Mean semi-deviation from a target and robust portfolio choice under distribution and mean return ambiguity

Cataloged from PDF version of article.We consider the problem of optimal portfolio choice using the lower partial moments risk measure for a market consisting of n risky assets and a riskless asset. For when the mean return vector and variance/covariance matrix of the risky assets are specified without specifying a return distribution, we derive distributionally robust portfolio rules. We then address potential uncertainty (ambiguity) in the mean return vector as well, in addition to distribution ambiguity, and derive a closed-form portfolio rule for when the uncertainty in the return vector is modelled via an ellipsoidal uncertainty set. Our result also indicates a choice criterion for the radius of ambiguity of the ellipsoid. Using the adjustable robustness paradigm we extend the single-period results to multiple periods, and derive closed-form dynamic portfolio policies which mimic closely the single-period policy. © 2013 Elsevier B.V. All rights reserved

Robust portfolio choice with CVaR and VaR under distribution and mean return ambiguity

Cataloged from PDF version of article.We consider the problem of optimal portfolio choice using the Conditional Value-at-Risk (CVaR) and Value-at-Risk (VaR) measures for a market consisting of n risky assets and a riskless asset and where short positions are allowed. When the distribution of returns of risky assets is unknown but the mean return vector and variance/covariance matrix of the risky assets are fixed, we derive the distributionally robust portfolio rules. Then, we address uncertainty (ambiguity) in the mean return vector in addition to distribution ambiguity, and derive the optimal portfolio rules when the uncertainty in the return vector is modeled via an ellipsoidal uncertainty set. In the presence of a riskless asset, the robust CVaR and VaR measures, coupled with a minimum mean return constraint, yield simple, mean-variance efficient optimal portfolio rules. In a market without the riskless asset, we obtain a closed-form portfolio rule that generalizes earlier results, without a minimum mean return restriction

Investigation of enhanced second harmonic generation in laser-induced air plasma

We report a systematic investigation into the processes behind a near hundredfold enhanced second harmonic wave generated from a laser-induced air plasma, by examining the temporal dynamics of the frequency conversion processes, and the polarization of the emitted second harmonic beam. Contrary to typical nonlinear optical processes, the enhanced second harmonic generation efficiency is only observed within a sub-picosecond time window and found to be nearly constant across fundamental pulse durations spanning from 0.1 ps to over 2 ps. We further demonstrate that with the adopted orthogonal pump-probe configuration, the polarization of second harmonic field exhibits a complex dependence on the polarization of both input fundamental beams, contrasting with most of the previous experiments with a single-beam geometry

Production and optical properties of liquid scintillator for the JSNS2^{2} experiment

The JSNS$^{2}$ (J-PARC Sterile Neutrino Search at J-PARC Spallation Neutron Source) experiment will search for neutrino oscillations over a 24 m short baseline at J-PARC. The JSNS$^{2}$ inner detector will be filled with 17 tons of gadolinium-loaded liquid scintillator (LS) with an additional 31 tons of unloaded LS in the intermediate $\gamma$-catcher and outer veto volumes. JSNS$^{2}$ has chosen Linear Alkyl Benzene (LAB) as an organic solvent because of its chemical properties. The unloaded LS was produced at a refurbished facility, originally used for scintillator production by the RENO experiment. JSNS$^{2}$ plans to use ISO tanks for the storage and transportation of the LS. In this paper, we describe the LS production, and present measurements of its optical properties and long term stability. Our measurements show that storing the LS in ISO tanks does not result in degradation of its optical properties.Comment: 7 pages, 4 figures

Duodenal metastasis of alveolar soft part sarcoma

Aveolar soft part sarcoma is a rare tumor responsible for about 1% of all soft tissue sarcomas, affecting mostly adolescents and young adults. ASPS has curious patterns of metastatic spread, with seldom lymph node involvement. Lung, bone and brain are the most common metastatic places. Small bowel metastasis are infrequent, having found reported only one case of duodenal metastasis with polypous appearance. We describe a case of duodenal metastasis presenting as abdominal mass five years after initial diagnosis of alveolar soft part sarcoma

El modelo de Richard Florida y la creatividad en España. Una aproximación autonómica y provincial

La noción de Clase Creativa ha alcanzado una gran notoriedad en el ámbito de las ciencias sociales desde que Florida publicase The Rise of Creative Class en el año 2002. A partir de las investigaciones de Florida sobre la clase creativa, aparecieron críticas, como las de Peck (2005), Scott Allen (2006) o Uzzi y Spiro (2005). Actualmente, para entender las clases creativas hay que hacer referencia a la “economía creativa” y a las “industrias creativas”. El autor que ha popularizado la expresión de “economía creativa” es Hawkins (2005), el cual observó a finales de los años noventa, que se estaba perdiendo en muchos negocios el hecho de tener ideas. La otra expresión, “industrias creativas”, fue impulsada por la UNESCO (2005) para sustituir el concepto de “industrias culturales”

Bulk properties of the van der Waals hard ferromagnet VI3

We present comprehensive measurements of the structural, magnetic, and electronic properties of layered van der Waals ferromagnet VI3 down to low temperatures. Despite belonging to a well-studied family of transition-metal trihalides, this material has received very little attention. We outline, from high-resolution powder x-ray diffraction measurements, a corrected room-temperature crystal structure to that previously proposed and uncover a structural transition at 79 K, also seen in the heat capacity. Magnetization measurements confirm VI3 to be a hard ferromagnet (9.1 kOe coercive field at 2 K) with a high degree of anisotropy, and the pressure dependence of the magnetic properties provide evidence for the two-dimensional nature of the magnetic order. Optical and electrical transport measurements show this material to be an insulator with an optical band gap of 0.67 eV - the previous theoretical predictions of d-band metallicity then lead us to believe VI3 to be a correlated Mott insulator. Our latest band-structure calculations support this picture and show good agreement with the experimental data. We suggest VI3 to host great potential in the thriving field of low-dimensional magnetism and functional materials, together with opportunities to study and make use of low-dimensional Mott physics