Risk analysis in investment appraisal based on the Monte Carlo simulation technique

This work has been prepared for the purpose of presenting the methodology and uses of the Monte Carlo simulation technique as applied in the evaluation of investment projects to analyze and assess risk. In the deterministic appraisal the basic decision rule for a project is simply to accept or reject the project depending on whether its net present value (NPV) is positive or negative, respectively. Similarly, when choosing among alternative (mutually exclusive) projects, the decision rule is to select the one with the highest NPV, provided that it is positive. Recognizing the fact that the key project variables (as: volume of sales, sales price, costs) are not certain, an appraisal report is usually supplemented to include sensitivity and scenario analysis tests. Both tests are static and rather arbitrary in their nature. During the simulation process, random scenarios are built up using input values for the project's key uncertain variables, which are selected from appropriate probability distributions. The results are collected and analyzed statistically so as to arrive at a probability distribution of the potential outcomes of the project and to estimate various measures of project risk. Received 25 September 2000     

A cluster Monte Carlo algorithm for 2-dimensional spin glasses

A new Monte Carlo algorithm for 2-dimensional spin glasses is presented. The use of clusters makes possible global updates and leads to a gain in speed of several orders of magnitude. As an example, we study the 2-dimensional ±J Edwards-Anderson model. The new algorithm allows us to equilibrate systems of size 100² down to temperature T = 0.1. Our main result is that the correlation length diverges as an exponential ( ξ∼e ^2βJ) and not as a power law as T↦T _c = 0. Received 10 January 2001 and Received in final form 29 May 2001     

Extension of the spectroscopic Monte Carlo method to realistic effective interactions

We propose an extension of the spectroscopic Monte Carlo method to realistic effective interactions. The scheme is applied to the recently introduced GXPF1 interaction for fp nuclei for the ground state of ⁶⁰Fe, ⁵⁶Ni, ⁶⁴Ni and ⁶⁰Zn. The method hinges on the use of Hartree-Fock-Bogoliubov wave functions (properly projected before variation) and on a reformulation of the effective interaction so that it is a sum of negative squares of Hermitian one-quasi-particle operators, so the application of the Hubbard-Stratonovich transformation to the elementary propagator exp[- ] gives a functional integral over a Hermitian propagator. Limitations and difficulties encountered in the calculation are discussed.     

Quantum Monte Carlo calculations of light nuclei

Quantum Monte Carlo calculations using realistic two- and three-nucleon interactions are presented for nuclei with up to ten nucleons. Our Green's function Monte Carlo calculations are accurate to ∼1-2% for the binding energy. We have constructed Hamiltonians using the Argonne v₁₈ NN interaction and reasonable three-nucleon interactions that reproduce the energies of these nuclear states with only ∼500 keV rms error. Other predictions, such as form factors, decay rates, and spectroscopic factors also agree well with data. Some of these results are presented to show that ab initio calculations of light nuclei are now well in hand. Received: 1 May 2001 / Accepted: 4 December 2001     

Optimized Monte Carlo analysis for generalized ensembles

We present a new, maximum-likelihood based method to combine data from a multiple number of Monte Carlo simulations performed within any type of ensemble. The method offers an efficient iterative scheme to obtain the density of states of a wide range of energies as well as of other macroscopic variables. It should in particular be useful for the study of systems with a rough energy landscape. Received 4 June 2002 Published online 14 October 2002 RID="a" ID="a"e-mail: borg@alf.nbi.dk     

Molecular structure calculations via path integral simulations: Estimating finite-discretization errors

Path integral simulations are now recognized as a useful tool to determine theoretically the structure of complex molecules at finite temperatures including quantum effects. In addition to statistical errors due to incomplete sampling, also systematic errors are inherent in this procedure because of the finite discretization of the path integral. Here, useful “back of the envelope” estimates to assess the systematic errors of bond-length distribution functions are introduced. These analytical estimates are tested for two small molecules, HD⁺ and H₃ ⁺, where quasi-exact benchmark data are available. The accuracy of the formulae is shown to be sufficient in order to allow for a reliable assessment of the quality of the discretization in a given simulation. The estimates will also be applicable in condensed phase path integral simulations, and the basic idea can be generalized to other observables than those presented. Received 13 September 1999 and Received in final form 18 November 1999     

Bayesian reconstruction of approximately periodic potentials for quantum systems at finite temperature

The paper discusses the reconstruction of potentials for quantum systems at finite temperatures from observational data. A nonparametric approach is developed, based on the framework of Bayesian statistics, to solve such inverse problems. Besides the specific model of quantum statistics giving the probability of observational data, a Bayesian approach is essentially based on a priori information available for the potential. Different possibilities to implement a priori information are discussed in detail, including hyperparameters, hyperfields, and non-Gaussian auxiliary fields. Special emphasis is put on the reconstruction of potentials with approximate periodicity. Such potentials might for example correspond to periodic surfaces modified by point defects and observed by atomic force microscopy. The feasibility of the approach is demonstrated for a numerical model. Received 29 May 2000 and Received in final form 16 August 2000     

