Unified Framework of Mean-Field Formulations for Optimal Multi-period Mean-Variance Portfolio Selection

The classical dynamic programming-based optimal stochastic control methods fail to cope with nonseparable dynamic optimization problems as the principle of optimality no longer applies in such situations. Among these notorious nonseparable problems, the dynamic mean-variance portfolio selection formulation had posted a great challenge to our research community until recently. A few solution methods, including the embedding scheme, have been developed in the last decade to solve the dynamic mean-variance portfolio selection formulation successfully. We propose in this paper a novel mean-field framework that offers a more efficient modeling tool and a more accurate solution scheme in tackling directly the issue of nonseparability and deriving the optimal policies analytically for the multi-period mean-variance-type portfolio selection problems

Mean-Variance Policy for Discrete-time Cone Constrained Markets: The Consistency in Efficiency and Minimum-Variance Signed Supermartingale Measure

The discrete-time mean-variance portfolio selection formulation, a representative of general dynamic mean-risk portfolio selection problems, does not satisfy time consistency in efficiency (TCIE) in general, i.e., a truncated pre-committed efficient policy may become inefficient when considering the corresponding truncated problem, thus stimulating investors' irrational investment behavior. We investigate analytically effects of portfolio constraints on time consistency of efficiency for convex cone constrained markets. More specifically, we derive the semi-analytical expressions for the pre-committed efficient mean-variance policy and the minimum-variance signed supermartingale measure (VSSM) and reveal their close relationship. Our analysis shows that the pre-committed discrete-time efficient mean-variance policy satisfies TCIE if and only if the conditional expectation of VSSM's density (with respect to the original probability measure) is nonnegative, or once the conditional expectation becomes negative, it remains at the same negative value until the terminal time. Our findings indicate that the property of time consistency in efficiency only depends on the basic market setting, including portfolio constraints, and this fact motivates us to establish a general solution framework in constructing TCIE dynamic portfolio selection problem formulations by introducing suitable portfolio constraints

A general statistical framework for dissecting parent-of-origin effects underlying endosperm traits in flowering plants

Genomic imprinting has been thought to play an important role in seed development in flowering plants. Seed in a flowering plant normally contains diploid embryo and triploid endosperm. Empirical studies have shown that some economically important endosperm traits are genetically controlled by imprinted genes. However, the exact number and location of the imprinted genes are largely unknown due to the lack of efficient statistical mapping methods. Here we propose a general statistical variance components framework by utilizing the natural information of sex-specific allelic sharing among sibpairs in line crosses, to map imprinted quantitative trait loci (iQTL) underlying endosperm traits. We propose a new variance components partition method considering the unique characteristic of the triploid endosperm genome, and develop a restricted maximum likelihood estimation method in an interval scan for estimating and testing genome-wide iQTL effects. Cytoplasmic maternal effect which is thought to have primary influences on yield and grain quality is also considered when testing for genomic imprinting. Extension to multiple iQTL analysis is proposed. Asymptotic distribution of the likelihood ratio test for testing the variance components under irregular conditions are studied. Both simulation study and real data analysis indicate good performance and powerfulness of the developed approach.Comment: Published in at http://dx.doi.org/10.1214/09-AOAS323 the Annals of Applied Statistics (http://www.imstat.org/aoas/) by the Institute of Mathematical Statistics (http://www.imstat.org

On commuting Tonelli Hamiltonians: Autonomous case

We show that the Aubry sets, the Ma\~{n}\'{e} sets, Mather's barrier functions are the same for two commuting autonomous Tonelli Hamiltonians. We also show the quasi-linearity of $\alpha$-functions from the dynamical point of view and the existence of common $C^{1,1}$ critical subsolution for their associated Hamilton-Jacobi equations.Comment: 15 page