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

Reconstruction of the 1941 GLOF process chain at Lake Palcacocha (Cordillera Blanca, Peru)

The Cordillera Blanca in Peru has been the scene of rapid deglaciation for many decades. One of numerous lakes formed in the front of the retreating glaciers is the moraine-dammed Lake Palcacocha, which drained suddenly due to an unknown cause in 1941. The resulting Glacial Lake Outburst Flood (GLOF) led to dam failure and complete drainage of Lake Jircacocha downstream, and to major destruction and thousands of fatalities in the city of Huaráz at a distance of 23 km. We chose an integrated approach to revisit the 1941 event in terms of topographic reconstruction and numerical back-calculation with the GIS-based open-source mass flow/process chain simulation framework r.avaflow, which builds on an enhanced version of the Pudasaini (2012) two-phase flow model. Thereby we consider four scenarios: (A) and (AX) breach of the moraine dam of Lake Palcacocha due to retrogressive erosion, assuming two different fluid characteristics; (B) failure of the moraine dam caused by the impact of a landslide on the lake; and (C) geomechanical failure and collapse of the moraine dam. The simulations largely yield empirically adequate results with physically plausible parameters, taking the documentation of the 1941 event and previous calculations of future scenarios as reference. Most simulation scenarios indicate travel times between 36 and 70 min to reach Huaráz, accompanied with peak discharges above 10 000 m3 s−1. The results of the scenarios indicate that the most likely initiation mechanism would be retrogressive erosion, possibly triggered by a minor impact wave and/or facilitated by a weak stability condition of the moraine dam. However, the involvement of Lake Jircacocha disguises part of the signal of process initiation farther downstream. Predictive simulations of possible future events have to be based on a larger set of back-calculated GLOF process chains, taking into account the expected parameter uncertainties and appropriate strategies to deal with critical threshold effects

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.

Ultrasonic characterization of ultrasound contrast agents

The main constituent of an ultrasound contrast agent (UCA) is gas-filled microbubbles. An average UCA contains billions per ml. These microbubbles are excellent ultrasound scatterers due to their high compressibility. In an ultrasound field they act as resonant systems, resulting in harmonic energy in the backscattered ultrasound signal, such as energy at the subharmonic, ultraharmonic and higher harmonic frequencies. This harmonic energy is exploited for contrast enhanced imaging to discriminate the contrast agent from surrounding tissue. The amount of harmonic energy that the contrast agent bubbles generate depends on the bubble characteristics in combination with the ultrasound field applied. This paper summarizes different strategies to characterize the UCAs. These strategies can be divided into acoustic and optical methods, which focus on the linear or nonlinear responses of the contrast agent bubbles. In addition, the characteristics of individual bubbles can be determined or the bubbles can be examined when they are part of a population. Recently, especially optical methods have proven their value to study individual bubbles. This paper concludes by showing some examples of optically observed typical behavior of contrast bubbles in ultrasound fields

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

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

Optimal dynamic portfolio selection with earnings-at-risk

In this paper we investigate a continuous-time portfolio selection problem. Instead of using the classical variance as usual, we use earnings-at-risk (EaR) of terminal wealth as a measure of risk. In the settings of Black-Scholes type financial markets and constantly-rebalanced portfolio (CRP) investment strategies, we obtain closed-form expressions for the best CRP investment strategy and the efficient frontier of the mean-EaR problem, and compare our mean-EaR analysis to the classical mean-variance analysis and to the mean-CaR (capital-at-risk) analysis. We also examine some economic implications arising from using the mean-EaR model. © 2007 Springer Science+Business Media, LLC.postprin

The Advent of the Transnational TV Format Trading System: A Global Commodity Chain Analysis

This article argues that the format business transformed into a trading system in the 2000s, system being defined as a singular transnational space structured by networks of interdependent economic agents, firms, institutions and places. Following the global commodity chain/global value chain approach set out by Immanuel Wallerstein and developed by Gary Gereffi, this article then examines each dimension of the global TV format commodity chain that runs through this trading system. Beginning with the governance structure, this article counter-intuitively asserts that despite the current boom in TV production, it is a buyer-driven chain with power resting firmly in the hands of those making the acquisitions: the broadcasters. Considering the chain’s geographical configuration, this article identifies three tiers of format exporters and specific trade routes along which most TV formats travel. These findings enable us to reassess the claims made by the cosmopolitanization thesis about the nature of media globalization. Contrary to this thesis, this article asserts the need to comprehend media globalization within the context of an expanding capitalist world-system, and shows that the new transnational TV format trade and its commodity chain replicate the inequalities and power structures of former trading systems