Re-analysis of the nucleon space- and time-like electromagnetic form factors in a two-component model

Recent experimental data on space-like and time-like form factors of the nucleon are analyzed in terms of a two-component model with a quark-like intrinsic three-quark structure and quark-antiquark pairs.Comment: 9 pages, 5 figures, accepted for publication as a Brief Report in Physical Review

Hybrid neural network and fuzzy logic approaches for rendezvous and capture in space

The nonlinear behavior of many practical systems and unavailability of quantitative data regarding the input-output relations makes the analytical modeling of these systems very difficult. On the other hand, approximate reasoning-based controllers which do not require analytical models have demonstrated a number of successful applications such as the subway system in the city of Sendai. These applications have mainly concentrated on emulating the performance of a skilled human operator in the form of linguistic rules. However, the process of learning and tuning the control rules to achieve the desired performance remains a difficult task. Fuzzy Logic Control is based on fuzzy set theory. A fuzzy set is an extension of a crisp set. Crisp sets only allow full membership or no membership at all, whereas fuzzy sets allow partial membership. In other words, an element may partially belong to a set

Light Stocks and Wealth Allocation

The aim of this paper is to deal with the problem of wealth allocation. We assume that an investor can share her/his money between consumption, riskless bonds, risky assets frequently traded in the market and illiquid stocks. The financial nature of thin stocks requires the description of their dynamics via jump processes, rather than continuous processes. Therefore, a stochastic control problem in a jump diffusion context is developed. In this paper the dynamic programming approach is adopted, and the optimal investment strategies are derived in closed form

Mean–Variance portfolio selection in presence of infrequently traded stocks

This paper deals with a mean-variance optimal portfolio selection problem in presence of risky assets characterized by low frequency of trading and, therefore, low liquidity. To model the dynamics of illiquid assets, we introduce pure-jump processes. This leads to the development of a portfolio selection model in a mixed discrete/continuous time setting. In this paper, we pursue the twofold scope of analyzing and comparing either long-term investment strategies as well as short-term trading rules. The theoretical model is analyzed by applying extensive Monte Carlo experiments, in order to provide useful insights from a Önancial perspectiv

Roots and effects of financial misperception in a stochastic dominance framework

This work deals with the issue of investors’ irrational behavior and financial products’ misperception. The theoretical analysis of the mechanisms driving erroneous assessment of investment performances is explored. The study is supported by the application of Monte Carlo simulations to the remarkable case of structured financial products. Some motivations explaining the popularity of these complex financial instruments among retail investors are also provided. In particular, investors are assumed to compare the performances of different projects through stochastic dominance rules. Unreasonably and in contrast with results obtained by the application of the selected criteria, investors prefer complex securities to standard ones. In this paper, introducing a new definition for stochastic dominance which presents asymmetric property, we provide theoretical and numerical results showing how investors distort stochastic returns and make questionable investment choices. Results are explained in terms of framing and representative effects, which are behavioral finance type arguments showing how decisions may depend on the way the available alternatives are presented to investors. This is a post-peer-review, pre-copyedit version of an article published in Quality and Quantity. The final authenticated version is available online at: http://dx.doi.org/10.1007/s11135-012-9726-

Optimal consumption/investment problem with light stocks: A mixed continuous-discrete time approach

This paper addresses the optimal consumption/investment problem in a mixed discrete/continuous time model in presence of rarely traded stocks. Stochastic control theory with state variable driven by a jump-diffusion, via dynamic programming, is used. The theoretical study is validated through numerical experiments, and the proposed model is compared with the classical Merton’s portfolio. Some financial insights are provided

A theory of misperception in a stochastic dominance framework and its application to structured financial products

We study the mechanism of misperception that leads retail investors to investment choices which are not the most profitable. This mechanism is studied in a stochastic dominance framework from a theoretical perspective and supported by an extensive numerical analysis. Our theoretical contribution is the introduction of a specific definition of stochastic dominance that captures the effects of an asymmetric trend-type misperception. Such a novel conceptualization is consistent with the perspective here adopted, i.e. the misperception is driven by a positive trend affecting the entire set of possible realizations. The financial relevance of the theoretical proposal is highlighted through the paradigmatic case of structured financial products. To this end, we perform a pairwise numerical comparison between investment products to get insights about the inversion of the order of stochastic dominance, leading investors to prefer the less profitable instruments. The critical trend, the value where preferences are reversed, is interpreted as a measure of investors’ misperception and compared with different levels of the volatility. Some behavioural finance-type arguments provide insights on the interpretation of the obtained results. This is a pre-copyedited, author-produced PDF of an article accepted for publication in IMA Journal of Management Mathematics following peer review. The version of record A theory of misperception in a stochastic dominance framework and its application to structured financial products is available online at: https://doi.org/10.1093/imaman/dpw00