263 research outputs found

    Empirical Asset Pricing with Equity Tail Risk

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    This dissertation comprises three separate chapters on both risk-neutral and physical probability spaced equity tail risk for both the market index and in the cross-section of individual stocks. The first chapter is titled “Does VIX Truly Measure Return Volatility?” This chapter studies the bias of the VIX index as a volatility measure. Particularly, VIX undervalues (overvalues) volatility when market return is expected to be negatively (positively) skewed. Alternatively, we develop a model-free generalized volatility index (GVIX). This chapter further derives the risk-neutral tail risk estimated from the VIX index. The second chapter is titled “Decomposing the VIX: Implications for the Predictability of Stock Returns” This chapter studies the tail risk for the market index (S&P 500 index) in both risk-neutral and physical probability space and subsequently quantifies the market tail risk premium. Market tail risk premium also is a driving force of the VIX index, especially during a nervous market condition. The VIX decomposed market tail risk premium possesses significant prediction power for the equity market index (S&P500 index), Fama and French style portfolios, and industry portfolios with a prediction range that varies from one month to 12 months. The third chapter is titled “The Predictive Power of Tail Risk Premia on Individual Stock Returns” This chapter studies both the risk-neutral and physical probability space tail risk for the cross-section of individual stocks and examines the characteristics of this premium in the cross-section of stock returns. The tail risk premium for individual stocks is statistically and economically priced in the cross-section of individual stock returns. Specifically, the existence of a premium for bearing negative tail risk is significantly associated with negative returns up to one month in the future. In contrast, the premium for bearing positive tail risk has no significant predictive power. This phenomenon cannot be explained by size, book-to-market ratio, market beta, idiosyncratic volatility, momentum, illiquidity, or lottery effect (maximum and minimum monthly returns). Overall, the results from the three chapters indicate that equity tail risk is an important factor for the market index in both risk-neutral and physical probability spaces, and its premium carries strong return predictability for multiple market-level portfolio assets. Furthermore, equity tail risk and its premium carry significant return prediction power in the cross-section of individual stock returns. This phenomenon is robust to previously documented asset pricing factors

    Open-Loop and Closed-Loop Solvabilities for Stochastic Linear Quadratic Optimal Control Problems

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    This paper is concerned with a stochastic linear quadratic (LQ, for short) optimal control problem. The notions of open-loop and closed-loop solvabilities are introduced. A simple example shows that these two solvabilities are different. Closed-loop solvability is established by means of solvability of the corresponding Riccati equation, which is implied by the uniform convexity of the quadratic cost functional. Conditions ensuring the convexity of the cost functional are discussed, including the issue that how negative the control weighting matrix-valued function R(s) can be. Finiteness of the LQ problem is characterized by the convergence of the solutions to a family of Riccati equations. Then, a minimizing sequence, whose convergence is equivalent to the open-loop solvability of the problem, is constructed. Finally, an illustrative example is presented.Comment: 40 page

    Mean-Field Stochastic Linear Quadratic Optimal Control Problems: Closed-Loop Solvability

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    An optimal control problem is studied for a linear mean-field stochastic differential equation with a quadratic cost functional. The coefficients and the weighting matrices in the cost functional are all assumed to be deterministic. Closed-loop strategies are introduced, which require to be independent of initial states; and such a nature makes it very useful and convenient in applications. In this paper, the existence of an optimal closed-loop strategy for the system (also called the closed-loop solvability of the problem) is characterized by the existence of a regular solution to the coupled two (generalized) Riccati equations, together with some constraints on the adapted solution to a linear backward stochastic differential equation and a linear terminal value problem of an ordinary differential equation.Comment: 23 page

    Bipolar Monte Carlo Simulation of Hot Carriers In III-N LEDs

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    We carry out bipolar Monte Carlo (MC) simulations of electron and hole transport in a multi-quantum well light-emitting diode with an electron-blocking layer. The MC simulation accounts for the most important interband recombination and intraband scattering processes and solves self-consistently for the non-quasiequilibrium transport. The fully bipolar MC simulator results in better convergence than our previous Monte Carlo-drift-diffusion (MCDD) model and also shows clear signatures of hot holes. Accounting for both hot electron and hot hole effects increases the total current and decreases the efficiency especially at high bias voltages. We also present our in-house full band structure calculations for GaN to be coupled later with the MC simulation in order to enable even more detailed predictions of device operation

    Suppressing Ion Migration Enables Stable Perovskite Light-Emitting Diodes with All-Inorganic Strategy

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    Stability issue is one of the major concerns that limit emergent perovskite light-emitting diodes (PeLEDs) techniques. Generally, ion migration is considered as the most important origin of PeLEDs degradation. In this work, an all-inorganic device architecture, LiF/perovskite/LiF/ZnS/ZnSe, is proposed to address this imperative problem. The inorganic (Cs1-xRbx)(1-)(y)K(y)PbBr(3)perovskite is optimized with achieving a photoluminescence quantum yield of 67%. Depth profile analysis of X-ray photoelectron spectroscopy indicates that the LiF/perovskite/LiF structure and the ZnS/ZnSe cascade electron transport layers significantly suppress the electric-field-induced ion migrations of the perovskite layers, and impede the diffusion of metallic atoms from cathode into perovskites. The as-prepared PeLEDs display excellent shelf stability (maintaining 90% of the initial external quantum efficiency [EQE] after 264 h) and operational stability (half-lifetime of about 255 h at an initial luminance of 120 cd m(-2)). The devices also exhibit a maximum brightness of 15 6155 cd m(-2)and an EQE of 11.05%

    The first case of pulmonary disease caused by Mycobacterium septicum in China

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    SummaryMycobacterium septicum is a rapidly growing Mycobacterium (RGM) that rarely causes pulmonary disease globally. We describe a case of M. septicum pulmonary disease, which to our knowledge is the first reported in China. The isolates were identified as M. septicum and were susceptible in vitro to amikacin, ciprofloxacin, ofloxacin, levofloxacin, kanamycin, and sulfamethoxazole

    Inhibition effect of solid products and DC breakdown characteristics of the HFO1234Ze(E)-N2-O2 ternary gas mixture

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    HFO1234ze(E) is an environmentally friendly SF6 substitute gas with prominent application potential. To suppress the generation of the HFO1234ze(E) solid decomposition products, which may cause great hazards to the gas–solid insulation strength, a gas mixing scheme screening method based on the reactive force field (ReaxFF) molecular dynamics (MD) simulation was innovatively proposed. The simulation results show that the inhibitory effect of O2 on the formation of HFO1234ze(E) solid products is better than those of CO2 and CF4. Further study shows that when O2 accounts for 3.33% of the gas mixture, the solid precipitate content is reduced by 48%. The experimental study shows that an O2 content of 3.33% can inhibit the generation of solid products by more than 50%. Besides, compared with HFO1234ze(E)-N2, the DC breakdown voltage of HFO1234ze(E)-N2-O2 is slightly increased, and the breakdown voltage dispersion degree and continuous breakdown voltage drop rate are decreased. This work gives a feasible solution for the suppression of HFO1234ze(E) solid decomposition products and provides an efficient method for solving similar problems of environmentally friendly insulating gas in C/F/O/N systems
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