This paper investigates a mean-variance portfolio selection problem in continuous time with fixed and proportional transaction costs. Utilizing the dynamic programming, the Hamilton-Jacobi-Bellman (HJB) equation is derived, and the explicit closed form solution is obtained. Furthermore, the optimal strategies and efficient frontiers are also proposed for the original mean-variance problem. Nume...

variace / covariance components of 227118 first lactaiom test-day milk yield records belonged to 31258 iranian holstein cows were estimated using nine random regression models. afterwards, different measures of persistency based on estimation breeding value were evaluated. three functions were used to adjust fixed lactation curve: ali and schaeffer (as), quadratic (le3) and cubic (le4) order of...

a number of 5558 lambing records of 2245 mehraban ewes, collected during years 1995 to 2010 were utilized to estimate the variance components and heritability for the number of lambs per lambing,  making use of b-spline random regression models. the fixed factors affecting the studied trait were identified using general linear model analysis as well as sas software, where flock-year-season and ...

Expressions for the variance of an estimated frequency function are necessary for many issues in model validation and experiment design. A general result is that a simple expression for this variance can be obtained asymptotically as the model order tends to infinity. This expression shows that the variance is inversely proportional to the signal-to-noise ratio frequency by frequency. Still, fo...

Here we study the performance of a one-period investment X0 > 0 (dollars) shared among several different assets. Our criterion for measuring performance will be the mean and variance of its rate of return; the variance being viewed as measuring the risk involved. Among other things we will see that the variance of an investment can be reduced simply by diversifying, that is, by sharing the X0 a...

Building upon the work of Chen et al. (2010), this paper proposes a test for sphericity of the variance-covariance matrix in a fixed effects panel data regression model without the normality assumption on the disturbances.

Normally distributed data arises in various contexts and often one is interested in estimating its variance. The authors limit themselves in this chapter to the class of estimators that are (positive) multiples of sample variances. Two important qualities of estimators are bias and variance, which respectively capture the estimator’s accuracy and precision. Apart from the two classical estimato...

This paper addresses the QR decomposition and UD factorization based square-root algorithms of the recursive least-squares (RLS) Wiener fixed-point smoother and filter. In the RLS Wiener estimators, the Riccati-type difference equations for the auto-variance function of the filtering estimate are included. Hence, by the roundoff errors, in the case of the small value of the observation noise va...

In this paper we determine all the bijective linear maps on the space of bounded observables which preserve a fixed moment or the variance. Nonlinear versions of the corresponding results are also presented.

We provide a simple explicit estimator for discretely observed Barndorff-Nielsen and Shephard models, prove rigorously consistency and asymptotic normality based on the single assumption that all moments of the stationary distribution of the variance process are finite, and give explicit expressions for the asymptotic covariance matrix. We develop in detail the martingale estimating function ap...