Relative Robust Portfolio Optimization

Considering mean-variance portfolio problems with uncertain model parameters, we contrast the classical absolute robust optimization approach with the relative robust approach based on a maximum regret function. Although the latter problems are NP-hard in general, we show that tractable inner and outer approximations exist in several cases that are of central interest in asset management

Estimation of Risk-Neutral Density Surfaces

Option price data is often used to infer risk-neutral densities for future prices of an underlying asset. Given the prices of a set of options on the same underlying asset with different strikes and maturities, we propose a nonparametric approach for estimating risk-neutral densities associated with several maturities. Our method uses bicubic splines in order to achieve the desired smoothness for the estimation and an optimization model to choose the spline functions that best fit the price data. Semidefinite programming is employed to guarantee the nonnegativity of the densities. We illustrate the process using synthetic option price data generated using log-normal and absolute diffusion processes as well as actual price data for options on the S&P500 index. We also used the risk-neutral densities that we computed to price exotic options and observed that this approach generates prices that closely approximate the market prices of these options.

Catalpa bignonioides walter (bignoniaceae)’deki polen ve anter çeperi gelişimine genel bir bakış

Anther development in Catalpa bignonioides Walter was investigated from the sporogenous cell to the mature pollen grain stages to determine whether the pollen and anther wall development follows the basic scheme in angiosperms. In order to follow pollen ontogeny through successive stages of pollen development, anthers at different developmental stages were embedded in epon according to the usual method, and semi-thin sections, taken from the epon embedded anthers, were stained with toluidine blue for general histological observations under light microscopy. The young anther wall of C. bignonioides consists of four layers; from the exterior, the epidermis, endothecium, middle layer, and a secretory tapetum. The tapetum is dual in origin and dimorphic. Ubisch bodies were observed on the inner tangential walls of the tapetal cells. The number of the anther wall layers changes depending on the developmental stage and region of the anther. In contrast to the other anther wall layers, epidermis and endothecium layers remain intact until anthesis. Endothecial cells enlarge and develop thickenings at maturity. During microspore development, meiocytes undergo meiosis and simultaneous cytokinesis leading to the formation of permanent tetrahedral, isobilateral and rarely linear tetrads. Pollen tetrads are shed from the anther as compound pollen grains. Results of the study revealed that pollen and anther wall development in C. bignonioides follows the basic scheme in angiosperms.Catalpa bignonioides Walter’deki anter çeperi ve polen gelişiminin diğer angiospermlerdeki temel aşamaları takip edip etmediğini anlayabilmek için, bu bitkideki anter gelişimi sporogen evre aşamasından olgun polen aşamasına kadar ışık mikroskobu kullanılarak araştırıldı. Anterdeki polen ontogenezini sırasıyla takip edebilmek için farklı gelişim aşamalarındaki anterler epona gömüldü ve bu anterlerden ultramikrotom ile alınan 1 mikronluk kesitler genel histokimyasal gözlemler için toluidin mavisiyle boyandı. Catalpa bignonioides’in genç anter çeperi dıştan içe doğru sırasıyla epidermis, endotesyum, ara tabaka ve salgı tapetumu olmak üzere 4 farklı tabakadan oluşmaktadır. Tapetum hücreleri iki farklı kökenden gelir ve yapısal olarak dimorfiktir. Tapetum hücrelerinin dış çeperlerinde, Ubisch cisimcikleri gözlenmiştir. Anter çeperindeki tabaka sayısı anterin gelişim aşamalarına ve değişik bölgelerine göre farklılık göstermektedir. Epidermis ve endotesyum tabakaları, anter çeperinin diğer tabakalarından farklı olarak, anter açılmasına kadar bütünlüğünü korumaktadır. Endotesyum hücreleri olgun polen aşamasında genişler ve çeper kalınlaşmaları gösterir. Mikrospor gelişimi sırasında mayoz bölünme geçiren hücreler simultane tip sitokinez ile tedrahedral, izobilateral ve nadir olarak da linear tipte kalıcı tetratları oluşturur. Polenler anterden tetrat halinde dışarı atılır. Bu çalışmanın bulguları C. bignonioides’teki anter çeperi ve polen gelişiminin diğer angiospermlerle uyumlu olduğunu göstermiştir

