Generation of 1.5-um band time-bin entanglement using spontaneous fiber four-wave mixing and planar lightwave circuit interferometers

This paper reports 1.5-um band time-bin entanglement generation. We employed a spontaneous four-wave mixing process in a dispersion shifted fiber, with which correlated photon pairs with very narrow bandwidths were generated efficiently. To observe two-photon interference, we used planar lightwave circuit based interferometers that were operated stably without feedback control. As a result, we obtained coincidence fringes with 99 % visibilities after subtracting accidental coincidences, and successfully distributed entangled photons over 20-km standard single-mode fiber without any deterioration in the quantum correlation.Comment: 4 pages, 3 figure

Generating a Target Payoff Distribution with the Cheapest Dynamic Portfolio: an Application to Hedge Fund Replication

This paper provides a new method to construct a dynamic optimal portfolio for asset management in a complete market. The method generates a target payoff distribution by the cheapest dynamic trading strategy. It is regarded as an extension of Dybvig (1988a) to continuous-time framework and dynamic portfolio optimization where the dynamic trading strategy is derived analytically by applying Malliavin calculus. As a practical example, the method is applied to hedge fund replication, which extends Kat and Palaro (2005) and Papageorgiou, Remillard and Hocquard (2008) to multiple trading assets with both long and short positions.

"A New Hedge Fund Replication Method with the Dynamic Optimal Portfolio"

This paper provides a new hedge fund replication method, which extends Kat and Palaro (2005) and Papageorgiou, Remillard and Hocquard (2008) to multiple trading assets with both long and short positions. The method generates a target payoff distribution by the cheapest dynamic portfolio. It is regarded as an extension of Dybvig (1988) to continuous-time framework and dynamic portfolio optimization where the dynamic trading strategy is derived analytically by applying Malliavin calculus. It is shown that the cost minimization is equivalent to maximization of a certain class of von Neumann-Morgenstern utility functions. The method is applied to the replication of a CTA/Managed Futures Index in practice.

"Generating a Target Payoff Distribution with the Cheapest Dynamic Portfolio: An Application to Hedge Fund Replication"

This paper provides a new method to construct a dynamic optimal portfolio for asset management. This method generates a target payoff distribution using the cheapest dynamic trading strategy. As a practical example, the method is applied to hedge fund replication. This dynamic portfolio strategy is regarded as an extension of a hedge fund replication methodology that was developed by Kat and Palaro (2005a, b) and Papageorgiou, Remillard and Hocquard (2008) to address multiple trading assets with both long and short positions. Empirical analyses show that such an extension significantly improves the performance of replication in practice.

"Hedge Fund Replication"

This chapter provides a comprehensive explanation of hedge fund replication. This chapter first reviews the characteristics of hedge fund returns. Then, the emergence of hedge fund replication products is discussed. Hedge fund replication methods are classified into three categories: Rule-based, Factor-based, and Distribution replicating approaches. These approaches attempt to capture different aspects of hedge fund returns. This chapter explains the three methods.