Investment under ambiguity with the best and worst in mind

Recent literature on optimal investment has stressed the difference between the impact of risk and the impact of ambiguity - also called Knightian uncertainty - on investors' decisions. In this paper, we show that a decision maker's attitude towards ambiguity is similarly crucial for investment decisions. We capture the investor's individual ambiguity attitude by applying alpha-MEU preferences to a standard investment problem. We show that the presence of ambiguity often leads to an increase in the subjective project value, and entrepreneurs are more eager to invest. Thereby, our investment model helps to explain differences in investment behavior in situations which are objectively identical

Quantification of mitral regurgitation by integrated Doppler backscatter power

AbstractObjectives. We attempted to determine whether continuous wave Doppler backscatter power could be used to quantify mitral regurgitation.Background. The power of a Doppler backscatter signal is proportional to the number of scatterers insonated and, hence, to the moving volume of blood. The relative power of the continuous wave Doppler signals from mitral inflow and aortic outflow is therefore proportional to the relative volumes of blood in motion.Methods. Computer postprocessing was used to derive the relative power of the Doppler backscatter signal from the intensity of the pixels within the spectral display of anterograde aortic and mitral flow. The power ratio was used to calculate the regurgitant fraction in 20 patients (mean age 61.4 years) with mitral regurgitation. This Doppler regurgitant fraction was compared with that derived from angiographic left ventricular volume and thermodilution cardiac output. In addition, 12 normal control subjects were studied by the Doppler method.Results. Mean (± SD) catheterization regurgitant fraction was 0.50 ± 0.26, and mean Doppler regurgitant fraction was 0.47 ± 0.25 (r = 0.89). The limits of agreement between the two methods by Bland-Altman analysis were −0.21 to +0.27. In normal control subjects with an expected regurgitant fraction of close to zero, mean Doppler regurgitant fraction was 0.03 ± 0.05.Conclusions. Doppler backscatter power from mitral and aortic inflow provides a new and accurate method for quantifying mitral regurgitation

Wigner--Dyson statistics for a class of integrable models

We construct an ensemble of second--quantized Hamiltonians with two bosonic degrees of freedom, whose members display with probability one GOE or GUE statistics. Nevertheless, these Hamiltonians have a second integral of motion, namely the boson number, and thus are integrable. To construct this ensemble we use some ``reverse engineering'' starting from the fact that $n$--bosons in a two--level system with random interactions have an integrable classical limit by the old Heisenberg association of boson operators to actions and angles. By choosing an $n$--body random interaction and degenerate levels we end up with GOE or GUE Hamiltonians. Ergodicity of these ensembles completes the example.Comment: 3 pages, 1 figur

A Hedged Monte Carlo Approach to Real Option Pricing

In this work we are concerned with valuing optionalities associated to invest or to delay investment in a project when the available information provided to the manager comes from simulated data of cash flows under historical (or subjective) measure in a possibly incomplete market. Our approach is suitable also to incorporating subjective views from management or market experts and to stochastic investment costs. It is based on the Hedged Monte Carlo strategy proposed by Potters et al (2001) where options are priced simultaneously with the determination of the corresponding hedging. The approach is particularly well-suited to the evaluation of commodity related projects whereby the availability of pricing formulae is very rare, the scenario simulations are usually available only in the historical measure, and the cash flows can be highly nonlinear functions of the prices.Comment: 25 pages, 14 figure

A fully integrated GIS-based model of particulate waste distribution from marine fish-cage sites

