The traditional quadratic programming approach to portfolio optimisation is difficult to implement when there are cardinality constraints. Recent approaches to resolving this have used heuristic algorithms to search for points on the cardinality constrained frontier. However, these can be computationally expensive when the practitioner does not know a priori exactly how many assets they may des...

This paper presents reduced-rank linearly constrained minimum variance (LCMV) beamforming algorithms based on joint iterative optimization of filters. The proposed reduced-rank scheme is based on a constrained joint iterative optimization of filters according to the minimum variance criterion. The proposed optimization procedure adjusts the parameters of a projection matrix and an adaptive redu...

As an extension of the discrete-time case, this note investigates the variance of the total cumulative reward for the embedded Markov chain of semi-Markov processes. Under the assumption that the chain is aperiodic and contains a single class of recurrent states recursive formulae for the variance are obtained which show that the variance growth rate is asymptotically linear in time. Expression...