The question of optimal portfolio is that finds the trading strategy satisfying the maximal expected utility function subject to some constraints. There is the optimal trading strategy under the risk neutral probabili...The question of optimal portfolio is that finds the trading strategy satisfying the maximal expected utility function subject to some constraints. There is the optimal trading strategy under the risk neutral probability measure (martingale measure) if and only if there is no-arbitrage opportunity in the market. This paper argues the optimal wealth and the optimal value of expected utility with different utility function.展开更多
This paper gives a new definition of the filled function for nonlinear integer programming problem. A filled function satisfying our definition is presented. This function contains only one parameter. The properties o...This paper gives a new definition of the filled function for nonlinear integer programming problem. A filled function satisfying our definition is presented. This function contains only one parameter. The properties of the proposed filled function and the method using this filled function to solve nonlinear integer programming problem are also discussed. Numerical results indicate the efficiency and reliability of the proposed filled function algorithm.展开更多
Strict proof has been given to single valley character of level degree function by use of convex analysis theory, which provides reliable theoretical basis for the optimization of the data processing with respect to l...Strict proof has been given to single valley character of level degree function by use of convex analysis theory, which provides reliable theoretical basis for the optimization of the data processing with respect to level degree. As circle degree and cylindrical degree have the same mathematical structures, their single valley character can be proved by the same method.展开更多
文摘The question of optimal portfolio is that finds the trading strategy satisfying the maximal expected utility function subject to some constraints. There is the optimal trading strategy under the risk neutral probability measure (martingale measure) if and only if there is no-arbitrage opportunity in the market. This paper argues the optimal wealth and the optimal value of expected utility with different utility function.
文摘This paper gives a new definition of the filled function for nonlinear integer programming problem. A filled function satisfying our definition is presented. This function contains only one parameter. The properties of the proposed filled function and the method using this filled function to solve nonlinear integer programming problem are also discussed. Numerical results indicate the efficiency and reliability of the proposed filled function algorithm.
文摘Strict proof has been given to single valley character of level degree function by use of convex analysis theory, which provides reliable theoretical basis for the optimization of the data processing with respect to level degree. As circle degree and cylindrical degree have the same mathematical structures, their single valley character can be proved by the same method.