arXiv subjects

Wolfgang Schmid

Publications and source records attributed to Wolfgang Schmid.

41 records · Page 3Linked to original sources

arXiv2013

Local and global tameness in Krull monoids

Let H be a Krull monoid with finite class group G such that every class contains a prime divisor. Then the global tame degree t (H) equals zero if and only if H is factorial (equivalently, |G|=1). If |G| > 1, then D (G) <= t (H) <= 1 + D (G) (D (G) -1) / 2, where D (G) is the Davenport constant of G. We analyze the case when t (H) equals the lower bound, and we show that t (H) grows asymptotically as the upper bound, when both terms are considered as functions of the rank of G. We provide more precise results if G is either cyclic or an elementary 2-group.

math.AC↗

arXiv2013

On the Equivalence of Quadratic Optimization Problems Commonly Used in Portfolio Theory

In the paper, we consider three quadratic optimization problems which are frequently applied in portfolio theory, i.e, the Markowitz mean-variance problem as well as the problems based on the mean-variance utility function and the quadratic utility.Conditions are derived under which the solutions of these three optimization procedures coincide and are lying on the efficient frontier, the set of mean-variance optimal portfolios. It is shown that the solutions of the Markowitz optimization problem and the quadratic utility problem are not always mean-variance efficient. The conditions for the mean-variance efficiency of the solutions depend on the unknown parameters of the asset returns. We deal with the problem of parameter uncertainty in detail and derive the probabilities that the estimated solutions of the Markowitz problem and the quadratic utility problem are mean-variance efficient. Because these probabilities deviate from one the above mentioned quadratic optimization problems are not stochastically equivalent. The obtained results are illustrated by an empirical study.

q-fin.PM↗

arXiv2012

On Control Charts for Monitoring the Variance of a Time Series

In this paper we derive control charts for the variance of a Gaussian process using the likelihood ratio approach, the generalized likelihood ratio approach, the sequential probability ratio method and a generalized sequential probability ratio procedure, the Shiryaev-Roberts procedure and a generalized Shiryaev-Roberts ap- proach. Recursive presentations for the calculation of the control statistics are given for autoregressive processes of order 1. In an extensive simulation study these schemes are compared with existing control charts for the variance. In order to asses the performance of the schemes both the average run length and the average delay are used.

stat.AP↗

arXiv2012

On the Exact Solution of the Multi-Period Portfolio Choice Problem for an Exponential Utility under Return Predictability

In this paper we derive the exact solution of the multi-period portfolio choice problem for an exponential utility function under return predictability. It is assumed that the asset returns depend on predictable variables and that the joint random process of the asset returns and the predictable variables follow a vector autoregressive process. We prove that the optimal portfolio weights depend on the covariance matrices of the next two periods and the conditional mean vector of the next period. The case without predictable variables and the case of independent asset returns are partial cases of our solution. Furthermore, we provide an empirical study where the cumulative empirical distribution function of the investor's wealth is calculated using the exact solution. It is compared with the investment strategy obtained under the additional assumption that the asset returns are independently distributed.

q-fin.PM↗

arXiv2009

The Catenary Degree of Krull Monoids I

Let $H$ be a Krull monoid with finite class group $G$ such that every class contains a prime divisor (for example, a ring of integers in an algebraic number field or a holomorphy ring in an algebraic function field). The catenary degree $\mathsf c (H)$ of $H$ is the smallest integer $N$ with the following property: for each $a \in H$ and each two factorizations $z, z'$ of $a$, there exist factorizations $z = z_0, ..., z_k = z'$ of $a$ such that, for each $i \in [1, k]$, $z_i$ arises from $z_{i-1}$ by replacing at most $N$ atoms from $z_{i-1}$ by at most $N$ new atoms. Under a very mild condition on the Davenport constant of $G$, we establish a new and simple characterization of the catenary degree. This characterization gives a new structural understanding of the catenary degree. In particular, it clarifies the relationship between $\mathsf c (H)$ and the set of distances of $H$ and opens the way towards obtaining more detailed results on the catenary degree. As first applications, we give a new upper bound on $\mathsf c(H)$ and characterize when $\mathsf c(H)\leq 4$.

math.NT↗