Nonuniform hyperbolicity for C1-generic diffeomorphisms

We study the ergodic theory of non-conservative C ¹-generic diffeomorphisms. First, we show that homoclinic classes of arbitrary diffeomorphisms exhibit ergodic measures whose supports coincide with the homoclinic class. Second, we show that generic (for the weak topology) ergodic measures of C ¹-generic diffeomorphisms are non-uniformly hyperbolic: they exhibit no zero Lyapunov exponents. Third, we extend a theorem by Sigmund on hyperbolic basic sets: every isolated transitive set Λ of any C ¹-generic diffeomorphism f exhibits many ergodic hyperbolic measures whose supports coincide with the whole set Λ.     

Portfolio selection with probabilistic utility

Inspired by statistical physics, we present a probabilistic approach to portfolio selection. Instead of seeking the global extremum of some chosen utility function, we reinterpret the latter as a probability distribution of ‘optimal’ portfolios, and select the portfolio that is given by the mean value with respect to that distribution. Compared to the standard maximization of expected utility, this approach has several attractive features. First, it significantly reduces the excessive sensitivity to external parameters that often plague optimization procedures. Second, it mitigates the commonly observed concentration on too few assets; and third, it provides a natural and consistent way to account for the incompleteness of information and the aversion to uncertainty. Supportive empirical evidence is derived by using artificial data to simulate finite-sample behavior and out-of-sample performance.     

New insights on testing the efficiency of methods of pricing and hedging American options

With reference to the evaluation of the speed–precision efficiency of pricing and hedging of American Put options, we present and discuss numerical results obtained on the basis of four different large enough random samples according to the relevance of the American quality (relative importance of the early exercise opportunity) of the options. Here we provide a comparison of the best methods (lattice based numerical methods and an approximation of the American Premium analytical procedure) known in literature along with some key methodological remarks.     

Synthesis of Some Functionalized Peptomers via Ugi Four-Component Reaction

This article describes the synthesis of new peptomers through a simple and efficient route using a one-pot Ugi four-component reaction. The synthesis started from either carboxylic acids or protected amino acids, primary amines, aldehydes, and isocyanides in anhydrous methanol and proceeded under stirring at room temperature. The reaction produced several functionalized peptomers in good yields (67–80%). These compounds are versatile multifunctional intermediates that can be further unprotected or functionalized to generate new molecules with numerous applications in the field of biomedicine.