Leptokurtic portfolio theory

The question of optimal portfolio is addressed. The conventional Markowitz portfolio optimisation is discussed and the shortcomings due to non-Gaussian security returns are outlined. A method is proposed to minimise the likelihood of extreme non-Gaussian drawdowns of the portfolio value. The theory is called Leptokurtic, because it minimises the effects from “fat tails” of returns. The leptokurtic portfolio theory provides an optimal portfolio for investors, who define their risk-aversion as unwillingness to experience sharp drawdowns in asset prices. Two types of risks in asset returns are defined: a fluctuation risk, that has Gaussian distribution, and a drawdown risk, that deals with distribution tails. These risks are quantitatively measured by defining the “noise kernel” — an ellipsoidal cloud of points in the space of asset returns. The size of the ellipse is controlled with the threshold parameter: the larger the threshold parameter, the larger return are accepted for investors as normal fluctuations. The return vectors falling into the kernel are used for calculation of fluctuation risk. Analogously, the data points falling outside the kernel are used for the calculation of drawdown risks. As a result the portfolio optimisation problem becomes three-dimensional: in addition to the return, there are two types of risks involved. Optimal portfolio for drawdown-averse investors is the portfolio minimising variance outside the noise kernel. The theory has been tested with MSCI North America, Europe and Pacific total return stock indices.     

Glassy effects in the swelling/collapse dynamics of homogeneous polymers

We investigate, using numerical simulations and analytical arguments, a simple one-dimensional model for the swelling or the collapse of a closed polymer chain of size N, representing the dynamical evolution of a polymer in a Θ-solvent that is rapidly changed into a good solvent (swelling) or a bad solvent (collapse). In the case of swelling, the density profile for intermediate times is parabolic and expands in space as t ^1/3, as predicted by a Flory-like continuum theory. The dynamics slows down after a time ∝N ² when the chain becomes stretched, and the polymer gets stuck in metastable “zig-zag” configurations, from which it escapes through thermal activation. The size of the polymer in the final stages is found to grow as . In the case of collapse, the chain very quickly (after a time of order unity) breaks up into clusters of monomers (“pearls”). The evolution of the chain then proceeds through a slow growth of the size of these metastable clusters, again evolving as the logarithm of time. We enumerate the total number of metastable states as a function of the extension of the chain, and deduce from this computation that the radius of the chain should decrease as 1/ln(ln t). We compute the total number of metastable states with a given value of the energy, and find that the complexity is non-zero for arbitrary low energies. We also obtain the distribution of cluster sizes, that we compare to simple “cut-in-two” coalescence models. Finally, we determine the aging properties of the dynamical structure. The subaging behaviour that we find is attributed to the tail of the distribution at small cluster sizes, corresponding to anomalously “fast” clusters (as compared to the average). We argue that this mechanism for subaging might hold in other slowly coarsening systems. Received 23 October 2000     

Coexistence of superconductivity and ferromagnetism in ferromagnet/superconductor proximity structures

The Nambu spinor Green's function approach is applied to calculating the density of states (DOS) and superconducting order parameter in normal-metal/insulator/ferromagnet/superconductor (NM/I/FM/SC) junctions. It is found that the s-wave superconductivity and ferromagnetism can coexist near the FM/SC interface, which is induced by proximity effect. On the SC side, the spin-dependent DOS appears both within and without the energy gap. On the FM side, the superconducting order parameter displays a damped oscillation and the DOS exhibits some superconducting behavior. The calculated result for the DOS in FM for “0 state” and “π state” can reproduce recent tunneling spectra in Al/Al₂O₃/PdNi/Nb tunnel junctions. Received 1st July 2002 Published online 19 November 2002     

Mixing and sorting of bidisperse two-dimensional bubbles

We have examined a number of candidates for the minimum-surface-energy arrangement of two-dimensional clusters composed of N bubbles of area 1 and N bubbles of area λ ( λ≤1). These include hexagonal bubbles sorted into two monodisperse honeycomb tilings, and various mixed periodic tilings with at most four bubbles per unit cell. We identify, as a function of λ, the minimal configuration for N → ∞. For finite N, the energy of the external (i.e., cluster-gas) boundary and that of the interface between honeycombs in “phase-separated” clusters have to be taken into account. We estimate these contributions and find the lowest total energy configuration for each pair (N,λ). As λ is varied, this alternates between a circular cluster of one of the mixed tilings, and “partial wetting” of the monodisperse honeycomb of bubble area 1 by the monodisperse honeycomb of bubble area λ. Received 1 August 2002 RID="a" ID="a"e-mail: paulo@ist.utl.pt     

