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  • 1
    Electronic Resource
    Electronic Resource
    EXISTENCE OF A NONNEGATIVE EQUILIBRIUM PRICE VECTOR IN THE MEAN-VARIANCE CAPITAL MARKET (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We derive a necessary and sufficient condition for the existence of a nonnegative equilibrium price vector under which the total demand and supply of each asset balances in the standard mean-variance capital market. Also, we give an explicit formula for such a price vector. This formula shows that the price of assets is an increasing function of p̄, the weighted average of the requested rate of return of individual investors, which tends to infinity as p̄ approaches the expected rate of return on the market portfolio. Further, we construct a macroeconomic index which gives information about the soundness of the capital market.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1995.tb00066.x
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  • 2
    Electronic Resource
    Electronic Resource
    On the natural line bundle on the moduli space of stable parabolic bundles (1993)
    Springer
    Communications in mathematical physics 155 (1993), S. 311-324 
    Details
    ISSN: 1432-0916
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Physics
    Notes: Abstract We construct the natural holomorphic line bundle on the moduli space of stable parabolic bundles on a compact marked Riemann surface, which is the prequantum line bundle for the Chern-Simons gauge theory. The fusion rule in the Chern-Simons gauge theory can be viewed as the existence condition of this line bundle.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF02097396
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  • 3
    Electronic Resource
    Electronic Resource
    Synthesis of analcime from volcanic sediments in sodium silicate solution (1973)
    Springer
    Contributions to mineralogy and petrology 42 (1973), S. 81-92 
    Details
    ISSN: 1432-0967
    Source: Springer Online Journal Archives 1860-2000
    Topics: Geosciences
    Notes: Abstract Analcime has been synthesized from natural rhyolitic tuff and green tuff (Miocene age) at 200° C and 20 kg/cm2 with solution of Na2SiO3 (12%) in 50- to 260-hr runs. From the diffraction intensities, it was found that the alteration products of green tuff contained more analcime than those of rhyolitic tuff. It has been concluded that the lithological character of starting materials and the chemical behavior of reaction products are important controlling factors in analcimization.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF00371499
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  • 4
    Electronic Resource
    Electronic Resource
    A generalized Dantzig—Wolfe decomposition principle for a class of nonconvex programming problems (1993)
    Springer
    Mathematical programming 62 (1993), S. 239-260 
    Details
    ISSN: 1436-4646
    Keywords: Decomposition ; price functions ; global optimization
    Source: Springer Online Journal Archives 1860-2000
    Topics: Computer Science , Mathematics
    Notes: Abstract Since Dantzig—Wolfe's pioneering contribution, the decomposition approach using a pricing mechanism has been developed for a wide class of mathematical programs. For convex programs a linear space of Lagrangean multipliers is enough to define price functions. For general mathematical programs the price functions could be defined by using a subclass of nondecreasing functions. However the space of nondecreasing functions is no longer finite dimensional. In this paper we consider a specific nonconvex optimization problem min {f(x):h j (x)⩽g(x),j=1, ⋯,m, x∈X}, wheref(·),h j (·) andg(·) are finite convex functions andX is a closed convex set. We generalize optimal price functions for this problem in such a way that the parameters of generalized price functions are defined in a finite dimensional space. Combining convex duality and a nonconvex duality we can develop a decomposition method to find a globally optimal solution.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01585169
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  • 5
    Electronic Resource
    Electronic Resource
    A cutting plane algorithm for solving bilinear programs (1976)
    Springer
    Mathematical programming 11 (1976), S. 14-27 
    Details
    ISSN: 1436-4646
    Source: Springer Online Journal Archives 1860-2000
    Topics: Computer Science , Mathematics
    Notes: Abstract This paper addresses itself to a special class of nonconvex quadratic program referred to as a bilinear program in the literature. We will propose here a cutting plane algorithm to solve this class of problems. The algorithm is along the lines of H. Tui and K. Ritter, but it differs in its exploitation of the special structure of the problem. Though the algorithm is not guaranteed at this stage of the research to converge to a global optimum, the preliminary results of numerical experiments are encouraging.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01580367
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  • 6
    Electronic Resource
    Electronic Resource
    Minimum concave cost production system: A further generalization of multi-echelon model (1988)
