Essays on asset pricing

I am proposing a simple theory in which an investor distinguishes between positive and negative deviations in the portfolio value for risk estimation. The risk of the portfolio is defined as the average futile return on the portfolio. The investor tries to create such a portfolio that the unconditional average return is as high as possible while conditional (negative) return on the portfolio is as small (in absolute terms) as possible. I am not making any assumptions about the possible distribution of the stock prices and returns. However, assuming the normal (Gaussian) mutual distribution the solution reduces to the standard CAPM solution

Neutral and Charged Polymers at Interfaces

Chain-like macromolecules (polymers) show characteristic adsorption properties due to their flexibility and internal degrees of freedom, when attracted to surfaces and interfaces. In this review we discuss concepts and features that are relevant to the adsorption of neutral and charged polymers at equilibrium, including the type of polymer/surface interaction, the solvent quality, the characteristics of the surface, and the polymer structure. We pay special attention to the case of charged polymers (polyelectrolytes) that have a special importance due to their water solubility. We present a summary of recent progress in this rapidly evolving field. Because many experimental studies are performed with rather stiff biopolymers, we discuss in detail the case of semi-flexible polymers in addition to flexible ones. We first review the behavior of neutral and charged chains in solution. Then, the adsorption of a single polymer chain is considered. Next, the adsorption and depletion processes in the many-chain case are reviewed. Profiles, changes in the surface tension and polymer surface excess are presented. Mean-field and corrections due to fluctuations and lateral correlations are discussed. The force of interaction between two adsorbed layers, which is important in understanding colloidal stability, is characterized. The behavior of grafted polymers is also reviewed, both for neutral and charged polymer brushes.Comment: a review: 130 pages, 30 ps figures; final form, added reference

Unified Homogenization Theory for Magnetoinductive and Electromagnetic Waves in Split Ring Metamaterials

A unified homogenization procedure for split ring metamaterials taking into account time and spatial dispersion is introduced. The procedure is based on two coupled systems of equations. The first one comes from an approximation of the metamaterial as a cubic arrangement of coupled LC circuits, giving the relation between currents and local magnetic field. The second equation comes from macroscopic Maxwell equations, and gives the relation between the macroscopic magnetic field and the average magnetization of the metamaterial. It is shown that electromagnetic and magnetoinductive waves propagating in the metamaterial are obtained from this analysis. Therefore, the proposed time and spatially dispersive permeability accounts for the characterization of the complete spectrum of waves of the metamaterial. Finally, it is shown that the proposed theory is in good quantitative and qualitative agreement with full wave simulations.Comment: 4 pages, 3 figure

Is a night better than a day: Empirical evidence

In this study, we analyze the portfolio allocation based on time asymmetry of stock characteristics. In particular, we analyzed the empirical data of changes in financial stock prices during the day period and during the night period and have found that characteristics such as mean and variance are different for changes during the day and changes during the night. Also, the portfolio characteristics, such as covariance between stocks, differ on whether we take into account day changes or night changes in prices. That greatly affects the allocation of fund to the portfolio for an investor who trades frequently. The portfolio should be re-balanced every day in order to achieve optimality and much higher return. At the same level of risk the returns on this new portfolio may by several times larger than the returns on a portfolio without everyday re-balancing. We computed numerically the allocation of funds for the stocks from the finance industry and showed that the increase in returns is substantial