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Expected utility maximization and conditional value-at-risk deviation-based Sharpe ratio in dynamic stochastic portfolio optimization

Soňa Kilianová, Daniel Ševčovič (2018)

Kybernetika

In this paper we investigate the expected terminal utility maximization approach for a dynamic stochastic portfolio optimization problem. We solve it numerically by solving an evolutionary Hamilton-Jacobi-Bellman equation which is transformed by means of the Riccati transformation. We examine the dependence of the results on the shape of a chosen utility function in regard to the associated risk aversion level. We define the Conditional value-at-risk deviation ( C V a R D ) based Sharpe ratio for measuring...

Exponential expansiveness and complete admissibility for evolution families

Mihail Megan, Bogdan Sasu, Adina Luminiţa Sasu (2004)

Czechoslovak Mathematical Journal

Connections between uniform exponential expansiveness and complete admissibility of the pair ( c 0 ( ℕ , X ) , c 0 ( ℕ , X ) ) are studied. A discrete version for a theorem due to Van Minh, Räbiger and Schnaubelt is presented. Equivalent characterizations of Perron type for uniform exponential expansiveness of evolution families in terms of complete admissibility are given.

Exponential stability and exponential instability for linear skew-product flows

Mihail Megan, Adina Luminiţa Sasu, Bogdan Sasu (2004)

Mathematica Bohemica

We give characterizations for uniform exponential stability and uniform exponential instability of linear skew-product flows in terms of Banach sequence spaces and Banach function spaces, respectively. We present a unified approach for uniform exponential stability and uniform exponential instability of linear skew-product flows, extending some stability theorems due to Neerven, Datko, Zabczyk and Rolewicz.

Fonctions multisommables

Bernard Malgrange, Jean-Pierre Ramis (1992)

Annales de l'institut Fourier

La notion de multisommabilité intervient dans la théorie des équations différentielles lorsque des exponentielles d’ordres différents se mélangent. Elle a été introduite par J. Écalle et étudié récemment par plusieurs auteurs. On en donne ici une définition simple, qui fait uniquement intervenir des propriétés de décroissance exponentielle.

From multi-instantons to exact results

Jean Zinn-Justin (2003)

Annales de l’institut Fourier

In these notes, conjectures about the exact semi-classical expansion of eigenvalues of hamiltonians corresponding to potentials with degenerate minima, are recalled. They were initially motivated by semi-classical calculations of quantum partition functions using a path integral representation and have later been proven to a large extent, using the theory of resurgent functions. They take the form of generalized Bohr--Sommerfeld quantization formulae. We explain here their...

Global minimizer of the ground state for two phase conductors in low contrast regime

Antoine Laurain (2014)

ESAIM: Control, Optimisation and Calculus of Variations

The problem of distributing two conducting materials with a prescribed volume ratio in a ball so as to minimize the first eigenvalue of an elliptic operator with Dirichlet conditions is considered in two and three dimensions. The gap ε between the two conductivities is assumed to be small (low contrast regime). The main result of the paper is to show, using asymptotic expansions with respect to ε and to small geometric perturbations of the optimal shape, that the global minimum of the first eigenvalue...

Growth orders occurring in expansions of Hardy-field solutions of algebraic differential equations

John Shackell (1995)

Annales de l'institut Fourier

We consider the asymptotic growth of Hardy-field solutions of algebraic differential equations, e.g. solutions with no oscillatory component, and prove that no ‘sub-term’ occurring in a nested expansion of such can tend to zero more rapidly than a fixed rate depending on the order of the differential equation. We also consider series expansions. An example of the results obtained may be stated as follows.Let g be an element of a Hardy field which has an asymptotic series expansion in x , e x and λ ,...

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