Sharpening Sharpe Ratios

It is now well known that the Sharpe ratio and other related reward-to-risk measures may be manipulated with option-like strategies. In this paper we derive the general conditions for achieving the maximum expected Sharpe ratio. We derive static rules for achieving the maximum Sharpe ratio with two or more options, as well as a continuum of derivative contracts. The optimal strategy rules for increasing the Sharpe ratio. Our results have implications for performance measurement in any setting in which managers may use derivative contracts. In a performance measurement setting, we suggest that the distribution of high Sharpe ratio managers should be compared with that of the optimal Sharpe ratio strategy. This has particular application in the hedge fund industry where use of derivatives is unconstrained and manager compensation itself induces a non-linear payoff. The shape of the optimal Sharpe ratio leads to further conjectures. Expected returns being held constant, high Sharpe ratio strategies are, by definition, strategies that generate regular modest profits punctunated by occasional crashes. Our evidence suggests that the 'peso problem' may be ubiquitous in any investment management industry that rewards high Sharpe ratio managers.

Gas corrosion damage in Ti-stabilized interstitial free steel

The selective oxidation damage in the Ti-stabilized interstitial free steel during 60 s of recrystallization annealing at 820 °C under the different compositions of protective H2-N2 atmosphere at low dew point (–40 °C) was investigated using various experimental techniques. It was found that Mn, Al and Si oxide particles are the main products of external and internal oxidation. Increase of the H2 content in gas atmosphere favors external oxidation and leads to appearance of greater nonwetted surface areas.Physical chemistry 2006 : 8th international conference on fundamental and applied aspects of physical chemistry; Belgrade (Serbia); 26-29 September 200

Seedless x seedless grape progeny: Technique, results and perspectives

Recent refinements in the in vitro embryo rescue technique employed to raise progenies from abortive ovules of seedless x seedless cultivars include addition of 0.2 ppm NAA (naphtaleneacetic acid) to the medium, inducing highly improved root systems and faster plant development. Selling seedless Vitis vinifera yielded seedless progeny only. Open pollinated Perlette and Flame Seedless gave rise to a high percentage (75 and 87%, respectively) of seedless progeny. Progeny from various crosses between seedless cultivars segregated into 65 normal seeded and 204 seedless. From the totality of 204 seedless progeny 192 bore fruit with very slight seed traces. Progeny from crosses between seeded and seedless segregated only 7.5-8% individuals with comparably slight seed traces, amounting to 1/3 of the progeny rated as seedless. Fresh weight determinations of aborted seeds per berry showed a pronouncedly lower weight in progenies from seedless x seedless crosses. Reduction in average berry size in the seedless fraction of seedless x seedless progenies compared to midparent values was of a similar order of magnitude as that obtained in seedless progeny derived from seeded x seedless crosses

La traducció catalana (c. 1351) de les Grandes Chroniques de France

Aquest treball és part dels subprojectes FFI2008-05556-C03-02 i FFI2008-05556-C03-01 finançats pel Ministerio de Ciencia e Innovación.Aquest treball reexamina la documentació (1339-1380) de Pere III i l'infant Joan referent a les Grandes Chroniques de France i la relaciona amb la traducció catalana, conservada fragmentàriament al registre 894 de l'ACA. La traducció es va executar poc abans de 1351 a la cancelleria reial; el foli conservat correspon a l'inici d'un exemplar de qualitat que no es devia acabar mai (vegeu-ne la reproducció i l'edició). És probable que l'original francès fos el que tenia Pere III el 1339 i havia extraviat el 1361. En aquest cas, es tractaria del Roman des rois de Primat amb una continuació fi ns a Felip l'Ardit (com la del ms. nouv. acq. fr. 10043 de la BnF); l'infant Joan ja podia demanar a Carles V l'actualització de Pierre d'Orgemont.This article reexamines Peter III and Prince John's documentation (1339-1380) regarding the Grandes Chroniques de France. These documents are linked to a Catalan translation of the French historical compilation. This Catalan translation (ACA, Register 894) was carried out at the Royal Chancery shortly before 1351. Its extant folio belongs to a high-quality manuscript copy that was probably never completed. Its French original might be the copy Peter III owned by 1339 and lost by 1361. If this is the case, the French original manuscript would contain Primat's Roman des rois and a continuation up until Philip the Bold (such as BnF, MS nouv. acq. fr. 1004). The Infant John may have asked Charles V for Pierre d'Orgemont's update

The degrees of development of the seed-coat and the endosperm as separate subtraits of stenospermocarpic seedlessness in grapes

