168 research outputs found
Jost asymptotics for matrix orthogonal polynomials on the real line
We obtain matrix-valued Jost asymptotics for block Jacobi matrices under an
L1-type condition on Jacobi parameters, and give a necessary and sufficient
condition for an analytic matrix-valued function to be the Jost function of a
block Jacobi matrix with exponentially converging parameters. This establishes
the matrix-valued analogue of Damanik-Simon-II paper [6]. The above results
allow us to fully characterize the matrix-valued Weyl-Titchmarsh m-functions of
block Jacobi matrices with exponentially converging parameters
Multiple Priors And No-Transaction Region
We study single period asset allocation problems of the investor who maximizes the expected utility with respect to non-additive beliefs. The non-additive beliefs of the investor model the presence of an uncertainty and they are assumed to be consistent with the Maxmin expected utility theory of Gilboa and Schmeidler (1989). The proportional transaction costs are incorporated into the model. We provide the explicit form solutions for the bounds of no-transaction regions which completely determine the optimal policy of the investor. --uncertainty modelling,utility theory,maxmin portfolio selection,transaction costs
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