Optimal consumption and investment with bounded downside risk for power utility functions

We investigate optimal consumption and investment problems for a Black-Scholes market under uniform restrictions on Value-at-Risk and Expected Shortfall. We formulate various utility maximization problems, which can be solved explicitly. We compare the optimal solutions in form of optimal value, optimal control and optimal wealth to analogous problems under additional uniform risk bounds. Our proofs are partly based on solutions to Hamilton-Jacobi-Bellman equations, and we prove a corresponding verification theorem. This work was supported by the European Science Foundation through the AMaMeF programme.Comment: 36 page

Climate change and the global pattern of moraine-dammed glacial lake outburst floods

This is the author accepted manuscript. The final version is available from EGU via the DOI in this recordThe published version, as published in The Cryosphere, is in ORE: http://hdl.handle.net/10871/32433Despite recent research identifying a clear anthropogenic impact on glacier recession, the effect of recent climate change on glacier-related hazards is at present unclear. Here we present the first global spatio-temporal assessment of glacial lake outburst floods (GLOFs) focusing explicitly on lake drainage following moraine dam failure. These floods occur as mountain glaciers recede and downwaste and many have an enormous impact on downstream communities and infrastructure. Our assessment of GLOFs associated with the collapse of moraine-dammed lakes provides insights into the historical trends of GLOFs and their distributions under current and future global climate change. We observe a clear global increase in GLOF frequency and their regularity around 1930, which likely represents a lagged response to post-Little Ice Age warming. Notably, we also show that GLOF frequency and their regularity – rather unexpectedly – has declined in recent decades even during a time of rapid glacier recession. Although previous studies have suggested that GLOFs will increase in response to climate warming and glacier recession, our global results demonstrate that this has not yet clearly happened. From assessment of the timing of climate forcing, lag times in glacier recession, lake formation and moraine dam failure, we predict increased GLOF frequencies during the next decades and into the 22nd century.SH was funded by a Leverhulme Research Fellowship. SH, RAB and AW acknowledge funding under the HELIX (European Union Seventh Framework Programme FP7/2007-2013 under grant agreement n° 603864). AW and RAB acknowledge funding from the Joint UK DECC/Defra Met Office Hadley Centre Climate Programme (GA01101)

Effectively Transparent Front Contacts for Optoelectronic Devices

Effectively transparent front contacts for optoelectronic devices achieve a measured transparency of up to 99.9% and a measured sheet resistance of 4.8 Ω sq^(−1). The 3D microscale triangular cross-section grid fingers redirect incoming photons efficiently to the active semiconductor area and can replace standard grid fingers as well as transparent conductive oxide layers in optoelectronic devices

The prescribed mean curvature equation in weakly regular domains

We show that the characterization of existence and uniqueness up to vertical translations of solutions to the prescribed mean curvature equation, originally proved by Giusti in the smooth case, holds true for domains satisfying very mild regularity assumptions. Our results apply in particular to the non-parametric solutions of the capillary problem for perfectly wetting fluids in zero gravity. Among the essential tools used in the proofs, we mention a \textit{generalized Gauss-Green theorem} based on the construction of the weak normal trace of a vector field with bounded divergence, in the spirit of classical results due to Anzellotti, and a \textit{weak Young's law} for $(\Lambda,r_{0})$-minimizers of the perimeter.Comment: 23 pages, 1 figure --- The results on the weak normal trace of vector fields have been now extended and moved in a self-contained paper available at: arXiv:1708.0139

Emergence of Bulk CsCl Structure in (CsCl)nCs+ Cluster Ions

The emergence of CsCl bulk structure in (CsCl)nCs+ cluster ions is investigated using a mixed quantum-mechanical/semiempirical theoretical approach. We find that rhombic dodecahedral fragments (with bulk CsCl symmetry) are more stable than rock-salt fragments after the completion of the fifth rhombic dodecahedral atomic shell. From this size (n=184) on, a new set of magic numbers should appear in the experimental mass spectra. We also propose another experimental test for this transition, which explicitely involves the electronic structure of the cluster. Finally, we perform more detailed calculations in the size range n=31--33, where recent experimental investigations have found indications of the presence of rhombic dodecahedral (CsCl)32Cs+ isomers in the cluster beams.Comment: LaTeX file. 6 pages and 4 pictures. Accepted for publication in Phys. Rev.

The role of soil carbon in natural climate solutions

Acknowledgements. This study was made possible by funding from the Craig and Susan McCaw Foundation. Data Deposition A global spatial dataset of reforestation opportunities is available on Zenodo (https://zenodo.org/record/883444). Figures 1 and 2 have associated raw data that can be made available upon request.Peer reviewedPostprin

Fabrication of Single Crystal Gallium Phosphide Thin Films on Glass

Abstract Due to its high refractive index and low absorption coefficient, gallium phosphide is an ideal material for photonic structures targeted at the visible wavelengths. However, these properties are only realized with high quality epitaxial growth, which limits substrate choice and thus possible photonic applications. In this work, we report the fabrication of single crystal gallium phosphide thin films on transparent glass substrates via transfer bonding. GaP thin films on Si 001 and 112 grown by MOCVD are bonded to glass, and then th

Climate Change and the Global Pattern of Moraine-Dammed Glacial Lake Outburst Floods

Despite recent research identifying a clear anthropogenic impact on glacier recession, the effect of recent climate change on glacier-related hazards is at present unclear. Here we present the first global spatio-temporal assessment of glacial lake outburst floods (GLOFs) focusing explicitly on lake drainage following moraine dam failure. These floods occur as mountain glaciers recede and downwaste. GLOFs can have an enormous impact on downstream communities and infrastructure. Our assessment of GLOFs associated with the rapid drainage of moraine-dammed lakes provides insights into the historical trends of GLOFs and their distributions under current and future global climate change. We observe a clear global increase in GLOF frequency and their regularity around 1930, which likely represents a lagged response to post-Little Ice Age warming. Notably, we also show that GLOF frequency and regularity – rather unexpectedly – have declined in recent decades even during a time of rapid glacier recession. Although previous studies have suggested that GLOFs will increase in response to climate warming and glacier recession, our global results demonstrate that this has not yet clearly happened. From an assessment of the timing of climate forcing, lag times in glacier recession, lake formation and moraine-dam failure, we predict increased GLOF frequencies during the next decades and into the 22nd century

Risk measures for direct real estate investments with non-normal or unknown return distributions

The volatility of returns is probably the most widely used risk measure for real estate. This is rather surprising since a number of studies have cast doubts on the view that volatility can capture the manifold risks attached to properties and corresponds to the risk attitude of investors. A central issue in this discussion is the statistical properties of real estate returns—in contrast to neoclassical capital market theory they are mostly non-normal and often unknown, which render many statistical measures useless. Based on a literature review and an analysis of data from Germany we provide evidence that volatility alone is inappropriate for measuring the risk of direct real estate. We use a unique data sample by IPD, which includes the total returns of 939 properties across different usage types (56% office, 20% retail, 8% others and 16% residential properties) from 1996 to 2009, the German IPD Index, and the German Property Index. The analysis of the distributional characteristics shows that German real estate returns in this period were not normally distributed and that a logistic distribution would have been a better fit. This is in line with most of the current literature on this subject and leads to the question which indicators are more appropriate to measure real estate risks. We suggest that a combination of quantitative and qualitative risk measures more adequately captures real estate risks and conforms better with investor attitudes to risk. Furthermore, we present criteria for the purpose of risk classification