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This paper is devoted to the computation of certain directional semi-derivatives of eigenvalue functionals of self-adjoint elliptic operators involving a variety of boundary conditions. A uniform treatment of these problems is possible by considering them as a problem of calculating the...
This paper proposes a distributionally robust multi-period portfolio model with ambiguity on asset correlations with fixed individual asset return mean and variance. The correlation matrix bounds can be quantified via corresponding confidence intervals based on historical data. We employ a...
In this article, we analyse optimal statistical arbitrage strategies from stochastic control and optimisation problems for multiple co-integrated stocks with eigenportfolios being factors. Optimal portfolio weights are found by solving a Hamilton–Jacobi–Bellman (HJB) partial differential...
We consider discrete-time approximations for path-dependent Isaacs partial differential equations (PDEs) of deterministic differential games under quadratic growth conditions including linear/quadratic problems with distributed and discrete delays. Owing to the path-dependence of the system, the...
We study the optimal arrangement of two conductive materials in order to maximize the first eigenvalue of the corresponding diffusion operator with Dirichlet conditions. The amount of the highest conductive composite is assumed to be limited. Since this type of problems has no solution in...
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