相关论文: On Markowitz Geometry

We give an algebraic definition of a Markowitz market and classify markets up to isomorphism. Given this classification, the theory of portfolio optimization in Markowitz markets without short selling constraints becomes trivial.…

Markowitz's celebrated mean--variance portfolio optimization theory assumes that the means and covariances of the underlying asset returns are known. In practice, they are unknown and have to be estimated from historical data. Plugging the…

The main aim of this paper is to show the interconnections between {\L}ukasiewicz logic and algebraic geometry using algebraic, geometric and logical instruments. We continue our investigation into a new algebraic geometry based on…

In this paper we study relations between intersection numbers on moduli spaces of curves and Hurwitz numbers. First, we prove two formulas expressing Hurwitz numbers of (generalized) polynomials via intersections on moduli spaces of curves.…

This paper is a survey on arc spaces, a recent topic in algebraic geometry and singularity theory. The geometry of the arc space of an algebraic variety yields several new geometric invariants and brings new light to some classical…

The Hurwitz form of a projective variety characterizes linear spaces of complementary dimension which meet the variety non-transversally. We extend this notion to varieties in a product of projective spaces. This parallels the multigraded…

Hurwitz spaces which parametrize branched covers of the line play a prominent role in inverse Galois theory. This paper surveys fifty years of works in this direction with emphasis on recent advances. Based on the Riemann-Hurwitz theory of…

Gaussian double Markovian models consist of covariance matrices constrained by a pair of graphs specifying zeros simultaneously in the covariance matrix and its inverse. We study the semi-algebraic geometry of these models, in particular…

Markowitz mean-variance portfolios with sample mean and covariance as input parameters feature numerous issues in practice. They perform poorly out of sample due to estimation error, they experience extreme weights together with high…

This paper studies a robust continuous-time Markowitz portfolio selection pro\-blem where the model uncertainty carries on the covariance matrix of multiple risky assets. This problem is formulated into a min-max mean-variance problem over…

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…

This paper explores the practical approach to portfolio selection methods for investments. The study delves into portfolio theory, discussing concepts such as expected return, variance, asset correlation, and opportunity sets. It also…

This survey/expository article covers a variety of topics related to the "topology at infinity" of noncompact manifolds and complexes. In manifold topology and geometric group theory, the most important noncompact spaces are often…

Some concepts of real and complex projective geometry are applied to the fundamental physical notions that relate to Minkowski space and the Lorentz group. In particular, it is shown that the transition from an infinite speed of propagation…

A theory of graded manifolds can be viewed as a generalization of differential geometry of smooth manifolds. It allows one to work with functions which locally depend not only on ordinary real variables, but also on $\mathbb{Z}$-graded…

We study a class of semialgebraic convex bodies called discotopes. These are instances of zonoids, objects of interest in real algebraic geometry and random geometry. We focus on the face structure and on the boundary hypersurface of…

The Markowitz mean-variance portfolio optimization model aims to balance expected return and risk when investing. However, there is a significant limitation when solving large portfolio optimization problems efficiently: the large and dense…

This paper concerns the \textbf{abstract geometry of numbers}: namely the pursuit of certain aspects of geometry of numbers over a suitable class of normed domains. (The standard geometry of numbers is then viewed as geometry of numbers…

The Hurwitz space is a compactification of the space of rational functions of a given degree. We study the intersection of various strata of this space with its boundary. A study of the cohomology ring of the Hurwitz space then allows us to…

Visual insights into a wide variety of statistical methods, for both didactic and data analytic purposes, can often be achieved through geometric diagrams and geometrically based statistical graphs. This paper extols and illustrates the…