Portfolio Optimization under Partial Information with Expert Opinions: a Dynamic Programming Approach

This paper investigates optimal portfolio strategies in a market where the drift is driven by an unobserved Markov chain. Information on the state of this chain is obtained from stock prices and expert opinions in the form of signals at random discrete time points. As in Frey et al. (2012), Int. J. Theor. Appl. Finance, 15, No. 1, we use stochastic filtering to transform the original problem into an optimization problem under full information where the state variable is the filter for the Markov chain. The dynamic programming equation for this problem is studied with viscosity-solution techniques and with regularization arguments.Comment: 31 page

Expert Opinions and Logarithmic Utility Maximization in a Market with Gaussian Drift

This paper investigates optimal portfolio strategies in a financial market where the drift of the stock returns is driven by an unobserved Gaussian mean reverting process. Information on this process is obtained from observing stock returns and expert opinions. The latter provide at discrete time points an unbiased estimate of the current state of the drift. Nevertheless, the drift can only be observed partially and the best estimate is given by the conditional expectation given the available information, i.e., by the filter. We provide the filter equations in the model with expert opinion and derive in detail properties of the conditional variance. For an investor who maximizes expected logarithmic utility of his portfolio, we derive the optimal strategy explicitly in different settings for the available information. The optimal expected utility, the value function of the control problem, depends on the conditional variance. The bounds and asymptotic results for the conditional variances are used to derive bounds and asymptotic properties for the value functions. The results are illustrated with numerical examples.Comment: 21 page

Влияние энергии плазменной струи на продукт плазмодинамического синтеза в системе SI-C

Synthesis of silicon carbide is interested due to the presence of a wide range of his unique mechanical, thermal and electrical properties: superhardness, strength, thermal and corrosion resistance, radiation hardness, unique semiconductor characteristics. There is a great number of nano-SiC synthesis techniques, but the unique mentioned properties of the produced SiC cannot be generally realized due to dependence on the synthesis methods. In this connection the development of new simple and productive methods for the direct synthesis of nanodispersed high-quality silicon carbide is an important problem. The paper presents the results of the plasmodynamic synthesis and the ability to control the synthesis process and to change product characteristics by the plasma jet energy. The above method can be realized in a high-speed pulse jet of the dense Si-C. The jet is generated by a pulse (~100 ?s) high-current (~100 A) coaxial magnetoplasma accelerator with graphite electrodes. The synthesized product was analyzed by some modern techniques as X-ray diffraction. The main result of the paper is a demonstration of the capabilities plasmodynamic synthesis of nanosized cubic silicon carbide. Change of the input energy level can influence on phase composition, crystals growth and particle sizes

Investigation of room temperature multispin-assisted bulk diamond 13C hyperpolarization at low magnetic fields

In this work we investigated the time behavior of the polarization of bulk 13C nuclei in diamond above the thermal equilibrium. This nonthermal nuclear hyperpolarization is achieved by cross relaxation between two nitrogen related paramagnetic defect species in diamond in combination with optical pumping. The decay of the hyperpolarization at four different magnetic fields is measured. Furthermore, we use the comparison with conventional nuclear resonance measurements to identify the involved distances of the nuclear spin with respect to the defects and therefore the coupling strengths. Also, a careful look at the linewidth of the signal give valuable information to piece together the puzzle of the hyperpolarization mechanism

Геохимическая зональность скарново-золоторудных месторождений Западной Сибири

Исследована геохимическая зональность золото-скарновых месторождений Западной Сибири. Выявлено концентрически зональное строение аномальных структур геохимических полей, сопровождающих изученные месторождения. Определены группы концентрирующихся и деконцентрирующихся (по отношению к золоторудным телам) элементов. Установлена тесная пространственная связь золота с комплексом халькофильных элементов-спутников, набор которых может изменяться в ходе эволюции гидротермальной системы. Набор деконцентрирующихся элементов, накапливающихся по периферии рудных тел, в целом стандартный и включает в себя Ni, Co, Cr, V, Ba, Mn. Проведено обсуждение генетических аспектов выявленной геохимической зональности