HEDGING CURRENCY RISK IN INTERNATIONAL INVESTMENT AND TRADE

International investing and trade has one unintended consequence; namely, the creation of currency risk which causes the local currency value of the foreign receivables or investments to fluctuate dramatically because of pure currency movements. The academic literature on currencies has typically misunderstood currency risk and suggested that currencies have no long term return, are difficult to predict, and difficult to take advantage of as the markets are extremely liquid. Hence, typical recommendations include either that companies and investors should remove this uncompensated volatility by naively hedging back into the base currency or leaving the risk unhedged (which is often misinterpreted and, as a result, left unmanaged). The effective financial management of such cash flows or investments provides a completely different perspective as na�ve hedging (unhedging) of currency risk implies a strong view that the base currency will appreciate (depreciate) against the foreign currency. Moreover, the currency market has many non-profit participants and while exact currency levels cannot be predicted, the future direction of currencies can be anticipated through relatively simple models and non-profit participants can be exploited. We demonstrate how Japanese corporations and investors can develop a much more robust and SMART (Systematic Management of Assets Using a Rules Based Technique) approach to manage currency risk, thereby adding value from currency fluctuations while managing currency risk. In short, they can easily improve performance, risk management and governance. Such transactions are easy to implement with currency forwards and while the current paper focuses on USD exposures, a more general multi-currency approach can be developed for a more comprehensive analysis.

Exact density matrix of the Gutzwiller wave function: II. Minority spin component

The density matrix, i.e. the Fourier transform of the momentum distribution, is obtained analytically for all magnetization of the Gutzwiller wave function in one dimension with exclusion of double occupancy per site. The present result complements the previous analytic derivation of the density matrix for the majority spin. The derivation makes use of a determinantal form of the squared wave function, and multiple integrals over particle coordinates are performed with the help of a diagrammatic representation. In the thermodynamic limit, the density matrix at distance x is completely characterized by quantities v_c x and v_s x, where v_s and v_c are spin and charge velocities in the supersymmetric t-J model for which the Gutzwiller wave function gives the exact ground state. The present result then gives the exact density matrix of the t-J model for all densities and all magnetization at zero temperature. Discontinuity, slope, and curvature singularities in the momentum distribution are identified. The momentum distribution obtained by numerical Fourier transform is in excellent agreement with existing result.Comment: 20 pages, 10 figure

Exact Dynamics of the SU(K) Haldane-Shastry Model

The dynamical structure factor $S(q,\omega)$ of the SU(K) (K=2,3,4) Haldane-Shastry model is derived exactly at zero temperature for arbitrary size of the system. The result is interpreted in terms of free quasi-particles which are generalization of spinons in the SU(2) case; the excited states relevant to $S(q,\omega)$ consist of K quasi-particles each of which is characterized by a set of K-1 quantum numbers. Near the boundaries of the region where $S(q,\omega)$ is nonzero, $S(q,\omega)$ shows the power-law singularity. It is found that the divergent singularity occurs only in the lowest edges starting from $(q,\omega) = (0,0)$ toward positive and negative q. The analytic result is checked numerically for finite systems via exact diagonalization and recursion methods.Comment: 35 pages, 3 figures, youngtab.sty (version 1.1

Non-Referentialist CHL as Error Minimization: Toward a Valuation-Free Agree Model

What are uninterpretable features （uFs, or morpho-syntactic features such as ϕ and case）? What exactly is Agree? Where do they originate from? Two assumptions are utilized: the converse of the referentialist doctrine for the computational procedures of human natural language （CHL） （i.e., words do not refer; axiom one） and the error minimization hypothesis （EMH） for nature, which contains EMH for CHL, resulting in a valuation-free Agree model. The axiom one and EMH state that （a） both the conceptual-intentional system （CI） and sensory-motor system （SM） are disconnected in the human brain, （b） as a result, the human brain must connect two systems that are fundamentally different, namely, geometrybuilding narrow syntax （NS） and sound-wave-computing SM, and （c） uFs are errors that emerge in our brain as a result of the mutated disconnection. CHL （NS） is a system that strives to offset errors in order to approach a perfect computational system, deducing the strong minimalist thesis （SMT）. The valuation-free Agree model is based on the grammatical feature hypothesis （consequent upon axiom one） and the error-minimization algorithm （EMA） （a subset of EMH）. The grammatical feature hypothesis holds that all morpho-syntactic features are NS-computable and SM/CI-uncomputable. The valuation-free Agree model is supported by evidence from languages such as English, French, Hindi, and Japanese, being as it is that there are two types of EMA: error elimination under matching （EMA ①） and error neutralization （EMA ②）. EMA ① eliminates probe-goal uF （case and ϕ） under the matching, where two Agree types exist in terms of feature inheritance timing. EMA ② neutralizes uF: it eliminates ϕ as a reflex of case elimination, forcing the predicate ϕ to default. The control issue （i.e., null case elimination of infinitive） and the seeming lack of ϕ-agree in east Asian languages are incorporated in EMA ②departmental bulletin pape

光通信のためのモデルベース適応多層フィルタの誤差逆伝播による制御

京都大学新制・課程博士博士(情報学)甲第24937号情博第848号京都大学大学院情報学研究科先端数理科学専攻(主査)教授 林 和則, 教授 青柳 富誌生, 准教授 寺前 順之介学位規則第4条第1項該当Doctor of InformaticsKyoto UniversityDFA