Portfolio selection in stochastic markets with exponential utility functions

We consider the optimal portfolio selection problem in a multiple period setting where the investor maximizes the expected utility of the terminal wealth in a stochastic market. The utility function has an exponential structure and the market states change according to a Markov chain. The states of the market describe the prevailing economic, financial, social and other conditions that affect the deterministic and probabilistic parameters of the model. This includes the distributions of the random asset returns as well as the utility function. The problem is solved using the dynamic programming approach to obtain the optimal solution and an explicit characterization of the optimal policy. We also discuss the stochastic structure of the wealth process under the optimal policy and determine various quantities of interest including its Fourier transform. The exponential return-risk frontier of the terminal wealth is shown to have a linear form. Special cases of multivariate normal and exponential returns are disussed together with a numerical illustration.     

BLUE LIGHT-EMITTING POLY（FLUORENE-CO-BENZENE） CONTAINING AN OXADIAZOLE MOIETY

A new kind of polyfluorene containing oxadiazole as the side chain was synthesized. The introduction of oxadiazole moiety as more bulky group prevents the aggregation and reduces the crystallinity of the polymers. Efficient intramolecular energy transfer from oxadiazole moiety to the conjugated backbone has been realized, leading to 70% improvement of photoluminescence quantum efficiency of the designed polymers. Compared with PAF, the PFOXD exhibits significant improvement in electroluminescence properties, with luminous efficiency of 0.8 cd/A and maximum luminance of 1800cd/m^2,     

Nd^3＋离子的晶场劈裂与基质晶体的化学键

利用研究复杂晶体化学键的理论方法，计算了一组ＡＢＯ４型基质晶体的结构参数和化学键参数，发现Ｎｄ＾３＋离子的总晶场劈裂能△Ｅ与晶体的平均共价性有线性关系。     

An efficient preparation, crystal structures, and properties of monocarbenium-ion compounds stabilized by 3-guaiazulenyl and anisyl groups

Reaction of guaiazulene (1) with 2-methoxybenzaldehyde (2) in methanol in the presence of hexafluorophosphoric acid at 25 °C for 2 h gives (3-guaiazulenyl)(2-methoxyphenyl)methylium hexafluorophosphate (5a) in 93% yield. Similarly, reaction of 1 with 3-methoxybenzaldehyde (3) or 4-methoxybenzaldehyde (4) under the same reaction conditions as for 2 affords (3-guaiazulenyl)(3-methoxyphenyl)methylium hexafluorophosphate (6) (91% yield) or (3-guaiazulenyl)(4-methoxyphenyl)methylium hexafluorophosphate (7) (97% yield). The crystal structures as well as the spectroscopic, electrochemical, and chemical properties of these monocarbenium-ion compounds, possessing interesting resonance forms, stabilized by the 3-guaiazulenyl and anisyl (i.e., 2-, 3-, or 4-methoxyphenyl) groups are reported.     

Alkyl-chain branched effect on the aggregation and photophysical behavior of polydiarylfluorenes toward stable deep-blue electroluminescence and efficient amplified spontaneous emission

The control of the condensed superstructure of light-emitting conjugated polymers(LCPs) is a crucial factor to obtain high performance and stable organic optoelectronic devices.Side-chain engineering strategy is an effective platform to tune inter chain aggregation and photophysical behaviour of LCPs.Herein,we systematically investigated the alkyl-chain branched effecton the conformational transition and photophysical behaviour of polydiarylfluorenes toward efficient blue optoelectronic devices.The branched side chain will improve materials solubility to inhibit interchain aggregation in solution according to DLS and optical analysis,which is useful to obtain high quality film.Therefore,our branched PEODPF,POYDPF pristine film present high luminance efficiency of 36.1% and 39.6%,enhanced about 20%relative to that of PODPF.Compared to the liner-type sides' chain,these branched chains also suppress chain planarization and improve film morphological stability effectively.Interestingly,the branched polymer also had excellent stable amplified spontaneous emission(ASE) behaviour with low threshold(4.72 μJ/cm~2) and a center peak of 465 nm,even thermal annealing at 220 C in the air atmosphere.Therefore,side-chain branched strategy for LCPs is an effective means to control interchain aggregation,film morphology and photophysical property of LCPs.     

Idiosyncratic risk in the Dow Jones Eurostoxx50 Index

Recent evidence by Campbell et al. [J.Y. Campbell, M. Lettau B.G. Malkiel, Y. Xu, Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk, The Journal of Finance (February) (2001)] shows an increase in firm-level volatility and a decline of the correlation among stock returns in the US. In relation to the Euro-Area stock markets, we find that both aggregate firm-level volatility and average stock market correlation have trended upwards.We estimate a linear model of the market risk–return relationship nested in an EGARCH(1, 1)-M model for conditional second moments. We then show that traditional estimates of the conditional risk–return relationship, that use ex-post excess-returns as the conditioning information set, lead to joint tests of the theoretical model (usually the ICAPM) and of the Efficient Market Hypothesis in its strong form.To overcome this problem we propose alternative measures of expected market risk based on implied volatility extracted from traded option prices and we discuss the conditions under which implied volatility depends solely on expected risk. We then regress market excess-returns on lagged market implied variance computed from implied market volatility to estimate the relationship between expected market excess-returns and expected market risk.We investigate whether, as predicted by the ICAPM, the expected market risk is the main factor in explaining the market risk premium and the latter is independent of aggregate idiosyncratic risk.     

基于光谱与空间特征结合的改进高光谱数据分类算法

针对仅利用光谱信息进行分类未充分利用高光谱数据图谱合一特性的问题,提出了基于马尔可夫随机场的改进分类模型,利用基于最大后验概率的马尔科夫随机场模型进行光谱与空间信息的融合应用,采用基于光谱信息的概率支持向量机方法提高马尔科夫随机场模型中光谱能量函数项的类条件概率估计精度,设计基于信息传播策略、信息更新策略、多尺度传播策略的多重加速策略的高效置信传播优化算法,解决了马尔科夫随机场模型中全局能量最小化优化过程中计算复杂度高、计算耗时等问题。利用航空可见-近红外成像光谱仪AVIRIS对美国印第安纳州西北部的农业示范区数据进行应用分析,并与迭代条件模型、模拟退火、置信传播等方法进行性能比较,试验结果表明：该方法能够达到总体分类精度95.78%、Kappa系数0.933 4,优于现有马尔科夫随机场分类算法,并且计算效率比置信传播优化算法提高了3倍以上。