Natural language grammars with large coverage are typically the result of many person-years of effort, working with clumsy formalisms and sub-optimal software support for grammar development. This paper describes our approach to the task of writing a substantial grammar, as part of a collaboration to produce a general purpose morphological and syntactic analyser for English. The grammatical for...

Automated language processing is central to the drive to enable facilitated referencing of increasingly available Sanskrit E-texts. The first step towards processing Sanskrit text involves the handling of Sanskrit compound words that are an integral part of Sanskrit texts. This firstly necessitates the processing of euphonic conjunctions or sandhi-s, which are points in words or between words, ...

The problem of quantitatively comparing tile performance of different broad-coverage grammars of English has to date resisted solution. Prima facie, known English grammars appear to disagree strongly with each other as to the elements of even tile simplest sentences. For instance, the grammars of Steve Abney (Bellcore), Ezra Black (IBM), Dan Flickinger (IIewlett Packard), Claudia Gdaniec (Logos...

In principle, implementation of portfolio investment strategies through market orders at the NYSE open would be problematic because of execution price uncertainty. This paper measures the impact, by comparing the actual value at the end of the trading day against the value one would have obtained if it were possible to observe opening prices when submitting orders. For positively weighted portf...

We consider a group of mean-variance investors with mimicking desire such that each investor is willing to penalize deviations of his portfolio composition from compositions of other group members. Penalizing norm constraints are already applied for statistical improvement of Markowitz portfolio procedure in order to cope with estimation risk. We relate these penalties to individuals’ wish of s...

Using the language of convex analysis we describe key results in several important areas of finance: portfolio theory, financial derivative trading and pricing and consumption based asset pricing theory. We hope to emphasize the importance of convex analysis in financial mathematics and also bring attention to researchers in convex analysis interesting issues in financial applications.

Domestic investors hold a substantially larger proportion of their wealth portfolios in domestic assets than standard portfolio theory would suggest, a phenomenon called "equity home bias." In the absence of this bias, investors would optimally diversify domestic output risk using foreign equities. Therefore, consumption growth rates would tend to comove across countries even when output growth...

In this article we have reviewed ``Modern Portfolio Analysis'' and outlined some important topics for further research. Issues discussed include the history and future of portfolio theory, the key inputs necessary to perform portfolio optimization, speci®c problems in applying portfolio theory to ®nancial institutions, and the methods for evaluating how well portfolios are managed. Emphasis is ...

International asset demands are functions of expected returns. Optimal portfolio theory tells us that the coetlicients in this relationship depend on the variance-covariance matrix of real returns. But previous estimates of the optimal portfolio (1) assume expected returns constant and (2) are not set up to test the hypothesis of mean-variance optimization. We use maximum likelihood estimation ...

Stakeholders in the science system need to decide where to place their bets. Example questions include: Which areas of research should get more funding? Who should we hire? Which projects should we abandon and which new projects should we start? Making informed choices requires knowledge about these research options. Unfortunately, to date research portfolio options have not been defined in a c...