A Convex Stochastic Optimization Problem Arising from Portfolio Selection

A continuous-time financial portfolio selection model with expected utility maximization typically boils down to solving a (static) convex stochastic optimization problem in terms of the terminal wealth, with a budget constraint. In literature the latter is solved by assuming {\it a priori} that the problem is well-posed (i.e., the supremum value is finite) and a Lagrange multiplier exists (and as a consequence the optimal solution is attainable). In this paper it is first shown, via various counter-examples, neither of these two assumptions needs to hold, and an optimal solution does not necessarily exist. These anomalies in turn have important interpretations in and impacts on the portfolio selection modeling and solutions. Relations among the non-existence of the Lagrange multiplier, the ill-posedness of the problem, and the non-attainability of an optimal solution are then investigated. Finally, explicit and easily verifiable conditions are derived which lead to finding the unique optimal solution.Comment: 15 page

The Beauty and the Pain of Leaving and Coming Home

2012 essay contest winner Sarah Korn\u27s The Beauty and the Pain of Leaving and Coming Home Korn traveled abroad in 2010 but participated in the 2012 essay contest

Charm Physics at the Tevatron

First charm physics results from the CDF and D0 experiments at the Tevatron Run II are presented. With the addition of the Secondary Vertex Trigger CDF has become a competitive charm experiment.Comment: 4 pages, 11 figures proceedings of the XXXVIIIth Rencontres de Moriond on QCD and High Energy Hadronic Interactions, Les Arcs March 200

Woodbury, Town of and Woodbury Police Benevolent Association (Dispatchers)

In the Matter of TOWN OF WOODBURY, Orange County and WOODBURY POLICE BENEVOLENT ASSOCIATION (Dispatchers). FINDINGS OF FACT and RECOMMENDATIONS FOR RESOLUTION. Peter A. Korn, Fact Finder

Town of Eastchester and Eastchester White & Blue Collar Unit, CSEA Local 1000. AFSCME, AFL-CIO, Westchester County Local 860

In the matter of the fact-finding between the Town of Eastchester, employer, and the Eastchester White & Blue Collar Unit, CSEA Local 1000. AFSCME, AFL-CIO, Westchester County Local 860, union. PERB case no. M2011-041. Before: Peter A. Korn, fact finder

Croton-Harmon Union Free School District and Croton-Harmon Clerical Unit, CSEA, Local 860

In the matter of the fact-finding between the Croton-Harmon Union Free School District, employer, and the Croton-Harmon Clerical Unit, CSEA, Local 860, union. PERB case no. 2010-213. Before: Peter A. Korn, fact finder

Sleepy Hollow, Village of and Municipal Employee Unit, United Federation of Police Officers

In the matter of the fact-finding between the Village of Sleepy Hollow, employer, and the United Federation of Police Officers, Municipal Employee Unit, union. PERB case no. M2009-266. Before: Peter A. Korn, fact finder

Comment: Causal Inference in the Medical Area

Comment on Causal Inference in the Medical Area [math.ST/0612783]Comment: Published at http://dx.doi.org/10.1214/088342306000000286 in the Statistical Science (http://www.imstat.org/sts/) by the Institute of Mathematical Statistics (http://www.imstat.org