The degree of development of the seed components, viz. seed coat and endosperm, were evaluated in seeds and seed traces of stenospermocarpic grapes of Vitis vinifera. The seeds in seedless and in seeded berries were classified visually into four categories of size: normal seeds, large traces, medium traces and small traces. Seeds with fully developed and sclerified seed coats were observed to bear endosperm at various developmental stages, and in seeds with soft and less developed seed coats also fully developed endosperms were observed. We found that the hardness of the seed coat and the degree of development of the endosperm were transmitted as separate traits to the progenies. Two seeded cultivars (Oz, Early Muscat) were chosen as female parents because they differed in seed hardness and in degree of development of their endosperm. The normal seeds of Oz are comparatively harder and contain less developed endosperm than those of Early Muscat. Each cultivar was crossed with the same pollen donor parent (Flame Seedless). 23.7 % of the Oz progeny were normally seeded offsprings bearing undeveloped or partially developed endosperm, while only 1.2 % of the Early Muscat progeny had such a composition of seed components. This suggests that seedlessness in grapes could be more precisely analysed using the hardness of the seed coat and the degree of development of the endosperm as subtraits of seedlessness.Die Entwicklungsgrade von Kernhülle und Endosperm als separate Untereigenschaften von stenospermokarper Kernlosigkeit bei RebenDie Entwicklungsgrade von Kernhüllen und Endosperm stenospermokarper Vitis vinifera-Sorten wurden untersucht. Die Kerne kernloser und kernhaltiger Beeren wurden visuell in 4 Größenkategorien eingeteilt: normal entwickelte Kerne, große, mittlere und kleine Kernspuren. Es wurde festgestellt, daß Kerne mit erhärteten, sklerifizierten und vollentwikkelten Kernhüllen mit Endosperm unterschiedlicher Entwicklungsgrade auftreten. In Kernen mit weichen oder wenig entwickelten Hüllen wurde auch vollentwickeltes Endosperm gefunden. Wir fanden, daß die Härte der Kernhülle und der Entwicklungsgrad des Endosperms den Nachkommen getrennt vererbt werden. Zwei kernhaltige Rebsorten (Oz und Early Muscat) wurden als weibliche Eltern gewählt, weil sie sich klar unterscheiden: die normalen Kerne von Oz sind härter und enthalten weniger entwickeltes Endosperm als die von Early Muscat. Jede Rehsorte wurde mit demselben Pollenspender (Flame Seedless) gekreuzt. 23,7% der Oz, aber nur 1,2% der Early Muscat hatten normale Kerne mit teilweise unentwickeltem Endosperm. Unsere Resultate deuten darauf hin, daß Kernlosigkeit in Weintrauben besser analysiert werden kann, wenn man Untereigenschaften (Härtegrad der Kernhülle und Entwicklungsgrad des Endosperms) benutzt

Habitable Climates

According to the standard liquid-water definition, the Earth is only partially habitable. We reconsider planetary habitability in the framework of energy-balance models, the simplest seasonal models in physical climatology, to assess the spatial and temporal habitability of Earth-like planets. We quantify the degree of climatic habitability of our models with several metrics of fractional habitability. Previous evaluations of habitable zones may have omitted important climatic conditions by focusing on close Solar System analogies. For example, we find that model pseudo-Earths with different rotation rates or different land-ocean fractions have fractional habitabilities that differ significantly from that of the Earth itself. Furthermore, the stability of a planet's climate against albedo-feedback snowball events strongly impacts its habitability. Therefore, issues of climate dynamics may be central in assessing the habitability of discovered terrestrial exoplanets, especially if astronomical forcing conditions are different from the moderate Solar System cases.Comment: Accepted by ApJ. Several references added. 41 pages, 11 figures, 2 table

On the angular momentum transport due to vertical convection in accretion discs

The mechanism of angular momentum transport in accretion discs has long been debated. Although the magnetorotational instability appears to be a promising process, poorly ionized regions of accretion discs may not undergo this instability. In this letter, we revisit the possibility of transporting angular momentum by turbulent thermal convection. Using high-resolution spectral methods, we show that strongly turbulent convection can drive outward angular momentum transport at a rate that is, under certain conditions, compatible with observations of discs. We find however that the angular momentum transport is always much weaker than the vertical heat transport. These results indicate that convection might be another way to explain global disc evolution, provided that a sufficiently unstable vertical temperature profile can be maintained.Comment: 6 pages, 5 figures, accepted in MNRA