0
votes
2answers
42 views

Distance between convex set and non-convex set?

So in http://en.m.wikipedia.org/wiki/Shapley%E2%80%93Folkman_lemma there is some talk about distance between a mintowksi sum and a convex set. But I couldn't get how distance is being defined. Can ...
0
votes
2answers
249 views

Portfolio Optimization Problem Without Correlation Info

I received this interesting problem from a friend today: Assume that you are a portfolio manager with $10 million to allocate to hedge funds. The due diligence team has identified the following ...
10
votes
1answer
370 views

A (mathematically) sound investment strategy

It is common wisdom in the investment community that a long-term investor saving for his future would do well to invest in high-risk/high-return assets when he is young, slowly switching his portfolio ...