Portfolio optimization in the case of an asset with a given liquidation time distribution

Management of the portfolios containing low liquidity assets is a tedious problem. The buyer proposes the price that can differ greatly from the paper value estimated by the seller, the seller, on the other hand, can not liquidate his portfolio instantly and waits for a more favorable offer. To minimize losses in this case we need to develop new methods. One of the steps moving the theory towards practical needs is to take into account the time lag of the liquidation of an illiquid asset. This task became especially significant for the practitioners in the time of the global financial crises. Working in the Merton's optimal consumption framework with continuous time we consider an optimization problem for a portfolio with an illiquid, a risky and a risk-free asset. While a standard Black-Scholes market describes the liquid part of the investment the illiquid asset is sold at a random moment with prescribed liquidation time distribution. In the moment of liquidation it generates additional liquid wealth dependent on illiquid assets paper value. The investor has the logarithmic utility function as a limit case of a HARA-type utility. Different distributions of the liquidation time of the illiquid asset are under consideration - a classical exponential distribution and Weibull distribution that is more practically relevant. Under certain conditions we show the existence of the viscosity solution in both cases. Applying numerical methods we compare classical Merton's strategies and the optimal consumption-allocation strategies for portfolios with different liquidation-time distributions of an illiquid asset.Comment: 30 pages, 1 figur

Assessing the efficiency of information protection systems in the computer systems and networks

The specific features of the information protection systems in the computer systems and networks require the development of non-trivial methods for their analysis and assessment. Attempts for solutions in this area are given in this paper.Особливості систем захисту інформації в комп’ютерних системах та мережах вимагають розробки нетривіальних методів для їх аналізу та оцінки. Спроби рішення в цій області наведено в даній статті.Особенности систем защиты информации в компьютерных системах и сетях требуют разработки нетривиальных методов для их анализа и оценки. Попытки решения в этой области приведены в этой статье

Open and Hidden Charm Production in 920 GeV Proton-Nucleus Collisions

The HERA-B collaboration has studied the production of charmonium and open charm states in collisions of 920 GeV protons with wire targets of different materials. The acceptance of the HERA-B spectrometer covers negative values of xF up to xF=-0.3 and a broad range in transverse momentum from 0.0 to 4.8 GeV/c. The studies presented in this paper include J/psi differential distributions and the suppression of J/psi production in nuclear media. Furthermore, production cross sections and cross section ratios for open charm mesons are discussed.Comment: 5 pages, 9 figures, to be published in the proceedings of the 6th International Conference on Hyperons, Charm & Beauty Hadrons (BEACH04), Chicago, IL, June 27 - July 3, 200

Search for Doubly-Charged Higgs Boson Production at HERA

A search for the single production of doubly-charged Higgs bosons H^{\pm \pm} in ep collisions is presented. The signal is searched for via the Higgs decays into a high mass pair of same charge leptons, one of them being an electron. The analysis uses up to 118 pb^{-1} of ep data collected by the H1 experiment at HERA. No evidence for doubly-charged Higgs production is observed and mass dependent upper limits are derived on the Yukawa couplings h_{el} of the Higgs boson to an electron-lepton pair. Assuming that the doubly-charged Higgs only decays into an electron and a muon via a coupling of electromagnetic strength h_{e \mu} = \sqrt{4 \pi \alpha_{em}} = 0.3, a lower limit of 141 GeV on the H^{\pm\pm} mass is obtained at the 95% confidence level. For a doubly-charged Higgs decaying only into an electron and a tau and a coupling h_{e\tau} = 0.3, masses below 112 GeV are ruled out.Comment: 15 pages, 3 figures, 1 tabl

Search for the Flavor-Changing Neutral Current Decay D0→μ+μ−D^0 \to \mu^+\mu^- with the HERA-B Detector

We report on a search for the flavor-changing neutral current decay $D^0 \to \mu^+\mu^-$ using $50 \times 10^6$ events recorded with a dimuon trigger in interactions of 920 GeV protons with nuclei by the HERA-B experiment. We find no evidence for such decays and set a 90% confidence level upper limit on the branching fraction $Br(D^0 \to \mu^+\mu^-) <2.0 \times 10^{-6}$.Comment: 17 pages, 4 figures (of which 1 double), paper to be submitted to Physics Letters

Measurement of the J/Psi Production Cross Section in 920 GeV/c Fixed-Target Proton-Nucleus Interactions

The mid-rapidity (dsigma_(pN)/dy at y=0) and total sigma_(pN) production cross sections of J/Psi mesons are measured in proton-nucleus interactions. Data collected by the HERA-B experiment in interactions of 920 GeV/c protons with carbon, titanium and tungsten targets are used for this analysis. The J/Psi mesons are reconstructed by their decay into lepton pairs. The total production cross section obtained is sigma_(pN)(J/Psi) = 663 +- 74 +- 46 nb/nucleon. In addition, our result is compared with previous measurements

