23,956 research outputs found
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
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