In this paper,we study the existence of infinitely many homoclinic solutions for a class of first order Hamiltonian systems ż=J H_(z)(t,z),where the Hamiltonian function H possesses the form H(t,z)=1/2L(t)z⋅z+G(t,z),a...In this paper,we study the existence of infinitely many homoclinic solutions for a class of first order Hamiltonian systems ż=J H_(z)(t,z),where the Hamiltonian function H possesses the form H(t,z)=1/2L(t)z⋅z+G(t,z),and G(t,z)is only locally defined near the origin with respect to z.Under some mild conditions on L and G,we show that the existence of a sequence of homoclinic solutions is actually a local phenomenon in some sense,which is essentially forced by the subquadraticity of G near the origin with respect to z.展开更多
Asset allocation is an important issue in finance, and both risk and return are its fundamental ingredients. Rather than the return, the measure of the risk is complicated and of controversy.In this paper, we propose ...Asset allocation is an important issue in finance, and both risk and return are its fundamental ingredients. Rather than the return, the measure of the risk is complicated and of controversy.In this paper, we propose an appropriate risk measure which is precisely a convex combination of mean semi-deviation and conditional value-at-risk. Based on this risk measure, investors can trade-off flexibly between the volatility and the loss to tackle the incurring risk by choosing different convex coefficients.As the presented risk measure contains nonsmooth term, the asset allocation model based on it is nonsmooth. To employ traditional gradient algorithms, we develop a uniform smooth approximation of the plus function and convert the model into a smooth one. Finally, an illustrative empirical study is given. The results indicate that investors can control risk efficiently by adjusting the convex coefficient and the confidence level simultaneously according to their perceptions. Moreover, the effectiveness of the smoothing function proposed in the paper is verified.展开更多
基金The first author was supported by the National Natural Science Foundation of China(11761036,11201196)the Natural Science Foundation of Jiangxi Province(20171BAB211002)+3 种基金The second author was supported by the National Natural Science Foundation of China(11790271,12171108)the Guangdong Basic and Applied basic Research Foundation(2020A1515011019)the Innovation and Development Project of Guangzhou Universitythe Nankai Zhide Foundation。
文摘In this paper,we study the existence of infinitely many homoclinic solutions for a class of first order Hamiltonian systems ż=J H_(z)(t,z),where the Hamiltonian function H possesses the form H(t,z)=1/2L(t)z⋅z+G(t,z),and G(t,z)is only locally defined near the origin with respect to z.Under some mild conditions on L and G,we show that the existence of a sequence of homoclinic solutions is actually a local phenomenon in some sense,which is essentially forced by the subquadraticity of G near the origin with respect to z.
基金Supported by the Natural Science Foundation of China(11171221)
文摘Asset allocation is an important issue in finance, and both risk and return are its fundamental ingredients. Rather than the return, the measure of the risk is complicated and of controversy.In this paper, we propose an appropriate risk measure which is precisely a convex combination of mean semi-deviation and conditional value-at-risk. Based on this risk measure, investors can trade-off flexibly between the volatility and the loss to tackle the incurring risk by choosing different convex coefficients.As the presented risk measure contains nonsmooth term, the asset allocation model based on it is nonsmooth. To employ traditional gradient algorithms, we develop a uniform smooth approximation of the plus function and convert the model into a smooth one. Finally, an illustrative empirical study is given. The results indicate that investors can control risk efficiently by adjusting the convex coefficient and the confidence level simultaneously according to their perceptions. Moreover, the effectiveness of the smoothing function proposed in the paper is verified.