Modern Geographical Information System (GIS) offers a powerful modelling environment capable of handling large databases. It is a very suitable environment in which to develop a suite of tools designed for environmental management of aquaculture sites, including carrying capacity prediction, land–water interactions and multi-site effects. One such tool, presented here, is a fully integrated and validated particulate fish waste dispersion module which uses mass balance to estimate waste input and takes account of variable bathymetry and variable settling velocity for feed and faecal components. The model also incorporates the effect of cage movement on waste dispersion, the first such model to do so. When tidal range was low (1.67 m), the maximum movement of a 22 m diameter circular cage was 10.1 m and 7.7 m easting and northing, respectively. Highest deposition from particulate fish waste is under the cage and incorporation of cage movement increased the effective area under a cage by 72%. This reduced peak deposition measurements by up to 32% and reduced the average modelled feed and faecal settlement at the cage centre by 23% and 11%, respectively. The model was validated by comparing model predictions with observed deposition measured using sediment traps during three 2-week field trips at a fish farm on the west coast of Scotland. The mean ratio of observed to predicted waste deposition at 5–25 m from the cage centre ranged from 0.9 to 1.06, whilst under the cage the model over-predicts deposition (observed/predicted=2.21). Although far-field data was seen to be comparable the near-field discrepancies resulted in variable overall accuracy in the model. The overall accuracy based on August 2001 data was ±50.9%, on February 2002, ±72.8% and on April 2002, ±50.6%. Summarizing the data resulted in an overall average predictive accuracy of ±58.1%. © 2006 Elsevier B.V. All rights reserved

Computer simulation study of the nematic–vapour interface in the Gay–Berne model

We present computer simulations of the vapour–nematic interface of the Gay–Berne model. We considered situations which correspond to either prolate or oblate molecules. We determine the anchoring of the nematic phase and correlate it with the intermolecular potential parameters. On the other hand, we evaluate the surface tension associated to this interface. We find a corresponding states law for the surface tension dependence on the temperature, valid for both prolate and oblate molecules.Fundación Portuguesa para la Ciencia y la Tecnología EXCL / FIS-NAN / 0083/2012Ministerio de Economía y Competitividad FIS2012-32455Junta de Andalucía P09-FQM-493

Degradabilidade in situ de híbridos de milho e de capim-elefante colhidos em quatro estádios de maturidade

Dentre as forragens, a silagem de milho é amplamente utilizada pelos fazendeiros que visam explorar o máximo do potencial genético dos animais. No entanto, outros volumosos tropicais como o capim-elefante (Pennisetum purpureum) são mais produtivos e, portanto, mais baratos do que a silagem de milho. Nosso objetivo foi comparar a degradabilidade in situ do capim-elefante com a degradabilidade de híbridos de milho, colhidos em quatro estágios de maturidade. O experimento seguiu um delineamento de blocos ao acaso com sub-parcelas. Dois híbridos de milho: AG5011 e ZN8392 foram colhidos com 25, 30, 35 e 40% matéria seca (MS) na planta toda e separados na fração colmo + bainha + folhas e espigas. Capim elefante foi colhido 30, 40, 50 e 60 dias após o corte de nivelamento. As amostras secas e trituradas foram incubadas no rúmen por 0, 6, 12, 24, 48 e 72 h para cálculo da cinética da degradação ruminal da MS e da fibra em detergente neutro (FDN). O avanço da maturidade aumentou os teores de FDN e fibra em detergente ácido (FDA) do capim elefante e reduziu a degradabilidade da MS. Entretanto, a maturidade teve pouco efeito sobre os teores de fibra e a degradabilidade da MS da fração planta dos híbridos de milho. O capim elefante apresentou maior degradabilidade da FDN do que híbridos de milho, e não houve efeito da maturidade sobre a degradabilidade da FDN das duas espécies. A degradabilidade da fibra de capim-elefante não é pior do que a de híbridos de milho e, portanto a escolha da forragem deve ser feita com base em análises econômicas ao invés de assumir um menor potencial de produção em dietas a base de capim elefanteAmong tropical forages, corn silage is largely used by farmers trying to explore the maximum genetic potential from the animals. However, other tropical forages, such as elephant-grass (Pennisetum purpureum), are more productive and therefore cheaper to use than corn silage. Our objective was to compare the in situ degradability of elephant-grass with that from corn hybrids, all harvested at four stages of maturity. The experimental design followed a randomized block design with nested subplots. Two corn hybrids: AG5011, ZN8392 were harvested with 25, 30, 35, and 40% dry matter (DM) in the whole plant, and separated in stem + leaf sheath + leaf blade (stover), and cobs. Elephant-grass was harvested with 30, 40, 50 and 60 days after a leveling cut. Dried and ground samples were incubated in nylon bags inside the rumen for 0, 6, 12, 24, 48 and 72 h to estimate the kinetics of ruminal DM and neutral detergent fiber (NDF) degradation. The advance of maturity increased the NDF and acid detergent fiber (ADF) content in elephant-grass, and reduced its DM degradability. However, maturity had little or no effect on fiber content and DM degradability of corn stover. Elephant-grass had a higher NDF degradability than corn stover, and there was no effect of maturity on NDF degradability of either elephant-grass or corn stover. Fiber degradability of elephant-grass was not worse than that of corn stover, and therefore the choice of forage should be made on economical analysis rather than assuming an intrinsic low production potential for elephant-grass based diet

