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We solve two
Markowitz optimization problems for the one-step financial model with a finite
number of assets. In our results, the classical (inefficient) constraints are
replaced by coherent measures of risk that are continuous from below. The
methodology of proof requires optimization techniques based on functional
analysis methods. We solve explicitly both problems in the important case of
Tail Value at Risk.
The Gross-Pitaevskii equation (GPE), that describes the wave function of a number of coherent Bose particles contained in a trap, contains the cube of the normalized wave function, times a factor proportional to the number of coherent atoms. The square of the wave function, times the above mentioned factor, is defined as the Hartree potential. A method implemented here for the numerical solution of the GPE consists in obtaining the Hartree potential iteratively, starting with the Thomas Fermi approximation to this potential. The energy eigenvalues and the corresponding wave functions for each successive potential are obtained by a spectral method described previously. After approximately 35 iterations a stability of eight significant figures for the energy eigenvalues is obtained. This method has the advantage of being physically intuitive, and could be extended to the calculation of a shell-model potential in nuclear physics, once the Pauli exclusion principle is allowed for.