Portfolio selection problems in practice: a comparison between linear and quadratic optimization models

Several portfolio selection models take into account practical limitations on the number of assets to include and on their weights in the portfolio. We present here a study of the Limited Asset Markowitz (LAM), of the Limited Asset Mean Absolute Deviation (LAMAD) and of the Limited Asset Conditional Value-at-Risk (LACVaR) models, where the assets are limited with the introduction of quantity and cardinality constraints. We propose a completely new approach for solving the LAM model, based on reformulation as a Standard Quadratic Program and on some recent theoretical results. With this approach we obtain optimal solutions both for some well-known financial data sets used by several other authors, and for some unsolved large size portfolio problems. We also test our method on five new data sets involving real-world capital market indices from major stock markets. Our computational experience shows that, rather unexpectedly, it is easier to solve the quadratic LAM model with our algorithm, than to solve the linear LACVaR and LAMAD models with CPLEX, one of the best commercial codes for mixed integer linear programming (MILP) problems. Finally, on the new data sets we have also compared, using out-of-sample analysis, the performance of the portfolios obtained by the Limited Asset models with the performance provided by the unconstrained models and with that of the official capital market indices

Iterative Algebraic Soft-Decision List Decoding of Reed-Solomon Codes

In this paper, we present an iterative soft-decision decoding algorithm for Reed-Solomon codes offering both complexity and performance advantages over previously known decoding algorithms. Our algorithm is a list decoding algorithm which combines two powerful soft decision decoding techniques which were previously regarded in the literature as competitive, namely, the Koetter-Vardy algebraic soft-decision decoding algorithm and belief-propagation based on adaptive parity check matrices, recently proposed by Jiang and Narayanan. Building on the Jiang-Narayanan algorithm, we present a belief-propagation based algorithm with a significant reduction in computational complexity. We introduce the concept of using a belief-propagation based decoder to enhance the soft-input information prior to decoding with an algebraic soft-decision decoder. Our algorithm can also be viewed as an interpolation multiplicity assignment scheme for algebraic soft-decision decoding of Reed-Solomon codes.Comment: Submitted to IEEE for publication in Jan 200

Multicast Network Coding and Field Sizes

In an acyclic multicast network, it is well known that a linear network coding solution over GF($q$) exists when $q$ is sufficiently large. In particular, for each prime power $q$ no smaller than the number of receivers, a linear solution over GF($q$) can be efficiently constructed. In this work, we reveal that a linear solution over a given finite field does \emph{not} necessarily imply the existence of a linear solution over all larger finite fields. Specifically, we prove by construction that: (i) For every source dimension no smaller than 3, there is a multicast network linearly solvable over GF(7) but not over GF(8), and another multicast network linearly solvable over GF(16) but not over GF(17); (ii) There is a multicast network linearly solvable over GF(5) but not over such GF($q$) that $q > 5$ is a Mersenne prime plus 1, which can be extremely large; (iii) A multicast network linearly solvable over GF($q^{m_1}$) and over GF($q^{m_2}$) is \emph{not} necessarily linearly solvable over GF($q^{m_1+m_2}$); (iv) There exists a class of multicast networks with a set $T$ of receivers such that the minimum field size $q_{min}$ for a linear solution over GF($q_{min}$) is lower bounded by $\Theta(\sqrt{|T|})$, but not every larger field than GF($q_{min}$) suffices to yield a linear solution. The insight brought from this work is that not only the field size, but also the order of subgroups in the multiplicative group of a finite field affects the linear solvability of a multicast network

On Network Coding Capacity - Matroidal Networks and Network Capacity Regions

One fundamental problem in the field of network coding is to determine the network coding capacity of networks under various network coding schemes. In this thesis, we address the problem with two approaches: matroidal networks and capacity regions. In our matroidal approach, we prove the converse of the theorem which states that, if a network is scalar-linearly solvable then it is a matroidal network associated with a representable matroid over a finite field. As a consequence, we obtain a correspondence between scalar-linearly solvable networks and representable matroids over finite fields in the framework of matroidal networks. We prove a theorem about the scalar-linear solvability of networks and field characteristics. We provide a method for generating scalar-linearly solvable networks that are potentially different from the networks that we already know are scalar-linearly solvable. In our capacity region approach, we define a multi-dimensional object, called the network capacity region, associated with networks that is analogous to the rate regions in information theory. For the network routing capacity region, we show that the region is a computable rational polytope and provide exact algorithms and approximation heuristics for computing the region. For the network linear coding capacity region, we construct a computable rational polytope, with respect to a given finite field, that inner bounds the linear coding capacity region and provide exact algorithms and approximation heuristics for computing the polytope. The exact algorithms and approximation heuristics we present are not polynomial time schemes and may depend on the output size.Comment: Master of Engineering Thesis, MIT, September 2010, 70 pages, 10 figure

Substitute Valuations: Generation and Structure

Substitute valuations (in some contexts called gross substitute valuations) are prominent in combinatorial auction theory. An algorithm is given in this paper for generating a substitute valuation through Monte Carlo simulation. In addition, the geometry of the set of all substitute valuations for a fixed number of goods K is investigated. The set consists of a union of polyhedrons, and the maximal polyhedrons are identified for K=4. It is shown that the maximum dimension of the maximal polyhedrons increases with K nearly as fast as two to the power K. Consequently, under broad conditions, if a combinatorial algorithm can present an arbitrary substitute valuation given a list of input numbers, the list must grow nearly as fast as two to the power K.Comment: Revision includes more background and explanation

Algorithms and Throughput Analysis for MDS-Coded Switches

Network switches and routers need to serve packet writes and reads at rates that challenge the most advanced memory technologies. As a result, scaling the switching rates is commonly done by parallelizing the packet I/Os using multiple memory units. For improved read rates, packets can be coded with an [n,k] MDS code, thus giving more flexibility at read time to achieve higher utilization of the memory units. In the paper, we study the usage of [n,k] MDS codes in a switching environment. In particular, we study the algorithmic problem of maximizing the instantaneous read rate given a set of packet requests and the current layout of the coded packets in memory. The most interesting results from practical standpoint show how the complexity of reaching optimal read rate depends strongly on the writing policy of the coded packets.Comment: 6 pages, an extended version of a paper accepted to the 2015 IEEE International Symposium on Information Theory (ISIT