Ways of finding a maximum skewness portfolio, with given return, variance and kurtosis, are presented. The methods take advantage of the special shape of the efficient portfolios manifold. Simpler solutions are obtained if the higher moments tensor has some particular structures. The problem of...

We consider a kinetic equation approach to dynamical systems with finite memory, based upon a probabilistic approach given in Dorofeenko and Shorish (2004). This approach uses a master equation methodology to analytically model the dynamics of distributed systems with many heterogeneous agents,...

A distributed system model is studied, where individual agents engage in repeated play against each other and can change their strategies based upon previous play. Similar to Dorofeenko and Shorish (2005), it is shown how to model this environment in terms of continuous population densities...

The purpose of the paper is to derive and illustrate a new suboptimal-consistent feedback solution for infinite-horizon linear-quadratic dynamic Stackelberg games which is in the same solution space as the infinite-horizon dynamic programming feedback solution, but which puts the leader in a...

In this paper we solve a stochastic dynamic programming problem for the solution to a dynamic game in which the players select a mean level of control. The state transition dynamics are a function of the current state of the system and a multiplicative noise factor on the control variables of...

Recently, Campbell and Viceira (2002) have introduced a framework that allows for dynamic decisions in asset allocation. This paper follows up their work by showing how uncertainties and expectations may affect consumption and portfolio decisions in an intertemporal dynamic framework. We use the...

In this paper we investigate the performance of the threshold accepting heuristic for the index tracking problem. The index tracking problem consists in minimizing the tracking error between a portfolio and a benchmark. The objective is to replicate the performance of a given index upon the...

We report on progress on a Multistage Stochastic programming model for managing risks in the Danish MBS market. An issuer has the choice between adjustable and fixed rates, both types having various options. An integrated interest-rate and optimization model is needed to manage this complex...