Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases

In a financial market with one riskless asset and n risky assets whose prices are lognormal, we solve in a closed form the problem of a pension fund maximizing the expected CRRA utility of its surplus till the (stochastic) death time of a representative agent. We consider a unique asset allocation problem for both accumulation and decumulation phases. The optimal investment in the risky assets must decrease during the first phase and increase during the second one. We accordingly suggest it is not optimal to manage the two phases separately, and outsourcing of allocation decisions should be avoided in both phases. JEL: G23, G11 MSC 2000: 62P05, 91B28, 91B30, 91B70, 93E20     

Stein domains and branched shadows of 4-manifolds

We provide sufficient conditions assuring that a suitably decorated 2-polyhedron can be thickened to a compact four-dimensional Stein domain. We also study a class of flat polyhedra in 4-manifolds and find conditions assuring that they admit Stein, compact neighborhoods. We base our calculations on Turaev’s shadows suitably “smoothed”; the conditions we find are purely algebraic and combinatorial. Applying our results, we provide examples of hyperbolic 3-manifolds admitting “many” positive and negative Stein fillable contact structures, and prove a four-dimensional analog of Oertel’s result on incompressibility of surfaces carried by branched polyhedra.      

Generalized hyperelliptic surfaces

This article presents some results on the surfaces of general type whose Albanese morphism is a holomorphic fibre bundle.

     

Metamaterials and plasmonics: From nanoparticles to nanoantenna arrays,metasurfaces, and metamaterials

The rise of plasmonic metamaterials in recent years has unveiled the possibility of revolutionizing the entire field of optics and photonics, challenging well-established technological limitations and paving the way to innovations at an unprecedented level To capitalize the disruptive potential of this rising field of science and technology, it is important to be able to combine the richness of optical phenomena enabled by nanoplasmonics in order to realize metamaterial components, devices, and systems of increasing complexity. Here, we review a few recent research directions in the field of plasmonic metamaterials, which may foster further advancements in this research area. We will discuss the anomalous scattering features enabled by plasmonic nanoparticles and nanoclusters, and show how they may represent the fundamental building blocks of complex nanophotonic architectures. Building on these concepts, advanced components can be designed and operated, such as optical nanoantennas and nanoantenna arrays, which, in turn, may be at the basis of metasurface devices and complex systems. Following this path, from basic phenomena to advanced functionalities, the field of plasmonic metamaterials offers the promise of an important scientific and technological impact, with applications spanning from medical diagnostics to clean energy and information processing.     

Local estimates for parabolic equations with nonlinear gradient terms

In this paper we deal with local estimates for parabolic problems in ${\mathbb{R}^N}$ with absorbing first order terms, whose model is $$\left\{\begin{array}{l@{\quad}l}u_t- \Delta u +u |\nabla u|^q = f(t,x) \quad &{\rm in}\, (0,T) \times \mathbb{R}^N\,,\\u(0,x)= u_0 (x) &{\rm in}\, \mathbb{R}^N \,,\quad\end{array}\right.$$ where ${T >0 , \, N\geq 2,\, 1 < q \leq 2,\, f(t,x)\in L^1\left( 0,T; L^1_{\rm loc} \left(\mathbb{R}^N\right)\right)}$ and ${u_0\in L^1_{\rm loc}\left(\mathbb{R}^{N}\right)}$ .     

On the Hughes' model for pedestrian flow: The one-dimensional case

In this paper we investigate the mathematical theory of Hughes' model for the flow of pedestrians (cf. Hughes (2002) [17]), consisting of a non-linear conservation law for the density of pedestrians coupled with an eikonal equation for a potential modelling the common sense of the task. For such an approximated system we prove existence and uniqueness of entropy solutions (in one space dimension) in the sense of Kru?kov (1970) [22], in which the boundary conditions are posed following the approach of Bardos et al. (1979) [7]. We use BV estimates on the density ρ and stability estimates on the potential ? in order to prove uniqueness. Furthermore, we analyze the evolution of characteristics for the original Hughes' model in one space dimension and study the behavior of simple solutions, in order to reproduce interesting phenomena related to the formation of shocks and rarefaction waves. The characteristic calculus is supported by numerical simulations.     

A preconditioning approach to the pagerank computation problem

Some spectral properties of the transition matrix of an oriented graph indicate the preconditioning of Euler-Richardson (ER) iterative scheme as a good way to compute efficiently the vertexrank vector associated with such graph. We choose the preconditioner from an algebra U of matrices, thereby obtaining an ER_U method, and we observe that ER_U can outperform ER in terms of rate of convergence. The proposed preconditioner can be updated at a very low cost whenever the graph changes, as is the case when it represents a generic set of information. The particular U utilized requires a surplus of operations per step and memory allocations, which make ER_U superior to ER for not too wide graphs. However, the observed high improvement in convergence rate obtained by preconditioning and the general theory developed, are a reason for investigating different choices of U, more efficient for huge graphs.     

On Pythagoras Theorem for Products of Spectral Triples

We discuss a version of Pythagoras theorem in noncommutative geometry. Usual Pythagoras theorem can be formulated in terms of Connes’ distance, between pure states, in the product of commutative spectral triples. We investigate the generalization to both non-pure states and arbitrary spectral triples. We show that Pythagoras theorem is replaced by some Pythagoras inequalities, that we prove for the product of arbitrary (i.e. non-necessarily commutative) spectral triples, assuming only some unitality condition. We show that these inequalities are optimal, and we provide non-unital counter-examples inspired by K-homology.     

Regularity for minimizers of functionals with p – q growth

We prove higher integrability for the gradient of vector-valued minimizers of some integral functionals with p – q growth. Received February 9, 1998