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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...

Integration over homogeneous spaces for classical Lie groups using iterated residues at infinity

Magdalena Zielenkiewicz (2014)

Open Mathematics

Using the Berline-Vergne integration formula for equivariant cohomology for torus actions, we prove that integrals over Grassmannians (classical, Lagrangian or orthogonal ones) of characteristic classes of the tautological bundle can be expressed as iterated residues at infinity of some holomorphic functions of several variables. The results obtained for these cases can be expressed as special cases of one formula involving the Weyl group action on the characters of the natural representation of...

On the Hyperbolicity Domain of the Polynomial x^n + a1x^(n-1) + 1/4+ an

Kostov, Vladimir (1999)

Serdica Mathematical Journal

∗ Partially supported by INTAS grant 97-1644We consider the polynomial Pn = x^n + a1 x^(n−1) + · · · + an , ai ∈ R. We represent by figures the projections on Oa1 . . . ak , k ≤ 6, of its hyperbolicity domain Π = {a ∈ Rn | all roots of Pn are real}. The set Π and its projections Πk in the spaces Oa1 . . . ak , k ≤ n, have the structure of stratified manifolds, the strata being defined by the multiplicity vectors. It is known that for k > 2 every non-empty fibre of the projection Π^k → Π^(k−1) is...

Singularities of convex hulls as fronts of Legendre varieties

Ilia Bogaevski (1999)

Banach Center Publications

We describe singularities of the convex hull of a generic compact smooth hypersurface in four-dimensional affine space up to diffeomorphism. It turns out that the boundary of the convex hull is the front of a Legendre variety. Its singularities are classified up to contact diffeomorphism.

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