Portfolio insurance under a risk-measure constraint

We study the problem of portfolio insurance from the point of view of a fund manager, who guarantees to the investor that the portfolio value at maturity will be above a fixed threshold. If, at maturity, the portfolio value is below the guaranteed level, a third party will refund the investor up to the guarantee. In exchange for this protection, the third party imposes a limit on the risk exposure of the fund manager, in the form of a convex monetary risk measure. The fund manager therefore tries to maximize the investor’s utility function subject to the risk-measure constraint. We give a full solution to this non-convex optimization problem in the complete market setting and show in particular that the choice of the risk measure is crucial for the optimal portfolio to exist. Explicit results are provided for the entropic risk measure (for which the optimal portfolio always exists) and for the class of spectral risk measures (for which the optimal portfolio may fail to exist in some cases).     

Control extension in a recursive language

Techniques for language extension are of interest today as a means for language design experimentation without language proliferation. Attention thus far has been focused on methods for data structure definition and manipulation. The problem of program control extensibility has been recognized by workers in the field but less thoroughly treated. This paper outlines an approach to control extensibility applicable on the source language level to appropriate programming languages.Using the recursive language LISP as an example, extensions are defined that provide call by name function parameters, generator functions (as in IPL-V), non-deterministic functions, and general coroutines. LISP facilitates this exercise by features including dynamic scope of variables, source programs manipulatable as data, simplicity of program state representations, and control over context of function evaluation. The results of this paper suggest criteria for evaluating base languages in extensible programming systems, as well as a possible insight into formal program analysis.     

Ocular toxoplasmosis signs in mice embryo

Ocular toxoplasmosis is present in 20% of infected immunocompetent individuals. Toxoplasmosis is the most common cause of posterior uveitis in immunocompetent subjects and congenital toxoplasmosis transmission was the first parasite to be linked to human lesions in the eye. An experimental model for congenital ocular toxoplasmosis was developed in C57BL/6 mice with the purpose to evaluate Toxoplasma induced ocular pathology during fetal life. Toxoplasma gondii, ME-49 strain, was used to infect pregnant females. Histological analysis of pre-natal fetal eyes from infected female mice, did not show parasite infestation, however, alterations were observed in the outer nuclear layer (ONL) and in the inner nuclear layers (INL) of the retina. Edema was also observed, characterized by the increase of interstitial spaces forming lacunae between the ONL and INL cells and a net of vessels associated with an intense inflammatory infiltrate. These histological observations suggest that ocular lesions are not delayed manifestations of toxoplasmosis. The eye was affected in the initial phase of disease, and these alterations were of similar nature as those observed in mice at later stages of infection.     

High-field magnetization process of granular Co–Cu alloys prepared by melt spinning

High solid-solubility Co₁₅Cu₈₅ alloys have been prepared by melt spinning and submitted to isothermal and anisothermal annealing to obtain granular alloys. The X-ray diffraction (XRD) patterns were measured to investigate the decomposition of supersaturated solid solution induced by annealing. The atomic diffusion and structural evolution during the heat treatment were investigated. In view of the problems limiting their application, the high-field magnetization curves were measured. By a fit to the high-field magnetization curves, the granular alloys are found hard to be magnetically saturated at the early stage of nucleation and growth. The magnetization behavior was correlated to the annealed-induced structural evolution and also to the magnetoresistance effect.     

Measurement of the top quark pair production cross section in pp collisions at s=7TeV in dilepton final states with ATLAS

A measurement of the production cross section of top quark pairs ($t\overline{t}$) in proton–proton collisions at a center-of-mass energy of 7 TeV recorded with the ATLAS detector at the Large Hadron Collider is reported. Candidate events are selected in the dilepton topology with large missing transverse energy and at least two jets. Using a data sample corresponding to an integrated luminosity of $35{\mathrm{pb}}^{?1}$, a $t\overline{t}$ production cross section ${\sigma }_{t\overline{t}}=177\pm 20(\text{stat.})\pm 14(\text{syst.})\pm 7(\text{lum.})\text{pb}$ is measured for an assumed top quark mass of $m_t=172.5\text{GeV}$. A second measurement requiring at least one jet identified as coming from a b quark yields a comparable result, demonstrating that the dilepton final states are consistent with being accompanied by b-quark jets. These measurements are in good agreement with Standard Model predictions.     

Three-dimensional non-axisymmetric behavior of a penny shaped crack in a piezoelectric strip subjected to in-plane loads

The behavior of a penny shaped crack in a three-dimensional piezoelectric ceramic strip under non-axisymmetric in-plane normal mechanical and electrical loads is analyzed based on the continuous electric boundary conditions of the crack surface. The potential theory, Hankel transform and Fourier series are used to obtain the systems of dual integral equations, which are then expressed as Fredholm integral equations. The singular mechanical and electric fields and all mode-I field intensity factors are obtained, and the numerical values of various field intensity factors for PZT-6B piezoelectric ceramic are shown graphically for an uniform load and a pair of concentrated load, respectively.     

On the precision of calculations of initial state radiation in the LEP Z line-shape fits

Calculation of initial state radiation (ISR) in the fitting program MIZA and in the Standard Model program BHM is improved within the analysis of the Z line-shape measurements at LEP. The uncertainty on the determination of the Z line-shape parameters coming from the precision of ISR calculations is 2×10⁻⁴ on σ₀ and 0.1 MeV on m_Z and Γ_Z.