The Spectrum of a Magnetic Schr\"odinger Operator with Randomly Located Delta Impurities

We consider a single band approximation to the random Schroedinger operator in an external magnetic field. The spectrum of such an operator has been characterized in the case where delta impurities are located on the sites of a lattice. In this paper we generalize these results by letting the delta impurites have random positions as well as strengths; they are located in squares of a lattice with a general bounded distribution. We characterize the entire spectrum of this operator when the magnetic field is sufficiently high. We show that the whole spectrum is pure point, the energy coinciding with the first Landau level is infinitely degenerate and that the eigenfunctions corresponding to other Landau band energies are exponentially localized.Comment: 38 pages, LaTeX2e, macros included (to appear in J. Math. Phys.

A stochastic programming approach to managing liquid asset portfolios

summary:Maintaining liquid asset portfolios involves a high carry cost and is mandatory by law for most financial institutions. Taking this into account a financial institution's aim is to manage a liquid asset portfolio in an “optimal” way, such that it keeps the minimum required liquid assets to comply with regulations. In this paper we propose a multi-stage dynamic stochastic programming model for liquid asset portfolio management. The model allows for portfolio rebalancing decisions over a multi-period horizon, as well as for flexible risk management decisions, such as reinvesting coupons, at intermediate time steps. We show how our problem closely relates to insurance products with guarantees and utilize this in the formulation. We will discuss our formulation and implementation of a multi-stage stochastic programming model that minimizes the down-side risk of these portfolios. The model is back-tested on real market data over a period of two year

Designing minimum guaranteed return funds

In recent years there has been a significant growth of investment products aimed at attracting investors who are worried about the downside potential of the financial markets. This paper introduces a dynamic stochastic optimization model for the design of such products. The pricing of minimum guarantees as well as the valuation of a portfolio of bonds based on a three-factor term structure model are described in detail. This allows us to accurately price individual bonds, including the zero-coupon bonds used to provide risk management, rather than having to rely on a generalized bond index model.Dynamic stochastic programming, Asset & liability management, Guaranteed returns, Yield curve, Economic factor model,