Risk and Utility in Portfolio Optimization

Modern portfolio theory(MPT) addresses the problem of determining the optimum allocation of investment resources among a set of candidate assets. In the original mean-variance approach of Markowitz, volatility is taken as a proxy for risk, conflating uncertainty with risk. There have been many subsequent attempts to alleviate that weakness which, typically, combine utility and risk. We present here a modification of MPT based on the inclusion of separate risk and utility criteria. We define risk as the probability of failure to meet a pre-established investment goal. We define utility as the expectation of a utility function with positive and decreasing marginal value as a function of yield. The emphasis throughout is on long investment horizons for which risk-free assets do not exist. Analytic results are presented for a Gaussian probability distribution. Risk-utility relations are explored via empirical stock-price data, and an illustrative portfolio is optimized using the empirical data.Comment: 10 pages, 1 figure, presented at 2002 Conference on Econophysics in Bali Indonesi

Experimental evidence of thermal fluctuations on the X-ray absorption near-edge structure at the aluminum K-edge

After a review of temperature-dependent experimental x-ray absorption near-edge structure (XANES) and related theoretical developments, we present the Al K-edge XANES spectra of corundum and beryl for temperature ranging from 300K to 930K. These experimental results provide a first evidence of the role of thermal fluctuation in XANES at the Al K-edge especially in the pre-edge region. The study is carried out by polarized XANES measurements of single crystals. For any orientation of the sample with respect to the x-ray beam, the pre-edge peak grows and shifts to lower energy with temperature. In addition temperature induces modifications in the position and intensities of the main XANES features. First-principles DFT calculations are performed for both compounds. They show that the pre-edge peak originates from forbidden 1s to 3s transitions induced by vibrations. Three existing theoretical models are used to take vibrations into account in the absorption cross section calculations: i) an average of the XANES spectra over the thermal displacements of the absorbing atom around its equilibrium position, ii) a method based on the crude Born-Oppenheimer approximation where only the initial state is averaged over thermal displacements, iii) a convolution of the spectra obtained for the atoms at the equilibrium positions with an approximate phonon spectral function. The theoretical spectra so obtained permit to qualitatively understand the origin of the spectral modifications induced by temperature. However the correct treatment of thermal fluctuation in XANES spectroscopy requires more sophisticated theoretical tools

Synthesis of active electrocatalysts using glycine–nitrate chemistry

Due to sluggish oxygen reduction reactions, development in the solid oxide fuel cell (SOFC) field is stagnant. Two solutions, increasing the active surface or use of precious materials, can stimulate the oxygen reduction kinetics on electrodes. Thus, to gain both these benefits, the present article addressed the synthesis of high surface-area mixed oxide ionic–electronic conductor La0.6Sr0.4Co0.8Fe0.2O3-δ (LSCF) using chemistry of the propellant glycine–nitrate reaction. In this study, different fuel to oxidant ratios (ψ), 2.0, 2.6, and 3.0 were used to control the exothermicity of reaction and powder properties. The maximum reaction temperature of 1337 K at ψ = 3.0 resulted in coarsened powder. In contrast, comparatively less exothermicity of reaction at ψ = 2.0 resulted in powder with substantial Brunauer–Emmett–Teller surface area of 10.97 m2 g−1, with maximum powder compaction achieved at sintering of 1273 K. With optimal direct current in-plane electrical conductivity of 341 S cm−1, H2-temperature-programmed reduction showed excellent catalytic activity for the sample obtained at ψ = 2.0. The electrochemical performance comparisons of electrodes in two different cell geometries – with and without a gold catalytic current collecting layer (Au–CCCL) – revealed the least polarization and cell resistance in the cell with Au–CCCL. The electrode area specific resistance and cell conductivity using Au–CCCL were 0.097 Ω cm−2 and 0.15 S cm−1, respectively.publishe