Distribution of local entropy in the Hilbert space of bi-partite quantum systems: origin of Jaynes' principle

For a closed bi-partite quantum system partitioned into system proper and environment we interpret the microcanonical and the canonical condition as constraints for the interaction between those two subsystems. In both cases the possible pure-state trajectories are confined to certain regions in Hilbert space. We show that in a properly defined thermodynamical limit almost all states within those accessible regions represent states of some maximum local entropy. For the microcanonical condition this dominant state still depends on the initial state; for the canonical condition it coincides with that defined by Jaynes' principle. It is these states which thermodynamical systems should generically evolve into. Received 13 June 2002 / Received in final form 14 November 2002 Published online 4 February 2003 RID="a" ID="a"e-mail: jochen@theol.physik.uni-stuttgart.de     

Atomic coherent states studied by virtue of the EPR entangled state and their Wigner functions

Based on the newly constructed Einstein, Podolsky and Rosen (EPR) entangled state representation we introduce macroscopic classical functions associated with atomic coherent state τ with angular momentum value j. These functions are proportional to the ordinary one-variable Hermite polynomials of order 2j. The corresponding Wigner quasiprobability function for τ in phase space is also derived which turns out to be a two-variable Hermite polynomial H _{2j, 2j}. In so doing, a new classical-quantum correspondence scheme for angular momentum system is established. Received 7 August 2002 / Received in final form 14 December 2002 Published online 24 April 2003 RID="a" ID="a"Work supported by the National Natural Science Foundation of China under grant 10175057. RID="b" ID="b"e-mail: fhym@sjtu.edu.en     

Ursell operators in statistical physics of dense systems: the role of high order operators and of exchange cycles

The purpose of this article is to discuss cluster expansions in dense quantum systems, as well as their interconnection with exchange cycles. We show in general how the Ursell operators of order l≥ 3 contribute to an exponential which corresponds to a mean-field energy involving the second operator U₂, instead of the potential itself as usual - in other words, the mean-field correction is expressed in terms of a modification of a local Boltzmann equilibrium. In a first part, we consider classical statistical mechanics and recall the relation between the reducible part of the classical cluster integrals and the mean-field; we introduce an alternative method to obtain the linear density contribution to the mean-field, which is based on the notion of tree-diagrams and provides a preview of the subsequent quantum calculations. We then proceed to study quantum particles with Boltzmann statistics (distinguishable particles) and show that each Ursell operator U_n with n≥ 3 contains a “tree-reducible part”, which groups naturally with U₂ through a linear chain of binary interactions; this part contributes to the associated mean-field experienced by particles in the fluid. The irreducible part, on the other hand, corresponds to the effects associated with three (or more) particles interacting all together at the same time. We then show that the same algebra holds in the case of Fermi or Bose particles, and discuss physically the role of the exchange cycles, combined with interactions. Bose condensed systems are not considered at this stage. The similarities and differences between Boltzmann and quantum statistics are illustrated by this approach, in contrast with field theoretical or Green's functions methods, which do not allow a separate study of the role of quantum statistics and dynamics. Received 18 October 2001     

Quadrupole collectivity of neutron-rich neon isotopes

The Angular Momentum Projected Generator Coordinate Method, with the quadrupole moment as collective coordinate and the Gogny force (D1S) as the effective interaction, is used to describe the properties of the ground state and low-lying excited states of the even-even neon isotopes ^20-34Ne, that is, from the stability valley up to the drip line. It is found that the ground state of the N = 20 nucleus ³⁰Ne is deformed but to a lesser extent than the N = 20 isotope of the magnesium. In the calculations, the isotope ³²Ne is at the drip line in good agreement with other theoretical predictions. On the other hand, rather good agreement with experimental data for many observables is obtained. Received: 19 Novemeber 2002 / Accepted: 24 January 2003 / Published online: 8 April 2003     

Risk analysis in investment appraisal based on the Monte Carlo simulation technique by A. Hacura, M. Jadamus-Hacura and A. Kocot

Comment on Eur. Phys. J. B 20, 551 (2001) Since Hertz major work on investment appraisal using the Monte Carlo Simulation technique, the so called “Risk Analysis” has become a standard tool for supporting investment decisions [1,2]. A main problem in investment appraisal is to consider and specify the risk of investment projects in an appropriate way, for enabling consistent project evaluation. In calculating a risky project's net present value (NPV) the major difficulty is to quantify the project's risk for quantifying an appropriate risk adjusted discount rate (RADR). Theoretically not founded risk adjusted discount rates face a lot of critique. Furthermore it is discussed that the incorporation of a constant risk factor into the discount rate makes a certain assumption about the resolution of uncertainty over time [3] and finally that a single net present value could not in general reflect risk properly. Especially in consequence of the last point the proponents of simulation argue that a whole distribution of net present values shows a project's risk better than a single number. In the special issue “Econophysics” of this journal Hacura et al. tried to describe the methodology and use of Monte Carlo Simulation in investment appraisal [4]. The purpose of this comment is to point out three fundamental flaws in that article. Received 29 April 2002 Published online 19 December 2002 RID="a" ID="a"e-mail: robert.obermaier@wiwi.uni-regensburg.de     