Switching of banana liquid crystal mesophases under field

Taking advantage of the great number of bent-core or “banana" compounds synthesized and studied in the laboratory, we describe their behaviour under the application of an external electric field. If the field were a static one, we would work within the frame of an equilibrium phase diagram in a (field E, temperature T) space where some phases would be simple dielectrics and others ferroelectric ones with a macroscopic polarization, either spontaneous or induced by the field. In this paper, we deal with the basic responses of “banana” liquid crystals under the application of a low frequency (1 to 100 Hz) AC field. Firstly square-wave voltages allow us to locate the phase boundary between dielectric (at lower field) and ferroelectric phases (higher field) at a given temperature and field threshold. Then we apply slowly varying AC voltages with shapes like triangle or “triple-plateau” to check out the stability of the induced ferroelectric phase versus field removal. Three behaviours are encountered, the unstable one (short lifetime of the high-field ferroelectric phase) where the macroscopic polarization is destroyed and then rebuilt in the opposite direction during each half period and usually called “antiferroelectric”; the stable one (long lifetime) with a polarization that rotates at constant modulus which is labeled as “ferroelectric” and a new one where the macroscopic polarization is proportional to the applied fied, we named this behaviour as “superparaelectric”. Let us stress that these observations apply to the ferroelectric phases of the (E, T) phase diagram not to the zero field (0,T) phases observed in the usual phase characterization experiments except for an eventual spontaneous ferroelectric phase. Received 18 April 2002 and Received in final form 17 January 2003 Published online: 16 April 2003 RID="a" ID="a"e-mail: marcerou@crpp.u-bordeaux.fr RID="b" ID="b"URL: http://www.crpp-bordeaux.cnrs.fr     

Medium effects in the production and π0γ decay of ω-mesons in pA collisions in the GeV region

The ω resonance production and its π⁰γ decay in pA reactions close to threshold is considered within the Intranuclear Cascade (INC) model. The π⁰γ invariant-mass distribution shows two components which correspond to the ω decay “inside” and “outside” the nucleus, respectively. The “inside” component is distorted by medium effects, which introduce a mass shift as well as collisional broadening for the ω-meson and its decaying pion. The relative contribution of the “inside” component is analyzed in detail for different kinematical conditions and nuclear targets. It is demonstrated that a measurement of the correlation in azimuthal angle between the π⁰ and γ momenta allows to separate events related to the “inside”ω decay from different sources of background when uncorrelated π⁰'s and γ's are produced. Received: 2 April 2001 / Accepted: 5 June 2001     

Gravitational decoherence of atomic interferometers

We study the decoherence of atomic interferometers due to the scattering of stochastic gravitational waves. We evaluate the “direct” gravitational effect registered by the phase of the matter waves as well as the “indirect” effect registered by the light waves used as beam-splitters and mirrors for the matter waves. Considering as an example the space project HYPER, we show that both effects are negligible for the presently studied interferometers. Received 15 February 2002 / Received in final form 12 April 2002 Published online 19 July 2002     

Relationships between a microscopic parameter and the stochastic equations for interface's evolution of two growth models

The relationship between a microscopic parameter p, that is related to the probability of choosing a mechanism of deposition, and the stochastic equation for the interface's evolution is studied for two different models. It is found that in one model, that is similar to ballistic deposition, the corresponding stochastic equation can be represented by a Kardar-Parisi-Zhang (KPZ) equation where both λ and ν depend on p in the following way: ν(p) = νp and λ(p) = λp ^3/2. Furthermore, in the other studied model, which is similar to random deposition with relaxation, the stochastic equation can be represented by an Edwards-Wilkinson (EW) equation where ν depends on p according to ν(p) = νp ². It is expected that these results will help to find a framework for the development of stochastic equations starting from microscopic details of growth models. Received 26 August 2002 / Received in final form 20 November 2002 Published online 6 March 2003 RID="a" ID="a"e-mail: ealbano@inifta.unlp.edu.ar     

NMR study of the dissolution of laser-polarized xenon

NMR of laser-polarized xenon is used to probe the dissolution behaviour of the noble gas in different liquids. The dissolution and self-relaxation rates are extracted via a macroscopic model, and comparison of the decay rate of the xenon magnetization in deuterated and non-deuterated solvent pairs allows the determination of the pure dipole-dipole contribution to relaxation. A transient convective effect, tentatively assigned to the xenon concentration gradient, is observed and characterized by diffusion encoding MRI experiments. The flow of xenon penetrates inside the solvent near the walls of the NMR tube, the longitudinal images showing a “” shape, the transverse ones a “O” shape. This convection effect has implications for delivery conditions of laser-polarized xenon in continuous flow experiments and magnetic resonance imaging. Received 29 April 2002 / Received in final form 26 July 2002 Published online 22 October 2002 RID="a" ID="a"e-mail: hdesvaux@cea.fr RID="b" ID="b"URA CNRS/CEA 331     

