50,239 research outputs found
Risk Minimization and Optimal Derivative Design in a Principal Agent Game
We consider the problem of Adverse Selection and optimal derivative design
within a Principal-Agent framework. The principal's income is exposed to
non-hedgeable risk factors arising, for instance, from weather or climate
phenomena. She evaluates her risk using a coherent and law invariant risk
measure and tries minimize her exposure by selling derivative securities on her
income to individual agents. The agents have mean-variance preferences with
heterogeneous risk aversion coefficients. An agent's degree of risk aversion is
private information and hidden to the principal who only knows the overall
distribution. We show that the principal's risk minimization problem has a
solution and illustrate the effects of risk transfer on her income by means of
two specific examples. Our model extends earlier work of Barrieu and El Karoui
(2005) and Carlier, Ekeland and Touzi (2007).Comment: 28 pages, 4 figure
Synchronization of networks with variable local properties
We study the synchronization transition of Kuramoto oscillators in scale-free
networks that are characterized by tunable local properties. Specifically, we
perform a detailed finite size scaling analysis and inspect how the critical
properties of the dynamics change when the clustering coefficient and the
average shortest path length are varied. The results show that the onset of
synchronization does depend on these properties, though the dependence is
smooth. On the contrary, the appearance of complete synchronization is
radically affected by the structure of the networks. Our study highlights the
need of exploring the whole phase diagram and not only the stability of the
fully synchronized state, where most studies have been done up to now.Comment: 5 pages and 3 figures. APS style. Paper to be published in IJBC
(special issue on Complex Networks' Structure and Dynamics
The physics of twisted magnetic tubes rising in a stratified medium: two dimensional results
The physics of a twisted magnetic flux tube rising in a stratified medium is
studied using a numerical MHD code. The problem considered is fully
compressible (no Boussinesq approximation), includes ohmic resistivity, and is
two dimensional, i.e., there is no variation of the variables in the direction
of the tube axis. We study a high plasma beta case with small ratio of radius
to external pressure scaleheight. The results obtained can therefore be of
relevance to understand the transport of magnetic flux across the solar
convection zone.Comment: To be published in ApJ, Vol. 492, Jan 10th, 1998; 25 pages, 16
figures. NEW VERSION: THE PREVIOUS ONE DIDN'T PRINT CORRECTLY. The style file
overrulehere.sty is include
Transition Temperature of a Magnetic Semiconductor with Angular Momentum j
We employ dynamical mean-field theory to identify the materials properties
that optimize Tc for a generalized double-exchange (DE) model. We reach the
surprising conclusion that Tc achieves a maximum when the band angular momentum
j equals 3/2 and when the masses in the 1/2 and 3/2 sub-bands are equal.
However, we also find that Tc is significantly reduced as the ratio of the
masses decreases from one. Consequently, the search for dilute magnetic
semiconductors (DMS) materials with high Tc should proceed on two fronts. In
semiconductors with p bands, such as the currently studied Mn-doped Ge and GaAs
semiconductors, Tc may be optimized by tuning the band masses through strain
engineering or artificial nanostructures. On the other hand, semiconductors
with s or d bands with nearly equal effective masses might prove to have higher
Tc's than p-band materials with disparate effective masses.Comment: 5 pages, 4 figure
Improved routing strategies for Internet traffic delivery
We analyze different strategies aimed at optimizing routing policies in the
Internet. We first show that for a simple deterministic algorithm the local
properties of the network deeply influence the time needed for packet delivery
between two arbitrarily chosen nodes. We next rely on a real Internet map at
the autonomous system level and introduce a score function that allows us to
examine different routing protocols and their efficiency in traffic handling
and packet delivery. Our results suggest that actual mechanisms are not the
most efficient and that they can be integrated in a more general, though not
too complex, scheme.Comment: Final versio
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