Software to compute infinitesimal symmetries of exterior differenial systems, with applications

A description is given of a software package to compute symmetries of partial differential equations, using computer algebra. As an application, the computation of higher-order symmetries of the classical Boussinesq equation is given leading to the recursion operator for symmetries in a straightforward way. Nonlocal symmetries for the Federbush model are obtained yielding the linearization of the model

Portfolio selection with higher moments

We propose a method for optimal portfolio selection using a Bayesian decision theoretic framework that addresses two major shortcomings of the traditional Markowitz approach: the ability to handle higher moments and parameter uncertainty. We employ the skew normal distribution which has many attractive features for modeling multivariate returns. Our results suggest that it is important to incorporate higher order moments in portfolio selection. Further, our comparison to other methods where parameter uncertainty is either ignored or accommodated in an ad hoc way, shows that our approach leads to higher expected utility than competing methods, such as the resampling methods that are common in the practice of finance.Bayesian decision problem, Multivariate skewness, Parameter uncertainty, Optimal portfolios, Utility function maximization,