This paper discusses the role that Genetic Algorithms (GA) can have in determining asset allocation for multi sector funds. We present an asset allocation model where the investors' utility function departs from the quadratic utility function assumed by the standard Mean-Variance optimisation....

We consider a model where investors can invest directly or search for an asset manager, information about assets is costly, and managers charge an endogenous fee. The efficiency of asset prices is linked to the efficiency of the asset management market: if investors can find managers more...

We consider a quasilinear parabolic equation with quadratic gradient terms. It arises in the modelling of an optimal portfolio which maximizes the expected utility from terminal wealth in incomplete markets consisting of risky assets and non-tradable state variables. The existence of solutions...

Let Ω ⊂ ℝ be a smooth bounded domain. We give necessary and su cient conditions for the existence of positive solutions for sublinear Dirichlet periodic parabolic problems = (, , ) in Ω × ℝ for a wide class of Caratheodory functions : Ω × ℝ [0, ∞) → ℝ satisfying some...