This section shows the one-period optimal trading strategy for the one-period FPTC problem.
(14) Equation (7) indicates that the optimal choice for the FPTC sell problem is the one that maintains the after-trading risky asset to risk-free asset ratio at [w.sub.1].
NTR of the one-period FPTC problem can be defined as [[THETA].sub.-] [intersection] [[THETA].sub.+] where [[THETA].sub.+] and [[THETA].sub.+] are defined as
Theorem 1 completely describes the NTR of the one-period FPTC problem.
The optimal trading strategy for the one-period FPTC problem is introduced in Theorem 2.
Theorem 2: The following is an optimal strategy for the one-period FPTC problem.
Proposition 3 shows that the optimal solution of the one-period FPTC is in the feasible region when its initial portfolio satisfies the simple condition [x.sub.0] [greater than or equal to] 2K.
This section examines the numerical properties of the multiperiod FPTC problem.
Figure 2 shows NTR and the rebalancing lines of the benchmark three-period FPTC problem.
The ratio of residual interstory drift demands for the FWC and FPTC structural systems defined as RRD is introduced to compare the structural performance of both types of systems.
The numerical study indicates that in all the cases, the maximum interstory drifts of the FPTC are smaller than those of the FWC; in fact, reductions in the order of 47% were obtained when the FPTC was employed as structural system compared with the traditional system.
The posttensioned frames with semirigid connections (FPTCs) have been recently proposed as an alternative for controlling the structural damage and to improve the behavior of steel structures in seismic areas [1-12].