Robust optimization and portfolio selection: The cost of robustness

Robust optimization is a tractable alternative to stochastic programming particularly suited for problems in which parameter values are unknown, variable and their distributions are uncertain. We evaluate the cost of robustness for the robust counterpart to the maximum return portfolio optimization problem. The uncertainty of asset returns is modelled by polyhedral uncertainty sets as opposed to the earlier proposed ellipsoidal sets. We derive the robust model from a min-regret perspective and examine the properties of robust models with respect to portfolio composition. We investigate the effect of different definitions of the bounds on the uncertainty sets and show that robust models yield well diversified portfolios, in terms of the number of assets and asset weights.     

Real-time enhancement of defects in periodic patterns by use of a bacteriorhodopsin film

We present a real-time optical system to enhance defects in periodic patterns by use of nonlinear spatial filtering by real-time holography. A straight and equispaced grating written in a bacteriorhodopsin film is read by the Fourier transform of a periodic pattern to be inspected. Because the diffraction efficiency of the grating depends on the intensity of the reading beam, only the defect component can be selectively diffracted and imaged. This system is applicable even to moving objects. We present experimental results that show enhancement of defects as small as 10 microm in a photomask with a pixel pitch of 150 microm used for a liquid-crystal display.     

Enrichment of Lithium,Potassium, Copper,and Uranium Isotopes by Electromigration in a Cation Exchange Membrane

The ion exchange membrane can be used as an effective medium of electromigration for the separation of isotopes by the following reasons.     

Changes in diffusion tensor imaging (DTI) eigenvalues of skeletal muscle due to hybrid exercise training

Several studies have proposed the cell membrane as the main water diffusion restricting factor in the skeletal muscle cell. We sought to establish whether a particular form of exercise training (which is likely to affect only intracellular components) could affect water diffusion. The purpose of this study is to characterise prospectively the changes in diffusion tensor imaging (DTI) eigenvalues of thigh muscle resulting from hybrid training (HYBT) in patients with non-alcoholic fatty liver disease (NAFLD). Twenty-one NAFLD patients underwent HYBT for 30 minutes per day, twice a week for 6 months. Patients were scanned using DTI of the thigh pre- and post-HYBT. Fractional anisotropy (FA), apparent diffusion coefficient (ADC), the three eigenvalues lambda 1 (λ1), λ2, λ3, and the maximal cross sectional area (CSA) were measured in bilateral thigh muscles: knee flexors (biceps femoris (BF), semitendinosus (ST), semimembranous (SM)) and knee extensors (medial vastus (MV), intermediate vastus (IV), lateral vastus (LV), and rectus femoris (RF)), and compared pre- and post-HYBT by paired t-test. Muscle strength of extensors (P < 0.01), but not flexors, increased significantly post-HYBT. For FA, ADC and eigenvalues, the overall picture was of increase. Some (P < 0.05 in λ2 and P < 0.01 in λ1) eigenvalues of flexors and all (λ1-λ3) eigenvalues of extensors increased significantly (P < 0.01) post-HYBT. HYBT increased all 3 eigenvalues. We suggest this might be caused by enlargement of muscle intracellular space.     

In-situ X-ray diffraction study on β-CrOOH at high pressure and high-temperature

ABSTRACT

High pressure hydrous phases with distorted rutile-type structure have attracted much interest as potential water reservoirs in the Earth’s mantle. An in-situ X-ray diffraction study of β-CrOOH was performed at high pressures of up to 6.2?GPa and high-temperatures of up to 700?K in order to clarify the temperature effect on compression behaviors of β-CrOOH. The P-V-T data fitted to a Birch–Murnaghan equation of state yielded the following results: isothermal bulk modulus K_T0?=?191(4)?GPa, temperature derivative (?K_T/?T)_P?=??0.04(2)?GPa?K^?1, and volumetric thermal expansion coefficient α?=?3.3(2)?×?10^?5?K^?1. In this study, at 300?K, the a-axis became less compressible at pressures above 1–2?GPa. We found that the pressure where the slopes of a/b and a/c ratios turned positive increased with temperature. This is the first experimental study indicating the temperature dependence of the change in the axial compressibility in distorted rutile-type M³⁺OOH.     

Can a Circulating Light Beam Produce a Time Machine

In a recent paper, Mallett found a solution of the Einstein equations in which closed timelike curves (CTC’s) are present in the empty space outside an infinitely long cylinder of light moving in circular paths around an axis. Here we show that, for physically realistic energy densities, the CTC’s occur at distances from the axis greater than the radius of the visible universe by an immense factor. We then show that Mallett’s solution has a curvature singularity on the axis, even in the case where the intensity of the light vanishes. Thus it is not the solution one would get by starting with Minkowski space and establishing a cylinder of light.     

Nanosized metal deposits on titanium dioxide for augmenting gas-phase toluene photooxidation

The build-up of intermediate species on the surface of TiO₂ during gas-phase toluene (C₇H₈) photodegradation has been observed to deactivate the photocatalyst. Nanosized metallic deposits on the TiO₂ surface may enhance the photocatalytic process and improve photocatalyst performance. In this study, noble (Ag, Au) and platinum group (Pt, Pd, Rh) metals, at a nominal loading of 0.5 at.%, were deposited onto Degussa P25 TiO₂ to enhance photocatalyst performance and inhibit deactivation. Pd, Rh and Au deposits delayed photocatalyst deactivation by a factor of 2, while Pt deposits delayed photocatalyst deactivation by a factor of 20, when compared with neat TiO₂. Ag deposits did not improve photocatalyst activity. Metal deposit performance was related to the work function of each metal, however, the Pt finding suggested that these effects are not governed solely by this aspect, but factors such as deposit characteristics and/or thermal catalytic properties of the metals may be influential.     

Effect of particle size and shape on nonresonant random laser action of dye-doped polymer random media

We present an experimental study of the light emission from dye-doped polymer random media dispersed with TiO₂ particles of various sizes, shapes, and structures. Random lasing with nonresonant feedback, similar to that for spherically shaped particles that are used for conventional random lasers, is observed for almost all types of particles and aggregates. The efficiency of random lasing for each medium is analyzed using the relationship between the emission spectrum and the transport mean free path (TMFP), which is measured by enhanced backscattering experiments. Results show that the peak emission intensity depends strongly on the particle shape and structure, whereas the spectral linewidth is governed by the TMFP.