Formation of adhesive contacts: Spreading versus dewetting

A soft bead (radius R _b) is pressed with a force F against a hydrophobic glass plate through a water drop (“wet” JKR set-up). We observe with a fast camera the growth of the contact zone bridging the rubber bead to the glass. Depending on the approach velocity V, two regimes are observed : i) at large V a liquid film is squeezed at the interface and dewets by nucleation and growth of a dry contact; ii) at low velocities, the bead remains nearly spherical. As it comes into contact, the rubber bead spreads on the glass with a characteristic time (in the range of one millisecond) τ ≈ ηR _b ²/F, where η is the liquid viscosity. The laws of spreading are interpreted by a balance of global mechanical and viscous forces. Received: 22 December 2002 / Accepted: 24 March 2003 / Published online: 29 April 2003 RID="a" ID="a"e-mail: brochard@curie.fr     

Probability distribution of inherent states in models of granular media and glasses

The present paper develops a Statistical Mechanics approach to the inherent states of glassy systems and granular materials by following the original ideas proposed by Edwards for granular media. We consider three lattice models (a diluted spin glass, a system of hard spheres under gravity and a hard-spheres binary mixture under gravity) introduced to describe glassy and granular systems. They are evolved using a “tap dynamics” analogous to that of experiments on granular media. We show that the asymptotic states reached in such a dynamics are not dependent on the particular sample history and are characterized by a few thermodynamical parameters. We assume that under stationarity these systems are distributed in their inherent states satisfying the principle of maximum entropy. This leads to a generalized Gibbs distribution characterized by new “thermodynamical” parameters, called “configurational temperatures” (related to Edwards compactivity for granular materials). Finally, we show by Monte Carlo calculations that the average of macroscopic quantities over the tap dynamics and over such distribution indeed coincide. In particular, in the diluted spin glass and in the system of hard spheres under gravity, the asymptotic states reached by the system are found to be described by a single “configurational temperature”. Whereas in the hard-spheres binary mixture under gravity the asymptotic states reached by the system are found to be described by two thermodynamic parameters, coinciding with the two configurational temperatures which characterize the distribution among the inherent states when the principle of maximum entropy is satisfied under the constraint that the energies of the two species are independently fixed. Received 19 March 2002 and Received in final form 14 June 2002     

Thermodynamics of rotating self-gravitating systems

We investigate the statistical equilibrium properties of a system of classical particles interacting via Newtonian gravity, enclosed in a three-dimensional spherical volume. Within a mean-field approximation, we derive an equation for the density profiles maximizing the microcanonical entropy and solve it numerically. At low angular momenta, i.e. for a slowly rotating system, the well-known gravitational collapse “transition” is recovered. At higher angular momenta, instead, rotational symmetry can spontaneously break down giving rise to more complex equilibrium configurations, such as double-clusters (“double stars”). We analyze the thermodynamics of the system and the stability of the different equilibrium configurations against rotational symmetry breaking, and provide the global phase diagram. Received 8 July 2002 Published online 15 October 2002 RID="a" ID="a"e-mail: demartino@hmi.de     

Vertical water distribution during the drying of polymer films cast from aqueous emulsions

We present a systematic study of the vertical uniformity of water distribution during the drying of waterborne colloidal films, testing the predictions of a Peclet number Pe defined for this system. Pe indicates the relative contributions of water evaporation and Brownian diffusion in determining the concentration profile in the vertical direction (i.e. normal to the substrate). When Pe < 1, the water concentration in films cast from an alkyd emulsion is found via magnetic-resonance profiling to be uniform with depth, which is consistent with expectations. When Pe > 1, a gradient in the water concentration develops, with less water near the interface with air. The water profiles reveal that the alkyd particles do not coalesce immediately upon contact in close-packing. At later times, a concentrated surface layer develops, but particles are not coalesced in this layer to form a continuous “skin”, but rather the structure is likely to be that of a biliquid foam. Received 20 March 2002 and Received in final form 12 June 2002     

Fast intramolecular dynamics of triphenyl phosphite investigated by <Emphasis Type="Bold">2</Emphasis>H NMR

The first analysis of rapid intramolecular motions of triphenyl phosphite by ²H NMR is presented. The fragile slowing down of the primary relaxation is followed by a solid-echo method. The occurrence of a fast reorientation of the phenyl side groups is demonstrated in the supercooled liquid state, identified as a two-fold flip on the basis of simple lineshape simulations. Coexistence of both static and motionally averaged components in “two phase” spectra indicate a broad distribution of correlation times for this relaxation. This dynamical behavior is shown to persist in the glacial phase. Received 28 May 2002 / Received in final form 1st October 2002 Published online 31 December 2002     

Selective laser ionization of N≥82 indium isotopes: The new r-process nuclide 135In

