arXiv subjects

Fumio Ishizaki

Publications and source records attributed to Fumio Ishizaki.

2 recordsLinked to original sources

arXiv2026

On Drift Induced by Local Transition Asymmetry in Combinatorial State Spaces

We study stochastic processes on combinatorial state spaces with local transition constraints, as arise in local search algorithms. We show that asymmetry in local transitions induces a systematic drift in a distance process relative to a reference configuration. This drift results from the imbalance between inward and outward transitions, translating combinatorial multiplicities into directional bias. Analyzing the random walk on the Johnson graph, we derive explicit expressions for the drift and expected hitting times. We also show that locality constraints lead to trajectory-level differences that can hinder search trajectories from reaching the target, even under identical stationary distributions.

cs.CE↗

arXiv2024

Formulations to select assets for constructing sparse index tracking portfolios

In this paper, we study asset selection methods to construct a sparse index tracking portfolio. For its advantage over full replication portfolio, the concept of sparse index tracking portfolio has significant attention in the field of finance and investment management. We propose useful formulations to select assets for sparse index tracking portfolio. Our formulations are described as combinatorial optimization problems, and they can yield various asset selection methods, including some existing methods, by adjusting the values of parameters. As a result, the proposed formulations can provide a well-balanced asset selection to create successful sparse index tracking portfolios. We also provide numerical examples to compare the tracking performance of resulting sparse index tracking portfolios.

cs.CE↗