An Efficient Portfolio with Several Objectives and Varying Parameters

Multiple Objectives in Portfolio Selection

We begin this paper by first comparing the theory of present-day portfolio selection, which is a theory for standard investors (whose utility functions take on only the single argument of portfolio return), with a developing theory for non-standard investors (whose utility functions are allowed to take on additional arguments). Examples of additional arguments are dividends, liquidity, social r...

Efficient Estimation of Spatially Varying Subsurface Scattering Parameters

We present an image-based technique to efficiently acquire spatially varying subsurface reflectance properties of a human face. The estimated properties can be used directly to render faces with spatially varying scattering, or can be used to estimate a robust average across the face. We demonstrate our technique with renderings of peoples’ faces under novel, spatially-varying illumination and ...

Efficient Estimation of Spatially Varying Subsurface Scattering Parameters for Relighting

We present an image-based technique to rapidly acquire spatially varying subsurface reflectance properties of a human face. The estimated properties can be used directly to render faces with spatially varying scattering, or can be used to estimate a robust average across the face. We demonstrate our technique with renderings of peoples’ faces under novel, spatially-varying illumination and prov...

Monitoring Time-Varying Parameters in an Autoregression

Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection

In standard portfolio theory, an investor is typically taken as having one stochastic objective, to maximize the random variable of portfolio return. But in this paper, we focus on investors whose purpose is to build, more broadly, a “suitable portfolio” taking additional concerns into account. Such investors would have additional stochastic and deterministic objectives that might include liqui...