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

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

Location of Ge and extra-framework species in the zeolite ITQ-24

The germanosilicate ITQ-24 (IWR framework type) was synthesized in fluoride medium using 1,3,5-tris(1,2-dimethylimidazolium) benzene as the structure directing agent (SDA). A structure analysis of the as-synthesized ITQ-24 material using synchrotron powder diffraction data and difference electron density calculations have allowed the fluoride ions and the germanium atoms to be located and the conformation of the SDA to be determined. The benzyl ring is perpendicular to the b axis with the three imidazolium moieties forming a “T-shaped” arrangement. Ge atoms replace some of the Si in the double-4-ring (d4r) and in one of the single-4-rings (s4r). The other s4r contains only Si. Fluoride ions are in the d4r units. Initially, the space group Cmmm (highest possible symmetry) was assumed, but the framework geometry was strained. An independent evaluation of the symmetry using the powder charge flipping algorithm in Superflip led to a successful refinement with reasonable geometry and a refined composition of |[(C_6H_3)(C_7H_(10)N_2)_3]_2F_2|[Si_(40.2)Ge_(15.8)O_(112)] in the space group Pban

Impact of Controlling the Site Distribution of Al Atoms on Catalytic Properties in Ferrierite-Type Zeolites

Zeolites with the ferrierite (FER) topology are synthesized using a combination of tetramethylammonium (TMA) cations with differently sized cyclic amines (pyrrolidine (Pyr), hexamethyleneimine (HMI), and 1,4- diazabicyclo[2.2.2]octane (DAB)). Using these organic structure-directing agents (SDAs), low Si/Al ratios and concentrated synthesis mixtures favor the crystallization of FER materials. Increasing the size of the cyclic amine or decreasing the aluminum content leads to the crystallization of other phases or the creation of excessive amounts of connectivity defects. TMA cations play a decisive role in the synthesis of the FER materials, and their presence allows the use of HMI to synthesize FER. Proton MAS NMR is used to quantify the accessibility of pyridine to acid sites in these FER samples, where it is found that the FER + HMI + TMA sample contains only 27% acid sites in the 8-MR channels, whereas FER + Pyr and FER + Pyr + TMA contain 89% and 84%, respectively. The constraint index (CI) test and the carbonylation of dimethyl ether (DME) with carbon monoxide are used as probe reactions to evaluate how changes in the aluminum distribution in these FER samples affect their catalytic behavior. Results show that the use of Pyr as an SDA results in the selective population of acid sites in the 8-MR channels, whereas the use of HMI generates FER zeolites with an increased concentration of acid sites in the 10-MR channels

A Multifaceted Mathematical Approach for Complex Systems

Applied mathematics has an important role to play in developing the tools needed for the analysis, simulation, and optimization of complex problems. These efforts require the development of the mathematical foundations for scientific discovery, engineering design, and risk analysis based on a sound integrated approach for the understanding of complex systems. However, maximizing the impact of applied mathematics on these challenges requires a novel perspective on approaching the mathematical enterprise. Previous reports that have surveyed the DOE's research needs in applied mathematics have played a key role in defining research directions with the community. Although these reports have had significant impact, accurately assessing current research needs requires an evaluation of today's challenges against the backdrop of recent advances in applied mathematics and computing. To address these needs, the DOE Applied Mathematics Program sponsored a Workshop for Mathematics for the Analysis, Simulation and Optimization of Complex Systems on September 13-14, 2011. The workshop had approximately 50 participants from both the national labs and academia. The goal of the workshop was to identify new research areas in applied mathematics that will complement and enhance the existing DOE ASCR Applied Mathematics Program efforts that are needed to address problems associated with complex systems. This report describes recommendations from the workshop and subsequent analysis of the workshop findings by the organizing committee

Blocking Zika virus vertical transmission.

The outbreak of the Zika virus (ZIKV) has been associated with increased incidence of congenital malformations. Although recent efforts have focused on vaccine development, treatments for infected individuals are needed urgently. Sofosbuvir (SOF), an FDA-approved nucleotide analog inhibitor of the Hepatitis C (HCV) RNA-dependent RNA polymerase (RdRp) was recently shown to be protective against ZIKV both in vitro and in vivo. Here, we show that SOF protected human neural progenitor cells (NPC) and 3D neurospheres from ZIKV infection-mediated cell death and importantly restored the antiviral immune response in NPCs. In vivo, SOF treatment post-infection (p.i.) decreased viral burden in an immunodeficient mouse model. Finally, we show for the first time that acute SOF treatment of pregnant dams p.i. was well-tolerated and prevented vertical transmission of the virus to the fetus. Taken together, our data confirmed SOF-mediated sparing of human neural cell types from ZIKV-mediated cell death in vitro and reduced viral burden in vivo in animal models of chronic infection and vertical transmission, strengthening the growing body of evidence for SOF anti-ZIKV activity

A Framework for Formal Modeling and Analysis of Organizations

A new, formal, role-based, framework for modeling and analyzing both real world and artificial organizations is introduced. It exploits static and dynamic properties of the organizational model and includes the (frequently ignored) environment. The transition is described from a generic framework of an organization to its deployed model and to the actual agent allocation. For verification and validation of the proposed model, a set of dedicated techniques is introduced. Moreover, where most computational models can handle only two or three layered organizational structures, our framework can handle any arbitrary number of organizational layers. Henceforth, real-world organizations can be modeled and analyzed, as illustrated by a case study, within the DEAL project line. © Springer Science+Business Media, LLC 2007