Pricing kernels and dynamic portfolios

We investigate the structure of the pricing kernels in a general dynamic investment setting by making use of their duality with the self financing portfolios. We generalize the variance bound on the intertemporal marginal rate of substitution introduced in Hansen and Jagannathan (1991) along two dimensions, first by looking at the variance of the pricing kernels over several trading periods, and second by studying the restrictions imposed by the market prices of a set of securities. The variance bound is the square of the optimal Sharpe ratio which can be achieved through a dynamic self financing strategy. This Sharpe ratio may be further enhanced by investing dynamically in some additional securities. We exhibit the kernel which yields the smallest possible increase in optimal dynamic Sharpe ratio while agreeing with the current market quotes of the additional instruments.pricing kernel; Sharpe ratio; self financing portfolio; variance-optimal hedging

Representing three-dimensional cross fields using 4th order tensors

This paper presents a new way of describing cross fields based on fourth order tensors. We prove that the new formulation is forming a linear space in $\mathbb{R}^9$. The algebraic structure of the tensors and their projections on \mbox{SO}(3) are presented. The relationship of the new formulation with spherical harmonics is exposed. This paper is quite theoretical. Due to pages limitation, few practical aspects related to the computations of cross fields are exposed. Nevetheless, a global smoothing algorithm is briefly presented and computation of cross fields are finally depicted

Airline hub strategies: a tale of two airport

A lot of airlines in the world fly from more than just one airport in a single city. Examples to such airlines may be British Airways (BA), operating from London Heathrow (LHR), London Gatwick (LGW) and London City (LCY) airports; Delta Airlines (DL), operating from John F. Kennedy (JFK), Newark (EWR) and La Guardia (LGA) in New York; Turkish Airlines (THY), operating from Istanbul Ataturk Airport (IST) and Sabiha Gokcen Airport (SAW); Air France (AF), operating from Charles de Gaulle (CDG) and Orly (ORY) airports and Japan Airlines (JAL), operating from Haneda (HND) and Narita (NRT).Dünya’da birçok havayolu şirketi aynı şehirde birden fazla havalimanından operasyon gerçekleştirmektedir. Bu şirketlere örnek olarak Londra’daki London Heathrow (LHR), Gatwick (LGW) ve London City (LCY) havalimanlarından operasyon yapan British Airways (BA); New York’daki John F. Kennedy (JFK), Newark (EWR) ve La Guardia (LGA) havalimanlarından operasyon yapan Delta Havayolları (DL); Istanbul’daki Ataturk (IST) ve Sabiha Gokcen (SAW) havalimanlarından operasyon yapan Türk Hava Yolları (THY); Paris’deki Charles de Gaulle (CDG) ve Orly (ORY) havalimanlarından operasyon yapan Air France; ve Tokyo Haneda (HND) ve Narita (NRT) havalimanlarından operasyon yapan Japan Airlines (JAL) verilebilir

Samuel Fuller

Abstract not availabl