Dynamic Asset Allocation With Event Risk

Major events often trigger abrupt changes in stock prices and volatility. We study the implications of jumps in prices and volatility on investment strategies. Using the event-risk framework of Duffie, Pan, and Singleton (2000), we provide analytical solutions to the optimal portfolio problem. Event risk dramatically affects the optimal strategy. An investor facing event risk is less willing to take leveraged or short positions. The investor acts as if some portion of his wealth may become illiquid and the optimal strategy blends both dynamic and buy-and-hold strategies. Jumps in prices and volatility both have important effects.

Classification of Arbitrary Multipartite Entangled States under Local Unitary Equivalence

We propose a practical method for finding the canonical forms of arbitrary dimensional multipartite entangled states, either pure or mixed. By extending the technique developed in one of our recent works, the canonical forms for the mixed $N$-partite entangled states are constructed where they have inherited local unitary symmetries from their corresponding $N+1$ pure state counterparts. A systematic scheme to express the local symmetries of the canonical form is also presented, which provides a feasible way of verifying the local unitary equivalence for two multipartite entangled states.Comment: 22 pages; published in J. Phys. A: Math. Theo

Elimination of cracks in self-assembled photonic band gap crystals

Thin colloidal crystals (or synthetic opals) composed of Stober silica spheres typically develop cracks when they are utilized to obtain photonic band gap crystals (or inverted opals). We find that by sintering the silica spheres prior to assembly of the opal these cracks can be avoided. We report the effects of temperature and duration of the heat treatment on 850 nm silica spheres using electron microscopy, thermogravimetry, and light scattering. We also find a large dependence of the refractive index of the silica on the temperature of the heat treatment. This may allow tuning of the refractive index of silica spheres.Comment: REvTex: 4 pages, 3 figure

News on PHOTOS Monte Carlo: gamma^* -> pi^+ pi^-(gamma) and K^\pm -> pi^+ pi^- e^\pm nu (gamma)

PHOTOS Monte Carlo is widely used for simulating QED effects in decay of intermediate particles and resonances. It can be easily connected to other main process generators. In this paper we consider decaying processes gamma^* -> pi^+ pi^-(gamma) and K^\pm -> pi^+ pi^- e^\pm nu (gamma) in the framework of Scalar QED. These two processes are interesting not only for the technical aspect of PHOTOS Monte Carlo, but also for precision measurement of alpha_{QED}(M_Z), g-2, as well as pi pi scattering lengths.Comment: 6 pages, 11 figures, proceedings of the PhiPsi09, Oct. 13-16, 2009, Beijing, Chin