Continuous-time portfolio selection with liability: Mean–variance model and stochastic LQ approach

In this paper we formulate a continuous-time mean–variance portfolio selection model with multiple risky assets and one liability in an incomplete market. The risky assets’ prices are governed by geometric Brownian motions while the liability evolves according to a Brownian motion with drift. The correlations between the risky assets and the liability are considered. The objective is to maximize the expected terminal wealth while minimizing the variance of the terminal wealth. We derive explicitly the optimal dynamic strategy and the mean–variance efficient frontier in closed forms by using the general stochastic linear-quadratic (LQ) control technique. Several special cases are discussed and a numerical example is also given.     

最优多期比例再保险策略的必要条件

研究最小化保险公司破产概率的最优多期比例再保险策略,给出了保险公司最小破产概率的一个递归表达式,证明了可用动态规划方法求解此类问题.在此基础上,我们推导出最优多期比例再保险策略的几个必要条件.     

Effect of defect configuration on the localization of phonons in two-dimensional phononic crystals

Effects of defect location on the defect frequency and the localization of phonons are investigated in two novel kinds of model, created by moving the location of the native cylinder and inserting an ad-cylinder in the central cellular respectively. The results show that the defect frequency in Model 1 is only related to the distance, while in Model 2, is related not only to the distance, but also to the moving direction. From the pressure distribution, obvious localization phenomenon is found. The position and shape of the localized energy are varied with the position of the defect.     

Direct Observation of Oxygen Vacancy Self‐Healing on TiO2 Photocatalysts for Solar Water Splitting

Oxygen vacancy (Vo) on transition metal oxides plays a crucial role in determining their chemical/physical properties. Conversely, the capability to directly detect the changing process of oxygen vacancies (Vos) will be important to realize their full potentials in the related fields. Herein, with a novel synchronous illumination X‐ray photoelectron spectroscopy (SI‐XPS) technique, we found that the surface Vos (surf‐Vos) exhibit a strong selectivity for binding with the water molecules, and sequentially capture an oxygen atom to achieve the anisotropic self‐healing of surface lattice oxygen. After this self‐healing process, the survived subsurface Vos (sub‐Vos) promote the charge excitation from Ti to O atoms due to the enriched electron located on low‐coordinated Ti sites. However, the excessive sub‐Vos would block the charge separation and transfer to TiO₂ surfaces resulted from the destroyed atomic structures. These findings open a new pathway to explore the dynamic changes of Vos and their roles on catalytic properties, not only in metal oxides, but in crystalline materials more generally.     

收益序列相关的动态资产-负债管理

以条件期望体现风险资产收益的相关性,建立了资产收益序列相关时资产-负债管理的动态均值-方差模型.采用Li和Ng(2000)的嵌入法,构造了一个具有二次效用函数的辅助问题,利用动态规划方法及原问题与辅助问题最优策略之间的关系,得到了原问题的最优投资组合策略和有效边界.     

Multi-period portfolio optimization for asset–liability management with bankrupt control

In this paper, we investigate a multi-period portfolio optimization problem for asset–liability management of an investor who intends to control the probability of bankruptcy before reaching the end of an investment horizon. We formulate the problem as a generalized mean–variance model that incorporates bankrupt control over intermediate periods. Based on the Lagrangian multiplier method, the embedding technique, the dynamic programming approach and the Lagrangian duality theory, we propose a method to solve the model. A numerical example is given to demonstrate our method and show the impact of bankrupt control and market parameters on the optimal portfolio strategy.     

Tunable luminescent properties by adjusting the Sr/Ba ratio in Sr1.97−xBaxMgSi2O7:Eu0.01, Dy0.02 phosphors

The long afterglow phosphors Sr_1.97−xBa_xMgSi₂O₇:Eu²⁺_0.01, Dy³⁺_0.02 (x=0, 0.4, 0.8, 1.2, 1.6 and 1.97) were synthesized via high temperature solid-state reaction. The phase identification reveals that the crystal plane spacing becomes greater with the decrease in the Sr/Ba ratio. Phase transition occurs when x=1.97. A nonlinear relationship between the emission peak and the crystal plane spacing is obtained with the decrease of the Sr/Ba ratio. This ascribes to the splitting of the 5d level of the Eu²⁺ and the change of the crystal field strength. The duration of the afterglow becomes shorter with the decrease of the Sr/Ba ratio. It may ascribe to deeper trap depth, lower trap concentration and the embarrassment of the transfer of carriers.     

连续灰度铁电液晶器件制备

采用N*-Sc*序列相铁电液晶,通过控制在N*-Sc*相变时施加电压的频率和幅值,制备了不同分子层排列结构的器件,获得了“V”字形和半“V”字形的电光特性曲线,从而可以实现连续灰度.根据铁电液晶自发偶极矩与电场力矩的相互作用原理,分析了器件形成不同分子层排列结构及呈现“V”字形和半“V”字形电光特性的原因.