Differential branching fraction and angular analysis of the decay B0→K∗0μ+μ−

The angular distribution and differential branching fraction of the decay B 0→ K ∗0 μ + μ − are studied using a data sample, collected by the LHCb experiment in pp collisions at s√=7 TeV, corresponding to an integrated luminosity of 1.0 fb−1. Several angular observables are measured in bins of the dimuon invariant mass squared, q 2. A first measurement of the zero-crossing point of the forward-backward asymmetry of the dimuon system is also presented. The zero-crossing point is measured to be q20=4.9±0.9GeV2/c4 , where the uncertainty is the sum of statistical and systematic uncertainties. The results are consistent with the Standard Model predictions

Observation of an Excited Bc+ State

Using pp collision data corresponding to an integrated luminosity of 8.5 fb-1 recorded by the LHCb experiment at center-of-mass energies of s=7, 8, and 13 TeV, the observation of an excited Bc+ state in the Bc+π+π- invariant-mass spectrum is reported. The observed peak has a mass of 6841.2±0.6(stat)±0.1(syst)±0.8(Bc+) MeV/c2, where the last uncertainty is due to the limited knowledge of the Bc+ mass. It is consistent with expectations of the Bc∗(2S31)+ state reconstructed without the low-energy photon from the Bc∗(1S31)+→Bc+γ decay following Bc∗(2S31)+→Bc∗(1S31)+π+π-. A second state is seen with a global (local) statistical significance of 2.2σ (3.2σ) and a mass of 6872.1±1.3(stat)±0.1(syst)±0.8(Bc+) MeV/c2, and is consistent with the Bc(2S10)+ state. These mass measurements are the most precise to date

Measurement of the mass and lifetime of the Ωb−\Omega_b^- baryon

A proton-proton collision data sample, corresponding to an integrated luminosity of 3 fb$^{-1}$ collected by LHCb at $\sqrt{s}=7$ and 8 TeV, is used to reconstruct $63\pm9$ $\Omega_b^-\to\Omega_c^0\pi^-$, $\Omega_c^0\to pK^-K^-\pi^+$ decays. Using the $\Xi_b^-\to\Xi_c^0\pi^-$, $\Xi_c^0\to pK^-K^-\pi^+$ decay mode for calibration, the lifetime ratio and absolute lifetime of the $\Omega_b^-$ baryon are measured to be \begin{align*} \frac{\tau_{\Omega_b^-}}{\tau_{\Xi_b^-}} &= 1.11\pm0.16\pm0.03, \\ \tau_{\Omega_b^-} &= 1.78\pm0.26\pm0.05\pm0.06~{\rm ps}, \end{align*} where the uncertainties are statistical, systematic and from the calibration mode (for $\tau_{\Omega_b^-}$ only). A measurement is also made of the mass difference, $m_{\Omega_b^-}-m_{\Xi_b^-}$, and the corresponding $\Omega_b^-$ mass, which yields \begin{align*} m_{\Omega_b^-}-m_{\Xi_b^-} &= 247.4\pm3.2\pm0.5~{\rm MeV}/c^2, \\ m_{\Omega_b^-} &= 6045.1\pm3.2\pm 0.5\pm0.6~{\rm MeV}/c^2. \end{align*} These results are consistent with previous measurements.Comment: 11 pages, 5 figures, All figures and tables, along with any supplementary material and additional information, are available at https://lhcbproject.web.cern.ch/lhcbproject/Publications/LHCbProjectPublic/LHCb-PAPER-2016-008.htm

Measurement of the Bs0→J/ψηB_{s}^{0} \rightarrow J/\psi \eta lifetime

Using a data set corresponding to an integrated luminosity of $3 fb^{-1}$, collected by the LHCb experiment in $pp$ collisions at centre-of-mass energies of 7 and 8 TeV, the effective lifetime in the $B^0_s \rightarrow J/\psi \eta$ decay mode, $\tau_{\textrm{eff}}$, is measured to be $\tau_{\textrm{eff}} = 1.479 \pm 0.034~\textrm{(stat)} \pm 0.011 ~\textrm{(syst)}$ ps. Assuming $CP$ conservation, $\tau_{\textrm{eff}}$ corresponds to the lifetime of the light $B_s^0$ mass eigenstate. This is the first measurement of the effective lifetime in this decay mode.Comment: All figures and tables, along with any supplementary material and additional information, are available at https://lhcbproject.web.cern.ch/lhcbproject/Publications/LHCbProjectPublic/LHCb-PAPER-2016-017.htm