Asset liability management modeling using multi-stage mixed-integer stochastic programming

A pension fund has to match the portfolio of long-term liabilities with the portfolio of assets. Key instruments in strategic Asset Liability Management (ALM) are the adjustments of the contribution rate of the sponsor and the reallocation of the investments in several asset classes at various points of time. We formulate a multistage mixed-integer stochastic program to model this ALM process. Special attention is paid to the use of binary variables.

Structure Functions are not Parton Probabilities

The common view that structure functions measured in deep inelastic lepton scattering are determined by the probability of finding quarks and gluons in the target is not correct in gauge theory. We show that gluon exchange between the fast, outgoing partons and target spectators, which is usually assumed to be an irrelevant gauge artifact, affects the leading twist structure functions in a profound way. This observation removes the apparent contradiction between the projectile (eikonal) and target (parton model) views of diffractive and small x_{Bjorken} phenomena. The diffractive scattering of the fast outgoing quarks on spectators in the target causes shadowing in the DIS cross section. Thus the depletion of the nuclear structure functions is not intrinsic to the wave function of the nucleus, but is a coherent effect arising from the destructive interference of diffractive channels induced by final state interactions. This is consistent with the Glauber-Gribov interpretation of shadowing as a rescattering effect.Comment: 35 pages, 8 figures. Discussion of physical consequences of final state interactions amplified. Material on light-cone gauge choices adde

Angular dependence of domain wall resistivity in SrRuO3_{{\bf 3}} films

${\rm SrRuO_3}$ is a 4d itinerant ferromagnet (T$_{c}$ $\sim$150 K) with stripe domain structure. Using high-quality thin films of SrRuO$_{3}$ we study the resistivity induced by its very narrow ($\sim 3$ nm) Bloch domain walls, $\rho_{DW}$ (DWR), at temperatures between 2 K and T$_{c}$ as a function of the angle, $\theta$, between the electric current and the ferromagnetic domains walls. We find that $\rho_{DW}(T,\theta)=\sin^2\theta \rho_{DW}(T,90)+B(\theta)\rho_{DW}(T,0)$ which provides the first experimental indication that the angular dependence of spin accumulation contribution to DWR is $\sin^2\theta$. We expect magnetic multilayers to exhibit a similar behavior.Comment: 5 pages, 5 figure

Deuteron Photodissociation in Ultraperipheral Relativistic Heavy-Ion on Deuteron Collisions

In ultraperipheral relativistic deuteron on heavy-ion collisions, a photon emitted from the heavy nucleus may dissociate the deuterium ion. We find deuterium breakup cross sections of 1.38 barns for deuterium-gold collisions at a center of mass energy of 200 GeV per nucleon, as studied at the Relativistic Heavy Ion Collider, and 2.49 barns for deuterium-lead collisions at a center of mass energy of 6.2 TeV, as proposed for the Large Hadron Collider. This cross section includes an energy-independent 140 mb contribution from hadronic diffractive dissociation. At the LHC, the cross section is as large as that of hadronic interactions. The estimated error is 5%. Deuteron dissociation could be used as a luminosity monitor and a `tag' for moderate impact parameter collisions.Comment: Final version, to appear in Phys. Rev. C. Diffractive dissociation included 10 pages with 3 figure