    Springer
    Mathematical programming 41 (1988), S. 185-193 
    Details
    ISSN: 1436-4646
    Keywords: Concave minimization ; production scheduling ; network flow ; polynomial order algorithm
    Source: Springer Online Journal Archives 1860-2000
    Topics: Computer Science , Mathematics
    Notes: Abstract We will consider a concave minimization problem associated with a series production system in which raw material is processed inm consecutive facilities. The products at some facility are either sent to the next facility or stocked in the warehouse. The amount of demand for the final products during periodi, i = 1,⋯,n, are known in advance. Our problem is to minimize the sum of processing, holding and backlogging cost, all of which are assumed to be concave. The origin of this model is the classical economic lot size problem of Wagner and Whitin and was extensively studied by Zangwill. This model is very important from the theoretical as well as practical point of view and this is one of the very rare instances in which polynomial time algorithm has been constructed for concave minimization problems. The purpose of this paper is to extend the model further to the situation in which time lag is associated with processing at each facility. We will propose an efficient O(n 4 m) algorithm for this class of problems.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01580763
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  • 7
    Electronic Resource
    Electronic Resource
    A mean-absolute deviation-skewness portfolio optimization model (1993)
    Springer
    Annals of operations research 45 (1993), S. 205-220 
    Details
    ISSN: 1572-9338
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract It is assumed in the standard portfolio analysis that an investor is risk averse and that his utility is a function of the mean and variance of the rate of the return of the portfolio or can be approximated as such. It turns out, however, that the third moment (skewness) plays an important role if the distribution of the rate of return of assets is asymmetric around the mean. In particular, an investor would prefer a portfolio with larger third moment if the mean and variance are the same. In this paper, we propose a practical scheme to obtain a portfolio with a large third moment under the constraints on the first and second moment. The problem we need to solve is a linear programming problem, so that a large scale model can be optimized without difficulty. It is demonstrated that this model generates a portfolio with a large third moment very quickly.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF02282050
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  • 8
    Electronic Resource
    Electronic Resource
    Preface (1993)
    Springer
    Annals of operations research 45 (1993), S. i 
    Details
    ISSN: 1572-9338
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF02282038
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  • 9
    Electronic Resource
    Electronic Resource
    Generalized linear multiplicative and fractional programming (1990)
    Springer
    Annals of operations research 25 (1990), S. 147-161 
    Details
    ISSN: 1572-9338
    Keywords: Nonconvex minimization ; lobal minimization ; parametric programming ; generalized linear multiplicative function ; generalized linear fractional function
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract This paper addresses itself to the algorithm for minimizing the sum of a convex function and a product of two linear functions over a polytope. It is shown that this nonconvex minimization problem can be solved by solving a sequence of convex programming problems. The basic idea of this algorithm is to embed the original problem into a problem in higher dimension and apply a parametric programming (path following) approach. Also it is shown that the same idea can be applied to a generalized linear fractional programming problem whose objective function is the sum of a convex function and a linear fractional function.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF02283691
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  • 10
    Electronic Resource
    Electronic Resource
    Optimal portfolios with asymptotic criteria (1993)
    Springer
    Annals of operations research 45 (1993), S. 187-204 
    Details
    ISSN: 1572-9338
    Keywords: Asymptotic growth rate ; asymptotic variance ; portfolio optimization ; mean-variance model
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract This paper is concerned with a portfolio optimization model for a long planning horizon. We first argue that in this case the asymptotic growth rate and the asymptotic variance are better measures of performance than the usual mean and variance of return. We next propose an efficient algorithm for calculating the asymptotic frontier, i.e., the efficient frontier relative to the new criteria. Finally, we illustrate our methods and compare the difference between our model and the classical mean-variance-model by using historical data based on the 1064 stocks of the Tokyo Stock Exchange.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF02282049
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