Admissible strategies in semimartingale portfolio selection

The choice of admissible trading strategies in mathematical modelling of financial markets is a delicate issue, going back to Harrison and Kreps [HK79]. In the context of optimal portfolio selection with expected utility preferences this question has been the focus of considerable attention over the last twenty years. We propose a novel notion of admissibility that has many pleasant features { admissibility is characterized purely under the objective measure P; each admissible strategy can be approximated by simple strategies using finite number of trading dates; the wealth of any admissible strategy is a supermartingale under all pricing measures; local boundedness of the price process is not required; neither strict monotonicity, strict concavity nor differentiability of the utility function are necessary; the definition encompasses both the classical mean-variance preferences and the monotone expected utility. For utility functions finite on R, our class represents a minimal set containing simple strategies which also contains the optimizer, under conditions that are milder than the celebrated reasonable asymptotic elasticity condition on the utility function

Weak localization effects in granular metals

The weak localization correction to the conductivity of a granular metal is calculated using the diagrammatic technique in the reciprocal grain lattice representation. The properties of this correction are very similar to that one in disordered metal, with the replacement of the electron mean free path $\ell$ by the grain diameter $d$ and the dimensionless conductance $g$ by the tunnelling dimensionless conductance $g_{T}$. In particular, we demonstrate that at zero temperature no conducting phase can exist for dimensions $D\leq 2$. We also analyze the WL correction to magnetoconductivity in the weak field limit.Comment: 4 pages, 3 figures; minor corrections adde

Local risk-minimization under the benchmark approach

© 2014, Springer-Verlag Berlin Heidelberg. We study the pricing and hedging of derivatives in incomplete financial markets by considering the local risk-minimization method in the context of the benchmark approach, which will be called benchmarked local risk-minimization. We show that the proposed benchmarked local risk-minimization allows to handle under extremely weak assumptions a much richer modeling world than the classical methodology

Unambiguous determination of the g-factor for holes in bismuth at high B/T

Magnetotransport has been investigated in high purity bismuth crystals in static magnetic fields as high as 20 T and temperatures as low as 25 mK. This high B/T ratio permits observation of pronounced Shubnikov-de Haas oscillations over a wide field range and up to fields where most of the carriers are in the lowest Landau level. For transport currents in the bisectrix or binary directions and field in the perpendicular trigonal direction, we have observed doublet splittings centered on each Shubnikov-de Haas oscillation. These splittings exhibit a quadratic dependence on field and disappear before the last oscillation. Our observations allow us to conclude unambiguously that already when the Landau level index is as high as 2 the carriers are fully polarized and that the g-factor for holes with the field in the trigonal direction is 35.3(4).Comment: 4 pages, 3 figure

Magnetic-field-induced Luttinger liquid

It is shown that a strong magnetic field applied to a bulk metal induces a Luttinger-liquid phase. This phase is characterized by the zero-bias anomaly in tunneling: the tunneling conductance scales as a power-law of voltage or temperature. The tunneling exponent increases with the magnetic field as BlnB. The zero-bias anomaly is most pronounced for tunneling with the field applied perpendicular to the plane of the tunneling junction.Comment: a reference added, minor typos correcte

Many-Body Effects on Tunneling of Electrons in Magnetic-Field-Induced Quasi One-Dimensional Electron Systems in Semiconductor Nanowhiskers

Effects of the electron-electron interaction on tunneling in a semiconductor nanowhisker are studied in a magnetic quantum limit. We consider the system with which bulk and edge states coexist. In bulk states, the temperature dependence of the transmission probability is qualitatively similar to that of a one-dimensional electron system. We investigate contributions of edge states on transmission probability in bulk states. Those contributions can be neglected within our approximation which takes into account only most divergent terms at low temperatures.Comment: 9 pages, 6 figure

Organic dye for dye-sensitized solar cells

Organic dye for a dye-sensitized solar cell (DSSC) comprising at least one electron-acceptor unit and at least one π-conjugated unit. Said organic dye is particularly useful in a dye-sensitized photoelectric transformation element which, in its turn, can be used in a dye-sensitized solar cell (DSSC)