A Benchmark Approach to Risk-Minimization under Partial Information

In this paper we study a risk-minimizing hedging problem for a semimartingale incomplete financial market where d+1 assets are traded continuously and whose price is expressed in units of the num\'{e}raire portfolio. According to the so-called benchmark approach, we investigate the (benchmarked) risk-minimizing strategy in the case where there are restrictions on the available information. More precisely, we characterize the optimal strategy as the integrand appearing in the Galtchouk-Kunita-Watanabe decomposition of the benchmarked claim under partial information and provide its description in terms of the integrands in the classical Galtchouk-Kunita-Watanabe decomposition under full information via dual predictable projections. Finally, we apply the results in the case of a Markovian jump-diffusion driven market model where the assets prices dynamics depend on a stochastic factor which is not observable by investors.Comment: 31 page

Bartering integer commodities with exogenous prices

The analysis of markets with indivisible goods and fixed exogenous prices has played an important role in economic models, especially in relation to wage rigidity and unemployment. This research report provides a mathematical and computational details associated to the mathematical programming based approaches proposed by Nasini et al. (accepted 2014) to study pure exchange economies where discrete amounts of commodities are exchanged at fixed prices. Barter processes, consisting in sequences of elementary reallocations of couple of commodities among couples of agents, are formalized as local searches converging to equilibrium allocations. A direct application of the analyzed processes in the context of computational economics is provided, along with a Java implementation of the approaches described in this research report.Comment: 30 pages, 5 sections, 10 figures, 3 table

A Fourier analytic approach to the problem of mutually unbiased bases

We give an entirely new approach to the problem of mutually unbiased bases (MUBs), based on a Fourier analytic technique in additive combinatorics. The method provides a short and elegant generalization of the fact that there are at most $d+1$ MUBs in \Co^d. It may also yield a proof that no complete system of MUBs exists in some composite dimensions -- a long standing open problem.Comment: 11 page

Primitive Zonotopes

We introduce and study a family of polytopes which can be seen as a generalization of the permutahedron of type $B_d$. We highlight connections with the largest possible diameter of the convex hull of a set of points in dimension $d$ whose coordinates are integers between $0$ and $k$, and with the computational complexity of multicriteria matroid optimization.Comment: The title was slightly modified, and the determination of the computational complexity of multicriteria matroid optimization was adde

Three-point bounds for energy minimization

Three-point semidefinite programming bounds are one of the most powerful known tools for bounding the size of spherical codes. In this paper, we use them to prove lower bounds for the potential energy of particles interacting via a pair potential function. We show that our bounds are sharp for seven points in RP^2. Specifically, we prove that the seven lines connecting opposite vertices of a cube and of its dual octahedron are universally optimal. (In other words, among all configurations of seven lines through the origin, this one minimizes energy for all potential functions that are completely monotonic functions of squared chordal distance.) This configuration is the only known universal optimum that is not distance regular, and the last remaining universal optimum in RP^2. We also give a new derivation of semidefinite programming bounds and present several surprising conjectures about them.Comment: 30 page

Detector-Agnostic Phase-Space Distributions

The representation of quantum states via phase-space functions constitutes an intuitive technique to characterize light. However, the reconstruction of such distributions is challenging as it demands specific types of detectors and detailed models thereof to account for their particular properties and imperfections. To overcome these obstacles, we derive and implement a measurement scheme that enables a reconstruction of phase-space distributions for arbitrary states whose functionality does not depend on the knowledge of the detectors, thus defining the notion of detector-agnostic phase-space distributions. Our theory presents a generalization of well-known phase-space quasiprobability distributions, such as the Wigner function. We implement our measurement protocol, using state-of-the-art transition-edge sensors without performing a detector characterization. Based on our approach, we reveal the characteristic features of heralded single- and two-photon states in phase space and certify their nonclassicality with high statistical significance

Lecture notes: Semidefinite programs and harmonic analysis

Lecture notes for the tutorial at the workshop HPOPT 2008 - 10th International Workshop on High Performance Optimization Techniques (Algebraic Structure in Semidefinite Programming), June 11th to 13th, 2008, Tilburg University, The Netherlands.Comment: 31 page