Robust profit opportunities in risky financial portfolios

Cataloged from PDF version of article.For risky financial securities with given expected return vector and covariance matrix, we propose the concept of a robust profit opportunity in single- and multiple-period settings. We show that the problem of finding the “most robust” profit opportunity can be solved as a convex quadratic programming problem, and investigate its relation to the Sharpe ratio. © 2004 Elsevier B.V. All rights reserved

On the Nesterov-Todd Direction in Semidefinite Programming

On the Nesterov-Todd Direction in Semidefinite Programmin

Lattice dynamics of mixed semiconductors (Be,Zn)Se from first-principles calculations

Vibration properties of Zn(1-x)Be(x)Se, a mixed II-VI semiconductor haracterized by a high contrast in elastic properties of its pure constituents, ZnSe and BeSe, are simulated by first-principles calculations of electronic structure, lattice relaxation and frozen phonons. The calculations within the local density approximation has been done with the Siesta method, using norm-conserving pseudopotentials and localized basis functions; the benchmark calculations for pure endsystems were moreover done also by all-electron WIEN2k code. An immediate motivation for the study was to analyze, at the microscopic level, the appearance of anomalous phonon modes early detected in Raman spectra in the intermediate region (20 to 80%) of ZnBe concentration. This was early discussed on the basis of a percolation phenomenon, i.e., the result of the formation of wall-to-wall --Be--Se-- chains throughout the crystal. The presence of such chains was explicitly allowed in our simulation and indeed brought about a softening and splitting off of particular modes, in accordance with experimental observation, due to a relative elongation of Be--Se bonds along the chain as compared to those involving isolated Be atoms. The variation of force constants with interatomic distances shows common trends in relative independence on the short-range order.Comment: 11 pages, 10 figures, to be published in Phys. Rev.

Projection methods in conic optimization

There exist efficient algorithms to project a point onto the intersection of a convex cone and an affine subspace. Those conic projections are in turn the work-horse of a range of algorithms in conic optimization, having a variety of applications in science, finance and engineering. This chapter reviews some of these algorithms, emphasizing the so-called regularization algorithms for linear conic optimization, and applications in polynomial optimization. This is a presentation of the material of several recent research articles; we aim here at clarifying the ideas, presenting them in a general framework, and pointing out important techniques

Unexpectedly high piezoelectricity of Sm-doped lead zirconate titanate in the Curie point region

Large piezoelectric coefficients in polycrystalline lead zirconate titanate (PZT) are traditionally achieved through compositional design using a combination of chemical substitution with a donor dopant and adjustment of the zirconium to titanium compositional ratio to meet the morphotropic phase boundary (MPB). In this work, a different route to large piezoelectricity is demonstrated. Results reveal unexpectedly high piezoelectric coefficients at elevated temperatures and compositions far from the MPB. At temperatures near the Curie point, doping with 2 at% Sm results in exceptionally large piezoelectric coefficients of up to 915 pm/V. This value is approximately twice those of other donor dopants (e.g., 477 pm/V for Nb and 435 pm/V for La). Structural changes during the phase transitions of Sm-doped PZT show a pseudo-cubic phase forming ≈50 °C below the Curie temperature. Possible origins of these effects are discussed and the high piezoelectricity is posited to be due to extrinsic effects. The enhancement of the mechanism at elevated temperatures is attributed to the coexistence of tetragonal and pseudo-cubic phases, which enables strain accommodation during electromechanical deformation and interphase boundary motion. This work provides insight into possible routes for designing high performance piezoelectrics which are alternatives to traditional methods relying on MPB compositions

Using redundancy to cope with failures in a delay tolerant network

We consider the problem of routing in a delay tolerant net-work (DTN) in the presence of path failures. Previous work on DTN routing has focused on using precisely known network dy-namics, which does not account for message losses due to link failures, buffer overruns, path selection errors, unscheduled de-lays, or other problems. We show how to split, replicate, and erasure code message fragments over multiple delivery paths to optimize the probability of successful message delivery. We provide a formulation of this problem and solve it for two cases: a 0/1 (Bernoulli) path delivery model where messages are ei-ther fully lost or delivered, and a Gaussian path delivery model where only a fraction of a message may be delivered. Ideas from the modern portfolio theory literature are borrowed to solve the underlying optimization problem. Our approach is directly relevant to solving similar problems that arise in replica place-ment in distributed file systems and virtual node placement in DHTs. In three different simulated DTN scenarios covering a wide range of applications, we show the effectiveness of our ap-proach in handling failures