Modelling microbial metabolic rewiring during growth in a complex medium

BACKGROUND: In their natural environment, bacteria face a wide range of environmental conditions that change over time and that impose continuous rearrangements at all the cellular levels (e.g. gene expression, metabolism). When facing a nutritionally rich environment, for example, microbes first use the preferred compound(s) and only later start metabolizing the other one(s). A systemic re-organization of the overall microbial metabolic network in response to a variation in the composition/concentration of the surrounding nutrients has been suggested, although the range and the entity of such modifications in organisms other than a few model microbes has been scarcely described up to now. RESULTS: We used multi-step constraint-based metabolic modelling to simulate the growth in a complex medium over several time steps of the Antarctic model organism Pseudoalteromonas haloplanktis TAC125. As each of these phases is characterized by a specific set of amino acids to be used as carbon and energy source our modelling framework describes the major consequences of nutrients switching at the system level. The model predicts that a deep metabolic reprogramming might be required to achieve optimal biomass production in different stages of growth (different medium composition), with at least half of the cellular metabolic network involved (more than 50% of the metabolic genes). Additionally, we show that our modelling framework is able to capture metabolic functional association and/or common regulatory features of the genes embedded in our reconstruction (e.g. the presence of common regulatory motifs). Finally, to explore the possibility of a sub-optimal biomass objective function (i.e. that cells use resources in alternative metabolic processes at the expense of optimal growth) we have implemented a MOMA-based approach (called nutritional-MOMA) and compared the outcomes with those obtained with Flux Balance Analysis (FBA). Growth simulations under this scenario revealed the deep impact of choosing among alternative objective functions on the resulting predictions of fluxes distribution. CONCLUSIONS: Here we provide a time-resolved, systems-level scheme of PhTAC125 metabolic re-wiring as a consequence of carbon source switching in a nutritionally complex medium. Our analyses suggest the presence of a potential efficient metabolic reprogramming machinery to continuously and promptly adapt to this nutritionally changing environment, consistent with adaptation to fast growth in a fairly, but probably inconstant and highly competitive, environment. Also, we show i) how functional partnership and co-regulation features can be predicted by integrating multi-step constraint-based metabolic modelling with fed-batch growth data and ii) that performing simulations under a sub-optimal objective function may lead to different flux distributions in respect to canonical FBA. ELECTRONIC SUPPLEMENTARY MATERIAL: The online version of this article (doi:10.1186/s12864-016-3311-0) contains supplementary material, which is available to authorized users

A Critical Assessment of Multiple Scattering Expansions

We propose a comparative and critical assessment of multiple scattering expansions. The so-called multiple scattering series expansion is much used in the description of spectroscopies at higher energies. However, it is plagued with convergence problems when operated at lower energies. We compare this method to related methods that can be found in the literature, relying both on finite and infinite expansions. After discussing the pros and cons of these methods, we establish a simple alternative to multiple scattering series expansion which has a wider and faster range of convergence. [DOI: 10.1380/ejssnt.2012.599

The Coupled Electronic-Ionic Monte Carlo Simulation Method

Quantum Monte Carlo (QMC) methods such as Variational Monte Carlo, Diffusion Monte Carlo or Path Integral Monte Carlo are the most accurate and general methods for computing total electronic energies. We will review methods we have developed to perform QMC for the electrons coupled to a classical Monte Carlo simulation of the ions. In this method, one estimates the Born-Oppenheimer energy E(Z) where Z represents the ionic degrees of freedom. That estimate of the energy is used in a Metropolis simulation of the ionic degrees of freedom. Important aspects of this method are how to deal with the noise, which QMC method and which trial function to use, how to deal with generalized boundary conditions on the wave function so as to reduce the finite size effects. We discuss some advantages of the CEIMC method concerning how the quantum effects of the ionic degrees of freedom can be included and how the boundary conditions can be integrated over. Using these methods, we have performed simulations of liquid H2 and metallic H on a parallel computer.Comment: 27 pages, 10 figure

Beam deconvolution in noisy CMB maps

The subject of this paper is beam deconvolution in small angular scale CMB experiments. The beam effect is reversed using the Jacobi iterative method, which was designed to solved systems of algebraic linear equations. The beam is a non circular one which moves according to the observational strategy. A certain realistic level of Gaussian instrumental noise is assumed. The method applies to small scale CMB experiments in general (cases A and B), but we have put particular attention on Planck mission at 100 GHz (cases C and D). In cases B and D, where noise is present, deconvolution allows to correct the main beam distortion effect and recover the initial angular power spectrum up to the end of the fifth acoustic peak. An encouraging result whose importance is analyzed in detail. More work about deconvolution in the presence of other systematics is in progress. This paper is related to the Planck LFI activities.Comment: 24 pages, 9 figures. submitted to Astronomy and Astrophysic