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Discrete time risk sensitive portfolio optimization with consumption and proportional transaction costs

Łukasz Stettner (2005)

Applicationes Mathematicae

Risk sensitive and risk neutral long run portfolio problems with consumption and proportional transaction costs are studied. Existence of solutions to suitable Bellman equations is shown. The asymptotics of the risk sensitive cost when the risk factor converges to 0 is then considered. It turns out that optimal strategies are stationary functions of the portfolio (portions of the wealth invested in assets) and of economic factors. Furthermore an optimal portfolio strategy for a risk neutral control...

Disjointness of fuzzy coalitions

Milan Mareš, Milan Vlach (2008)

Kybernetika

The cooperative games with fuzzy coalitions in which some players act in a coalition only with a fraction of their total “power” (endeavor, investments, material, etc.) or in which they can distribute their “power” in more coalitions, are connected with some formal or interpretational problems. Some of these problems can be avoided if we interpret each fuzzy coalition as a fuzzy class of crisp coalitions, as shown by Mareš and Vlach in [9,10,11]. The relation between this model of fuzziness and...

Dissimilarites de type spherique et positionnement multidimensionnel normé

Farid Beninel (2010)

RAIRO - Operations Research

Our concern here, is the characterization of dissimilarity indexes defined over finite sets, whose spatial representation is spherical. Consequently, we propose a methodology (Normed MultiDimensional Scaling) to determine the spherical euclidean representation of a set of items best accounting for the initial dissimilarity between items. This methodology has the advantage of being graphically readable on individual qualities of projection like the normed PCA, of which it constitutes a generalization....

Dissimilarités multivoies et généralisations d'hypergraphes sans triangles

Jean Diatta (1997)

Mathématiques et Sciences Humaines

Les dissimilarités multivoies sont une généralisation naturelle des dissimilarités usuelles deux voies. Dans ce papier, des classes de dissimilarités multivoies sont étudiées, ainsi que des modèles de passage d'un nombre de voies donné à un autre nombre de voies. Une application à la spécification de systèmes classifiants a conduit à une bijection entre une classe de dissimilarités multivoies et une famille de systèmes stratifiés de classifccation.

Distributed accelerated Nash equilibrium learning for two-subnetwork zero-sum game with bilinear coupling

Xianlin Zeng, Lihua Dou, Jinqiang Cui (2023)

Kybernetika

This paper proposes a distributed accelerated first-order continuous-time algorithm for O ( 1 / t 2 ) convergence to Nash equilibria in a class of two-subnetwork zero-sum games with bilinear couplings. First-order methods, which only use subgradients of functions, are frequently used in distributed/parallel algorithms for solving large-scale and big-data problems due to their simple structures. However, in the worst cases, first-order methods for two-subnetwork zero-sum games often have an asymptotic or O ( 1 / t ) convergence....

Division schemes under uncertainty of claims

Xianghui Li, Yang Li, Wei Zheng (2021)

Kybernetika

In some economic or social division problems, we may encounter uncertainty of claims, that is, a certain amount of estate has to be divided among some claimants who have individual claims on the estate, and the corresponding claim of each claimant can vary within a closed interval or fuzzy interval. In this paper, we classify the division problems under uncertainty of claims into three subclasses and present several division schemes from the perspective of axiomatizations, which are consistent with...

Domaine de victoire et stratégies viables chez les pêcheurs décrits par l'anthropologue Fredrik Barth

Noël Bonneuil, Patrick Saint-Pierre (1998)

Mathématiques et Sciences Humaines

L'anthropologue Fredrik Barth a analysé l'émergence des formes sociales chez les pêcheurs norvégiens. Sa perspective est bien modélisée par les outils mathématiques de la théorie de la viabilité, grâce auxquels on peut calculer l'ensemble des états à partir desquels la survie du système est encore possible, ainsi que la bonne décision à prendre à chaque instant, entre explorer ou suivre les autres bateaux. En outre, il se trouve que, techniquement, la condition de compacité des images de la correspondance...

Domination Game: Extremal Families for the 3/5-Conjecture for Forests

Michael A. Henning, Christian Löwenstein (2017)

Discussiones Mathematicae Graph Theory

In the domination game on a graph G, the players Dominator and Staller alternately select vertices of G. Each vertex chosen must strictly increase the number of vertices dominated. This process eventually produces a dominating set of G; Dominator aims to minimize the size of this set, while Staller aims to maximize it. The size of the dominating set produced under optimal play is the game domination number of G, denoted by γg(G). Kinnersley, West and Zamani [SIAM J. Discrete Math. 27 (2013) 2090-2107]...

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