goal is to investigate the properties of the restricted mappings (V,E):Δ → ℝ² (the so called Markowitz mappings) and to classify them. We introduce the notion of a generic model...

A geometric solution to the dynamic disturbance decoupling for discrete-time nonlinear systems

Eduardo Aranda-Bricaire, Ülle Kotta (2004)

Kybernetika

The notion of controlled invariance under quasi-static state feedback for discrete-time nonlinear systems has been recently introduced and shown to provide a geometric solution to the dynamic disturbance decoupling problem (DDDP). However, the proof relies heavily on the inversion (structure) algorithm. This paper presents an intrinsic, algorithm-independent, proof of the solvability conditions to the DDDP.

A geometry on the space of probabilities (II). Projective spaces and exponential families.

Henryk Gzyl, Lázaro Recht (2006)

Revista Matemática Iberoamericana

In this note we continue a theme taken up in part I, see [Gzyl and Recht: The geometry on the class of probabilities (I). The finite dimensional case. Rev. Mat. Iberoamericana 22 (2006), 545-558], namely to provide a geometric interpretation of exponential families as end points of geodesics of a non-metric connection in a function space. For that we characterize the space of probability densities as a projective space in the class of strictly positive functions, and these will be regarded as a...

A global analysis of Newton iterations for determining turning points

Vladimír Janovský, Viktor Seige (1993)

Applications of Mathematics

The global convergence of a direct method for determining turning (limit) points of a parameter-dependent mapping is analysed. It is assumed that the relevant extended system has a singular root for a special parameter value. The singular root is clasified as a b i f u r c a t i o n s i n g u l a r i t y (i.e., as a d e g e n e r a t e turning point). Then, the Theorz for Imperfect Bifurcation offers a particular scenario for the split of the singular root into a finite number of regular roots (turning points) due to a given parameter imperfection. The relationship...

A global differentiability result for solutions of nonlinear elliptic problems with controlled growths

Luisa Fattorusso (2008)

Czechoslovak Mathematical Journal

Let Ω be a bounded open subset of ℝ n , n > 2 . In Ω we deduce the global differentiability result u ∈ H 2 ( Ω , ℝ N ) for the solutions u ∈ H 1 ( Ω , ℝ n ) of the Dirichlet problem u - g ∈ H 0 1 ( Ω , ℝ N ) , - ∑ i D i a i ( x , u , D u ) = B 0 ( x , u , D u ) with controlled growth and nonlinearity q = 2 . The result was obtained by first extending the interior differentiability result near the boundary and then proving the global differentiability result making use of a covering procedure.

A gradient inequality at infinity for tame functions.

Didier D'Acunto, Vincent Grandjean (2005)

Revista Matemática Complutense

Let f be a C1 function defined over Rn and definable in a given o-minimal structure M expanding the real field. We prove here a gradient-like inequality at infinity in a neighborhood of an asymptotic critical value c. When f is C2 we use this inequality to discuss the trivialization by the gradient flow of f in a neighborhood of a regular asymptotic critical level.

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