Production yields and β-decay half-lives (T _1/2) of very neutron-rich indium isotopes were determined at CERN/ISOLDE using isobaric selectivity of a resonance-ionization laser ion-source. Beta-delayed neutron (βdn) multiscaling measurements have yielded improved T _1/2 for 206(6) ms ¹³²In, 165(3) ms ¹³³In and 141(5) ms ¹³⁴In. With 92(10) ms ¹³⁵In, a new r-process nuclide has been identified which acts as an important “waiting point” in the In isotopic chain for neutron densities in the range n _n≃ 10²⁴-10²⁶ n/cm³, where the r-matter flow has already passed the A≃ 130 abundance peak region. Received: 17 January 2002 / Accepted: 30 January 2002     

Status and prospects of synthesizing superheavy elements

The nuclear shell model predicts that the next doubly magic shell-closure beyond ²⁰⁸Pb is at a proton number between Z = 114 and 126 and at a neutron number N = 184. The outstanding aim of experimental investigations is the exploration of this region of spherical “Superheavy Elements”. This article describes the experiments that were performed at the GSI SHIP. They resulted in an unambiguous identification of elements 107 to 112. They were negative so far in searching for elements 113, 116 and 118 at SHIP; however, positive results were reported from experiments in Dubna on elements 114 and 116 and from experiments in Berkeley on element 118. The measured decay data are compared with theoretical predictions. Some aspects concerning the reaction mechanism and the use of radioactive beams are also presented. Received: 21 March 2002 / Accepted: 16 May 2002 / Published online: 31 October 2002 RID="a" ID="a"e-mail: S.Hofmann@gsi.de     

Existence and Uniqueness of Stationary Solutions for 3D Navier–Stokes System with Small Random Forcing via Stochastic Cascades

We consider the 3D Navier–Stokes system in the Fourier space with regular forcing given by a stationary in time stochastic process satisfying a smallness condition. We explicitly construct a stationary solution of the system and prove a uniqueness theorem for this solution in the class of functions with Fourier transform majorized by a certain function h. Moreover we prove the following “one force—one solution” principle: the unique stationary solution at time t is presented as a functional of the realization of the forcing in the past up to t. Our explicit construction of the solution is based upon the stochastic cascade representation.     

Quantum chemical modelling of “green” luminescence in ABO perovskites

The origin of the intrinsic excitonic (“green”) luminescence in ABO₃ perovskites remains a hot topic over the last quarter of a century. We suggest as a theoretical interpretation for the “green” luminescence in these crystals, the recombination of electron and hole polarons forming a charge transfer vibronic exciton. In order to check quantitatively the proposed model, we performed quantum chemical calculations using the Intermediate Neglect of Differential Overlap (INDO) method combined with the periodic defect model. The luminescence energies calculated for four perovskite crystals are found to be in good agreement with experimental data. Received 19 December 2001 and Received in final form 14 March 2002 Published online 25 June 2002     

Anomalous dynamical light scattering in soft glassy gels

We compute the dynamical structure factor S(q,τ) of an elastic medium where force dipoles appear at random in space and in time, due to “micro-collapses” of the structure. Various regimes are found, depending on the wave vector q and the collapse time θ. In an early time regime, the logarithm of the structure factor behaves as (qτ)^3/2, as predicted in (L. Cipelletti et al., Phys. Rev Lett. 84, 2275 (2000)) using heuristic arguments. However, in an intermediate-time regime we rather obtain a (qτ)^5/4 behaviour. Finally, the asymptotic long-time regime is found to behave as q ^3/2τ. We also give a plausible scenario for aging, in terms of a strain-dependent energy barrier for micro-collapses. The relaxation time is found to grow with the age t_w, quasi-exponentially at first, and then as t _w ^4/5 with logarithmic corrections. Received 15 April 2002     

Synthesis of superheavy nuclei in the reactions of 244Pu and 248Cm with 48Ca

This paper presents results of the experiments aimed at producing long-lived superheavy elements located near the spherical-shell closures with Z ⩾ 114 and N ⩾ 172 in the ²⁴⁴Pu + ⁴⁸Ca and ²⁴⁸Cm + ⁴⁸Ca reactions. The large measured α-particle energies of the newly observed nuclei, together with the long decay times and spontaneous fission terminating the chains, offer evidence of the decay of nuclei with high atomic numbers. The decay properties of the synthesized nuclei are consistent with the consecutive α-decays originating from the parent nuclides ^{288, 289}114 and ²⁹²116, produced in the 3n and 4n evaporation channels with cross-sections of about a picobarn. The present observations can be considered as experimental evidence of the existence of the “island of stability” of superheavy elements. Received: 21 March 2002 / Accepted: 16 May 2002 / Published online: 31 October 2002 RID="a" ID="a"e-mail: utyonkov@sungns.jinr.ru