Optimal Basket Liquidation for CARA Investors is Deterministic

Abstract

We consider the problem faced by an investor who must liquidate a given basket of assets over a finite time horizon. The investor's goal is to maximize the expected utility of the sales revenues over a class of adaptive strategies. We assume that the investor's utility has constant absolute risk aversion (CARA) and that the asset prices are given by a very general continuous-time, multiasset price impact model. Our main result is that (perhaps surprisingly) the investor does no worse if he narrows his search to deterministic strategies. In the case where the asset prices are given by an extension of the nonlinear price impact model of Almgren [(2003) Applied Mathematical Finance, 10, pp. 1–18], we characterize the unique optimal strategy via the solution of a Hamilton equation and the value function via a nonlinear partial differential equation with singular initial condition.     

液滴冲击液膜问题的光滑粒子动力学模拟

本文对传统的光滑粒子动力学方法进行了改进．改进的光滑粒子动力学方法对传统粒子方法中的核梯度进行了修正,采用了一种新型的耦合边界条件,添加了表面张力和人工应力的计算程序．应用改进的光滑粒子动力学方法对液滴冲击液膜问题进行了数值模拟．得到了不同时刻液滴内部的压力变化特征,精细地捕捉了不同时刻的自由面,从机理上分析了液滴产生飞溅的条件,探讨了韦伯数,表面张力对液滴冲击液膜问题的影响．计算结果表明,改进光滑粒子动力学方法能够有效地描述液滴冲击液膜的动力学特性和自由表面变化特征,能够得到稳定精度的结果．     

铝合金弹丸超高速撞击玄武岩纤维布剩余速度分析

 采用高强纤维作为防护材料,是航天器空间碎片超高速撞击防护结构发展的趋势之一。超高速撞击损伤分析是空间碎片防护结构研究开发设计的重要环节,也是高压极端加载条件下材料动态响应分析的重要内容。玄武岩纤维是近年来受到人们关注的一种高强度、高模量陶瓷纤维。利用二级轻气炮进行了铝合金弹丸超高速撞击玄武岩纤维编织布时的超高速撞击实验,根据弹丸碎片的闪光X射线阴影照片,分析了铝合金弹丸超高速撞击玄武岩纤维编织布的撞击速度损失规律,根据实验结果拟合得到了铝合金弹丸的剩余速度方程,为分析玄武岩纤维材料对弹丸的撞击能量消耗提供了参考依据。     

钢芯弹冲击高强度钢过程的数值模拟分析

 通过材料特性实验获得7.62 mm×39 mm普通钢芯弹弹芯、N-1高强度钢靶板材料的力学本构模型参数,建立了弹体和靶板的精细有限元模型。对靶板钢材的J-C断裂准则进行改进,并在LS-DYNA软件中实现。应用改进的断裂准则进行了N-1钢受普通钢芯弹垂直冲击过程的数值模拟,计算结果可更准确地反映出实验中靶板出现的绝热剪切冲塞行为,冲塞尺寸较接近实验结果,弹道极限速度也与实验吻合。由此克服了基于原J-C断裂准则计算的缺陷——靶板发生与实验结果不符的拉伸型破坏、冲塞尺寸明显偏小。     

A New Apparatus for Particle Impact Tests

Breakage and chipping of particles due to collision with a hard surface is a common occurrence in many conveying and handling systems, such as pneumatic conveying and jet‐mills. Studies of the breakage mechanism of particles due to impact and the effect of impact velocity and the number of impacts have been investigated in depth both experimentally and theoretically. In this paper, a new concept and apparatus are introduced for conducting particle impact tests. In most of the published test rigs, particles were accelerated towards a target. In our apparatus, the target moves and hits the particles. Using this concept, the machine can operate in a vacuum, which will reduce errors caused by air streams and turbulence. The performance of the new apparatus is analyzed and the breakage phenomenon is discussed, to some extent, for two materials. The results are presented in terms of the increase in the weight percentage of the feed broken and the decrease in the weight median size as the impact velocity or number of impacts increases.     

汽车碰撞试验橡皮绳弹射速度回归统计分析与预测

清华大学汽车碰撞实验室利用橡皮绳弹射加速试验车进行碰撞试验。用线性回归统计的方法预测橡皮绳拉伸长度,精确地控制了开环状态的试验车的碰撞速度。这种橡皮绳弹射试验速度控制方法克服了由于阻力、环境温度等因素造成的影响,避免了造成巨大损失危险。同时对目前国内采用同类试验方法的试验室有一定的参考意义。     

Electron impact single and double ionization of magnesium

Electron impact single and double ionization cross-sections for magnesium have been calculated in the binary encounter model using accurate expression for (cross-section for energy transfer ΔE) as given by Vriens. Hartree-Fock velocity distributions for the target electrons have been used throughout the calculations. In case of double ionization contributions of inner shell ionization and Auger emission have been included in the present work. The results obtained in case of single ionization are excellent and at the same time the double ionization cross-sections show reasonably good agreement with the recent experimental observations. Substantiation of the viewpoint of Peach, and Boivin and Srivastava that a vacancy in the 2p shell of magnesium leads to double ionization is a remarkable feature of the present investigation. Received 9 October 2001 / Received in final form 8 January 2002 Published online 28 June 2002     

厚金属靶在弹丸打击下的侵彻与穿透

 给出了预测厚金属靶在不同形状弹头弹丸大速度范围内打击下侵彻与穿透的简单分析方程。在方程的建立过程中，假定变形是局部化的、冲击能量仅由侵彻过程吸收，并进一步假定靶材料对弹丸的平均阻（压）力由两部分组成：一部分基于空穴膨胀理论由于靶材料弹-塑性变形所产生的准静态凝聚阻力；另一部分是考虑了速度效应后的动压力。推导出了预测靶侵彻深度和弹道极限的方程表达式，并与金属靶在不同形状弹头弹丸大速度范围内打击下侵彻与穿透的实验进行了比较。理论预测与实验结果吻合得很好。     

Electron impact excitation of 11 S–21 S transition in helium

The modified variable-charge Coulomb-projected Born approximation is applied to electron impact excitation of 1¹ S–2¹ S transition in helium. The results are compared with other theoretical and experimental results.     

超高速碰撞的弹托分离技术

 本文详细介绍了利用二级轻气炮发射超高速弹丸的弹托分离技术。实验结果表明采用拦截器技术进行弹托分离，不像气动力分离技术那样损失弹丸速度，可以充分发挥炮的发射性能。拦截器结构简单，很容易保证系统的同轴性。弹丸能够顺利地进入拦截器分离，分离的成功率为100%。