Estimating the size of underground economy in Turkey

Bu çalışmada amaç, Türkiye’de kayıtdışı ekonominin boyutunu tahmin etmektir. 2005:4-2013:4 dönemini kapsayan İstihdam Yaklaşımına göre, kayıtdışı istihdamın kurumsal olmayan nüfusa oranı, ortalama %5 olarak tahmin edilmiştir. 2005:4-2015:2 dönemi kullanılarak Basit Parasal Oran Yaklaşımı ile hesaplanan kayıtdışı ekonominin GSYİH'ya oranı ortalama %8 olarak bulunmuştur. Ayrıca elde edilen bulgular, kayıtdışı ekonomi faaliyetlerinin, ekonomik kriz döneminde artış eğilimine sahip olduğunu göstermektedir.The purpose of this study is to estimate the size of the underground economy for Turkey. According to the Employment Approach for the period of 2005:4-2013:4, the ratio of underground employment to the non-institutional population is estimated average 5%. The ratio of underground economy to the GDP is estimated average 8% by the Simple Currency Ratio Approach for the period of 2005:4-2015:2. Furthermore, the findings indicate that the growing of underground economy has a tendency to increase during the crisis period

Origin of superconductivity in layered centrosymmetric LaNiGa2

The following article appeared in Applied Physics Letters , Vol. 104, 022603 (2014) and may be found at: http://dx.doi.org/10.1063/1.4862329We have examined the origin of superconductivity in layered centrosymmetric LaNiGa2 by employing a linear response approach based on the density functional perturbation theory. Our results indicate that this material is a conventional electron-phonon superconductor with intermediate level of coupling strength, with the electron-phonon coupling parameter of 0.70, and the superconducting critical temperature of 1.90 K in excellent accordance with experimental value of 1.97 K. The largest contribution to the electron-phonon coupling comes from the La d and Ga p electrons near the Fermi energy and the B3g phonon branch resulting from vibrations of these atoms along the Γ-Z symmetry line in the Brillouin zone. © 2014 AIP Publishing LLC

Phonon anomalies and superconductivity in the Heusler compound YPd 2Sn

The following article appeared in Journal of Applied Physics, Vol. 116, 013907 (2014) and may be found at: http://dx.doi.org/10.1063/1.4887355We have studied the structural and electronic properties of YPd 2Sn in the Heusler structure using a generalized gradient approximation of the density functional theory and the ab initio pseudopotential method. The electronic results indicate that the density of states at the Fermi level is primarily derived from Pd d states, which hybridize with Y d and Sn p states. Using our structural and electronic results, phonons and electron-phonon interactions have been studied by employing a linear response approach based on the density functional theory. Phonon anomalies have been observed for transverse acoustic branches along the [110] direction. This anomalous dispersion is merely a consequence of the strong coupling. By integrating the Eliashberg spectral function, the average electron-phonon coupling parameter is found to be λ=0.99. Using this value, the superconducting critical temperature is calculated to be 4.12K, in good accordance with the recent experimental value of 4.7K. © 2014 AIP Publishing LLC

Theoretical examination of superconductivity in the cubic antiperovskite Cr3GaN under pressure

This is the final version of the article. Available from AIP via the DOI in this record.We present results of a first-principles investigation of the lattice dynamics and electron-phonon coupling of Cr3GaN under pressure within a linear response approach based on density functional perturbation theory. It is found that stable phonon modes are maintained throughout the Brillouin zone in the pressure range 0-100 GPa. Our results at zero pressure indicate that the material is a conventional electron-phonon superconductor with intermediate level of coupling strength. It is further found that the decrease in the density of states at the Fermi level and the increase of phonon frequencies under pressure are the main causes for a monotonic decrease of the electron-phonon coupling parameter and the superconductor transition temperature. © 2013 AIP Publishing LLC

ON MONO-INJECTIVE MODULES AND MONO-OJECTIVE MODULES

In [5] and [6], we have introduced a couple of relative generalized epi-projectivities and given several properties of these projectivities. In this paper, we consider relative generalized injectivities that are dual to these relative projectivities and apply them to the study of direct sums of extending modules. Firstly we prove that for an extending module N, a module M is N-injective if and only if M is mono-Ninjective and essentially N-injective. Then we define a mono-ojectivity that plays an important role in the study of direct sums of extending modules. The structure of (mono-)ojectivity is complicated and hence it is difficult to determine whether these injectivities are inherited by finite direct sums and direct summands even in the case where each module is quasi-continuous. Finally we give several characterizations of these injectivities and find necessary and sufficient conditions for the direct sums of extending modules to be extending