CVaR minimization by the SRA algorithm

Using the risk measure CV aR in �nancial analysis has become more and more popular recently. In this paper we apply CV aR for portfolio optimization. The problem is formulated as a two-stage stochastic programming model, and the SRA algorithm, a recently developed heuristic algorithm, is applied for minimizing CV aR

EIT: Solar corona synoptic observations from SOHO with an Extreme-ultraviolet Imaging Telescope

The Extreme-ultraviolet Imaging Telescope (EIT) of SOHO (solar and heliospheric observatory) will provide full disk images in emission lines formed at temperatures that map solar structures ranging from the chromospheric network to the hot magnetically confined plasma in the corona. Images in four narrow bandpasses will be obtained using normal incidence multilayered optics deposited on quadrants of a Ritchey-Chretien telescope. The EIT is capable of providing a uniform one arc second resolution over its entire 50 by 50 arc min field of view. Data from the EIT will be extremely valuable for identifying and interpreting the spatial and temperature fine structures of the solar atmosphere. Temporal analysis will provide information on the stability of these structures and identify dynamical processes. EIT images, issued daily, will provide the global corona context for aid in unifying the investigations and in forming the observing plans for SOHO coronal instruments

Hiding in Plain View: Colloidal Self-Assembly from Polydisperse Populations

We report small-angle x-ray scattering experiments on aqueous dispersions of colloidal silica with a broad monomodal size distribution (polydispersity, 14%; size, 8 nm). Over a range of volume fractions, the silica particles segregate to build first one, then two distinct sets of colloidal crystals. These dispersions thus demonstrate fractional crystallization and multiple-phase (bcc, Laves AB2, liquid) coexistence. Their remarkable ability to build complex crystal structures from a polydisperse population originates from the intermediate-range nature of interparticle forces, and it suggests routes for designing self-assembling colloidal crystals from the bottom up

Inf-convolution of G-expectations

In this paper we will discuss the optimal risk transfer problems when risk measures are generated by G-expectations, and we present the relationship between inf-convolution of G-expectations and the inf-convolution of drivers G.Comment: 23 page

Sliding Phases in XY-Models, Crystals, and Cationic Lipid-DNA Complexes

We predict the existence of a totally new class of phases in weakly coupled, three-dimensional stacks of two-dimensional (2D) XY-models. These ``sliding phases'' behave essentially like decoupled, independent 2D XY-models with precisely zero free energy cost associated with rotating spins in one layer relative to those in neighboring layers. As a result, the two-point spin correlation function decays algebraically with in-plane separation. Our results, which contradict past studies because we include higher-gradient couplings between layers, also apply to crystals and may explain recently observed behavior in cationic lipid-DNA complexes.Comment: 4 pages of double column text in REVTEX format and 1 postscript figur

A novel hybrid algorithm for mean-CVaR portfolio selection with real-world constraints

In this paper, we employ the Conditional Value at Risk (CVaR) to measure the portfolio risk, and propose a mean-CVaR portfolio selection model. In addition, some real-world constraints are considered. The constructed model is a non-linear discrete optimization problem and difficult to solve by the classic optimization techniques. A novel hybrid algorithm based particle swarm optimization (PSO) and artificial bee colony (ABC) is designed for this problem. The hybrid algorithm introduces the ABC operator into PSO. A numerical example is given to illustrate the modeling idea of the paper and the effectiveness of the proposed hybrid algorithm

3D evolution of a filament disappearance event observed by STEREO

A filament disappearance event was observed on 22 May 2008 during our recent campaign JOP 178. The filament, situated in the southern hemisphere, showed sinistral chirality consistent with the hemispheric rule. The event was well observed by several observatories in particular by THEMIS. One day before the disappearance, H$\alpha$ observations showed up and down flows in adjacent locations along the filament, which suggest plasma motions along twisted flux rope. THEMIS and GONG observations show shearing photospheric motions leading to magnetic flux canceling around barbs. STEREO A, B spacecraft with separation angle 52.4 degrees, showed quite different views of this untwisting flux rope in He II 304 \AA\ images. Here, we reconstruct the 3D geometry of the filament during its eruption phase using STEREO EUV He II 304 \AA\ images and find that the filament was highly inclined to the solar normal. The He II 304 \AA\ movies show individual threads, which oscillate and rise to an altitude of about 120 Mm with apparent velocities of about 100 km s$^{-1}$, during the rapid evolution phase. Finally, as the flux rope expands into the corona, the filament disappears by becoming optically thin to undetectable levels. No CME was detected by STEREO, only a faint CME was recorded by LASCO at the beginning of the disappearance phase at 02:00 UT, which could be due to partial filament eruption. Further, STEREO Fe XII 195 \AA\ images showed bright loops beneath the filament prior to the disappearance phase, suggesting magnetic reconnection below the flux rope

Reduced-bias estimator of the Conditional Tail Expectation of heavy-tailed distributions

International audienceSeveral risk measures have been proposed in the literature. In this paper, we focus on the estimation of the Conditional Tail Expectation (CTE). Its asymptotic normality has been first established in the literature under the classical assumption that the second moment of the loss variable is finite, this condition being very restrictive in practical applications. Such a result has been extended by Necir {\it et al.} (2010) in the case of infinite second moment. In this framework, we propose a reduced-bias estimator of the CTE. We illustrate the efficiency of our approach on a small simulation study and a real data analysis