Localization of a macroscopic object induced by the factorization of internal adiabatic motion

To account for the phenomenon of quantum decoherence of a macroscopic object, such as the localization and disappearance of interference, we invoke the adiabatic quantum entanglement between its collective states (such as that of the center-of-mass (CM)) and its inner states based on our recent investigation. Under the adiabatic limit where motion of the CM does not excite the transition of inner states, it is shown that the wave function of the macroscopic object can be written as an entangled state with correlation between adiabatic inner states and quasi-classical motion configurations of the CM. Since the adiabatic inner states are factorized with respect to each component of the macroscopic object, this adiabatic separation can induce the quantum decoherence. This observation thus provides us with a possible solution to the Schr?dinger cat paradox. Received 24 October 2000 and Received in final form 8 March 2001     

Heisenberg picture operators in the stochastic wave function approach to open quantum systems

A fast simulation algorithm for the calculation of multitime correlation functions of open quantum systems is presented. It is demonstrated that any stochastic process which “unravels” the quantum Master equation can be used for the calculation of matrix elements of reduced Heisenberg picture operators, and thus for the calculation of multitime correlation functions, by extending the stochastic process to a doubled Hilbert space. The numerical performance of the stochastic simulation algorithm is investigated by means of a standard example. Received: 30 May 1997 / Revised: 4 November 1997 / Accepted: 7 November 1997     

Zeroth and second laws of thermodynamics simultaneously questioned in the quantum microworld

A new and rather trivial model is suggested with mechanism that implies simultaneous violation of the zeroth and the second laws of thermodynamics. Mathematically rigorous quantum theory reduces to a trivial application of the Golden rule formula. It yields exciton on-energy-shell diffusion caused by bath-nonassisted excitation hopping between tails of different exciton site levels ε₁ < ε₂ broadened by bath-assisted finite life-time effects. The elastic character of the hopping implies 1 ↔ 2-symmetric transfer rate W. Thus the net diffusion exciton flow W(P ₁ - P ₂) and also, as argued, the net energy flow are possible due to different near-to-equilibrium exciton populations P ₁ > P ₂. As the sites are provided with two different baths, the population imbalance and the flows survive even for slightly different local bath temperatures T ₁ < T ₂ < T ₁ε₂/ε₁. Thus spontaneous exciton and also energy flows against temperature step become possible, in contradiction with the Clausius form of the second law. Violations of both the laws disappear in the high-temperature, i.e. classical limit Received 16 May 2001 and Received in final form 20 September 2001     

Nuclear mean fields through self-consistent semiclassical calculations

Semiclassical expansions derived in the framework of the Extended Thomas-Fermi approach for the kinetic energy density τ( r) and the spin-orbit density J( r) as functions of the local density ρ( r) are used to determine the central nuclear potentials V _n( r) and V _p( r) of the neutron and proton distribution for effective interactions of the Skyrme type. We demonstrate that the convergence of the resulting semiclassical expansions for these potentials is fast and that they reproduce quite accurately the corresponding Hartree-Fock average fields. Received: 12 February 2000 / Accepted: 14 March 2002     

The large probability of the 0+ ground states

We investigate the dominance of 0⁺ states as the lowest states in shell model calculations with random two-body interactions in a single j-shell. We have found an explanation of the large probability of the 0⁺ ground state. Received: 1 May 2001 / Accepted: 4 December 2001     

Effect of eugenics on the evolution of populations

We discuss a model of population dynamics under selection pressure from a changing environment. The population, subject to mutations, is composed of diploidal organisms reproducing quasi-sexually (two parents, recombination but no sexes) and with overlapping generations. Two cases are considered - in one we do not influence the dynamics of the population, while in the other we perform eugenics, i.e. we eliminate all individuals which have phenotypes not conforming to the optimal one at the place where the change has been made. We show that eugenics reduces greatly genetic diversity of the population, increases the percentage of homozygotes and therefore leads to a population badly prepared to cope with the next changes of the environment. The present paper is an extension of our previous work (Ref. [9]). Received 16 May 2000     

Bose-Einstein transition in a dilute interacting gas

We study the effects of repulsive interactions on the critical density for the Bose-Einstein transition in a homogeneous dilute gas of bosons. First, we point out that the simple mean field approximation produces no change in the critical density, or critical temperature, and discuss the inadequacies of various contradictory results in the literature. Then, both within the frameworks of Ursell operators and of Green's functions, we derive self-consistent equations that include correlations in the system and predict the change of the critical density. We argue that the dominant contribution to this change can be obtained within classical field theory and show that the lowest order correction introduced by interactions is linear in the scattering length, a, with a positive coefficient. Finally, we calculate this coefficient within various approximations, and compare with various recent numerical estimates. Received 15 July 2001