DCDIS£ºDynamics of Continuous, Discrete and Impulsive Systems

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Series B: Applications & Algorithms
Volume 12, Number 4 (2005)


TABLE OF CONTENTS

1

Portfolio Optimization under Long-Short Constraints
H. Konno, T. Koshizuka and R. Yamamoto
Abstract | Full Text: [ PDF (232 kB) ] | Pages 483-498
   
2

Portfolio Rebalancing with Transaction Costs and a Minimal Purchase Unit
Y. Fang, K.K. Lai and S.Y. Wang
Abstract | Full Text: [ PDF (183 kB) ] | Pages 499-515
   
3

A Closed-form Solution to a Dynamic Portfolio Optimization Problem
Z.F. Li, K.W. NG, K.S. Tan and H. Yang
Abstract | Full Text: [ PDF (176 kB) ] | Pages 517-526
   
4

Portfolio Selection via Replicator Dynamics and Projections of Indefinite Estimated Covariances
I.M. Bomze
Abstract | Full Text: [ PDF (303 kB) ] | Pages 527-563
   
5

Multiperiod Portfolio Selection on a Minimax Rule
M. Yu, S.Y. Wang, K.K. Lai and X. Chao
Abstract | Full Text: [ PDF (207 kB) ] | Pages 565-587
   
6

Arbitrage Opportunities on Derivatives: a Linear Programming Approach
S. Herzel
Abstract | Full Text: [ PDF (189 kB) ] | Pages 589-606
   
7

Equilibrium Prices for Resource Allocation in Grid Computing
L. Chen, N. Chen, X. Deng and H. Zhu
Abstract | Full Text: [ PDF (199 kB) ] | Pages 607-615
   
8

Analysis and Evaluation for Optimal Allocation in Sequential Internet Auction Systems with Reserve Price
L. Du, Q. Hu and W. Yue
Abstract | Full Text: [ PDF (304 kB) ] | Pages 617-631
   
9

Some Observations on Zap and Its Applications
Y. Zhao, C.H. Lee, Y. Zhao and H. Zhu
Abstract | Full Text: [ PDF (223 kB) ] | Pages 633-648