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Indices of quadratic programs over reproducing kernel Hilbert spaces for fun and profit

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  • Geoffrey Hutinet
  • J. E. Pascoe

Abstract

We give an abstract perspective on quadratic programming with an eye toward long portfolio theory geared toward explaining sparsity via maximum principles. Specifically, in optimal allocation problems, we see that support of an optimal distribution lies in a variety intersect a kind of distinguished boundary of a compact subspace to be allocated over. We demonstrate some of its intelligence by using it to solve mazes and interpret such behavior as the underlying space trying to understand some hypothetical platonic index for which the capital asset pricing model holds.

Suggested Citation

  • Geoffrey Hutinet & J. E. Pascoe, 2024. "Indices of quadratic programs over reproducing kernel Hilbert spaces for fun and profit," Papers 2412.18201, arXiv.org.
    • Handle: RePEc:arx:papers:2412.18201
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    References listed on IDEAS

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    1. Green, Richard C, 1986. "Positively Weighted Portfolios on the Minimum-Variance Frontier," Journal of Finance, American Finance Association, vol. 41(5), pages 1051-1068, December.
    2. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
    3. Roll, Richard, 1977. "A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory," Journal of Financial Economics, Elsevier, vol. 4(2), pages 129-176, March.
    4. Best, Michael J. & Grauer, Robert R., 1992. "Positively Weighted Minimum-Variance Portfolios and the Structure of Asset Expected Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(4), pages 513-537, December.
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