The basics of the mean-variance portfolio optimisation procedure have been well understood since the seminal work of Markowitz in the 1950's. A vector x of asset weights, restricted only by requiring its components to add to 1, is to be chosen so that the linear combination μ<Subscript>p</Subscript>=x <Superscript>′</Superscript> μ of the...</superscript></subscript>

In a series of papers, Hiriart-Urruty proposed necessary and sufficient global optimality conditions for the so-called d.c. problem and the convex maximization problem. In this paper, we investigate the underlying local optimality conditions, which, in general, are necessary, but not sufficient...

This paper deals with the problem of representing the matching independence system in a graph as the intersection of finitely many matroids. After characterizing the graphs for which the matching independence system is the intersection of two matroids, we study the function μ(G), which is the...

This paper deals with the cost benefit analysis of series systems with warm standby components. The time-to-repair and the time-to-failure for each of the primary and warm standby components is assumed to have the negative exponential distribution. We develop the explicit expressions for the...

Recently, so-called trade-off directions have been introduced for convex multiobjective optimization problems and, later, they have been generalized for nonconvex problems. The trade-off directions are characterized with the help of tangent and contingent cones. Trade-offs give information about...

This paper is concerned with the optimal control of a bulk service queueing system under N-policy. If the number of customers in the system at a service completion is larger than some integer r, then the server starts processing a group of r customers. If, on the other hand, it is smaller than...

We consider the optimization problem of a decision maker facing a sequence of coin tosses with an initially unknown probability Θ for heads. Before each toss she bets on either heads or tails and she wins one euro if she guesses correctly, otherwise she loses one euro. We investigate the effect...

We study a single removable and non-reliable server in the N policy M/M/1 queueing system. The server begins service only when the number of customers in the system reaches N (N≥1). After each idle period, the startup times of the server follow the negative exponential distribution. While the...

In this paper we study the (Berge) upper semicontinuity of a generic multifunction assigning to each parameter, in a metric space, a closed convex subset of the n-dimensional Euclidean space. A relevant particular case arises when we consider the feasible set mapping associated with a parametric...

We show that in a discrete-time large financial market the absence of certain asymptotic arbitrage opportunities is equivalent to the existence of martingale measures in a strong sense. We also consider the Arbitrage Pricing Model with stable random variables where we are able to give explicit...