In situ degradability of corn stover and elephant-grass harvested at four stages of maturity

Among tropical forages, corn silage is largely used by farmers trying to explore the maximum genetic potential from the animals. However, other tropical forages, such as elephant-grass (Pennisetum purpureum), are more productive and therefore cheaper to use than corn silage. Our objective was to compare the in situ degradability of elephant-grass with that from corn hybrids, all harvested at four stages of maturity. The experimental design followed a randomized block design with nested subplots. Two corn hybrids: AG5011, ZN8392 were harvested with 25, 30, 35, and 40% dry matter (DM) in the whole plant, and separated in stem + leaf sheath + leaf blade (stover), and cobs. Elephant-grass was harvested with 30, 40, 50 and 60 days after a leveling cut. Dried and ground samples were incubated in nylon bags inside the rumen for 0, 6, 12, 24, 48 and 72 h to estimate the kinetics of ruminal DM and neutral detergent fiber (NDF) degradation. The advance of maturity increased the NDF and acid detergent fiber (ADF) content in elephant-grass, and reduced its DM degradability. However, maturity had little or no effect on fiber content and DM degradability of corn stover. Elephant-grass had a higher NDF degradability than corn stover, and there was no effect of maturity on NDF degradability of either elephant-grass or corn stover. Fiber degradability of elephant-grass was not worse than that of corn stover, and therefore the choice of forage should be made on economical analysis rather than assuming an intrinsic low production potential for elephant-grass based diets.Dentre as forragens, a silagem de milho é amplamente utilizada pelos fazendeiros que visam explorar o máximo do potencial genético dos animais. No entanto, outros volumosos tropicais como o capim-elefante (Pennisetum purpureum) são mais produtivos e, portanto, mais baratos do que a silagem de milho. Nosso objetivo foi comparar a degradabilidade in situ do capim-elefante com a degradabilidade de híbridos de milho, colhidos em quatro estágios de maturidade. O experimento seguiu um delineamento de blocos ao acaso com sub-parcelas. Dois híbridos de milho: AG5011 e ZN8392 foram colhidos com 25, 30, 35 e 40% matéria seca (MS) na planta toda e separados na fração colmo + bainha + folhas e espigas. Capim elefante foi colhido 30, 40, 50 e 60 dias após o corte de nivelamento. As amostras secas e trituradas foram incubadas no rúmen por 0, 6, 12, 24, 48 e 72 h para cálculo da cinética da degradação ruminal da MS e da fibra em detergente neutro (FDN). O avanço da maturidade aumentou os teores de FDN e fibra em detergente ácido (FDA) do capim elefante e reduziu a degradabilidade da MS. Entretanto, a maturidade teve pouco efeito sobre os teores de fibra e a degradabilidade da MS da fração planta dos híbridos de milho. O capim elefante apresentou maior degradabilidade da FDN do que híbridos de milho, e não houve efeito da maturidade sobre a degradabilidade da FDN das duas espécies. A degradabilidade da fibra de capim-elefante não é pior do que a de híbridos de milho e, portanto a escolha da forragem deve ser feita com base em análises econômicas ao invés de assumir um menor potencial de produção em dietas a base de capim elefante