Optimal Investment in a Levy Market

In this paper we consider the optimal investment problem in a market where the stock price process is modeled by a geometric Levy process (taking into account jumps). Except for the geometric Brownian model and the geometric Poissonian model, the resulting models are incomplete and there are many equivalent martingale measures. However, the model can be completed by the so-called power-jump assets. By doing this we allow investment in these new assets and we can try to maximize the expected utility of these portfolios. As particular cases we obtain the optimal portfolios based in stocks and bonds, showing that the new assets are superfluous for certain martingale measures that depend on the utility function we use.     

A note on continuously decomposed evolving exchange economies

It is routine to demonstrate in the exchange economy framework that small changes of individual preferences and endowments always result in small changes of the derived excess demand functions as one should expect. Though being as desirable for reasons of the consistency of the whole approach, however, a precise proof of the converse direction so far is still open to question. The present paper shows that it is actually true. We use a decomposition method for aggregate excess demand functions developed by Mas-Colell which is derived from the well-known decomposition method developed by Sonnenschein and perfected by Debreu and Mantel. Our result fills in a notorious gap in the line of economic justification usually given for this decomposition, or disaggregation, method in that comparative static analysis would be restricted if the decomposition of excess demand functions would not be continuous.     

Maximin share and minimax envy in fair-division problems

For fair-division or cake-cutting problems with value functions which are normalized positive measures (i.e., the values are probability measures) maximin-share and minimax-envy inequalities are derived for both continuous and discrete measures. The tools used include classical and recent basic convexity results, as well as ad hoc constructions. Examples are given to show that the envy-minimizing criterion is not Pareto optimal, even if the values are mutually absolutely continuous. In the discrete measure case, sufficient conditions are obtained to guarantee the existence of envy-free partitions.     

Homogeneous quaternionic Kähler structures of linear type

A classification of homogeneous quaternionic Kähler structures by real tensors is given and related to Fino's representation theoretic decomposition. A relationship between the modules whose dimension grows linearly and quaternionic hyperbolic space is found. To cite this article: M. Castrillón López et al., C. R. Acad. Sci. Paris, Ser. I 338 (2004).     

Heuristic Algorithms and Scatter Search for the Cardinality Constrained P||Cmax Problem

We consider the generalization of the classical P||C_max problem (assign n jobs to m identical parallel processors by minimizing the makespan) arising when the number of jobs that can be assigned to each processor cannot exceed a given integer k. The problem is strongly NP-hard for any fixed k > 2. We briefly survey lower and upper bounds from the literature. We introduce greedy heuristics, local search and a scatter search approach. The effectiveness of these approaches is evaluated through extensive computational comparison with a depth-first branch-and-bound algorithm that includes new lower bounds and dominance criteria.     

Letter: Models of Relativistic Particle with Curvature and Torsion Revisited

Models, describing relativistic particles, where Lagrangian densities depend linearly on both the curvature and the torsion of the trajectories, are revisited in D=3 space forms. The moduli spaces of trajectories are completely and explicitly determined using the Lancret program. The moduli subspaces of closed solitons in the three sphere are also determined.     

A Note on Cactus Trees: Variational vs. Recursive Approach

In this article we deal with the variational approach to cactus trees (Husimi trees) and the more common recursive approach, that are in principle equivalent for finite systems. We discuss in detail the conditions under which the two methods are equivalent also in the analysis of infinite (self-similar) cactus trees, usually investigated to the purpose of approximating ordinary lattice systems. Such issue is hardly ever considered in the literature. We show (on significant test models) that the phase diagram and the thermodynamic quantities computed by the variational method, when they deviates from the exact bulk properties of the cactus system, generally provide a better approximation to the behavior of a corresponding ordinary system. Generalizing a property proved by Kikuchi, we also show that the numerical algorithm usually employed to perform the free energy minimization in the variational approach is always convergent.     

Existence and characterization of regions minimizing perimeter under a volume constraint inside Euclidean cones

We study the problem of existence of regions separating a given amount of volume with the least possible perimeter inside a Euclidean cone. Our main result shows that nonexistence for a given volume implies that the isoperimetric profile of the cone coincides with the one of the half-space. This allows us to give some criteria ensuring existence of isoperimetric regions: for instance, local convexity of the cone at some boundary point.

We also characterize which are the stable regions in a convex cone, i.e., second order minima of perimeter under a volume constraint. From this it follows that the isoperimetric regions in a convex cone are the euclidean balls centered at the vertex intersected with the cone.

     

1/N-Expansion for the Dicke model and the decoherence program

An analysis of the Dicke model, N two-level atoms interacting with a single radiation mode, is done using the Holstein-Primakoff transformation. The main aim of the paper is to show that, changing the quantization axis with respect to the common usage, it is possible to prove a general result either for N or the coupling constant going to infinity for the exact solution of the model. This completes the analysis, known in the current literature, with respect to the same model in the limit of N and volume going to infinity, keeping the density constant. For the latter the proper axis of quantization is given by the Hamiltonian of the two-level atoms and for the former the proper axis of quantization is defined by the interaction. The relevance of this result relies on the observation that a general measurement apparatus acts using electromagnetic interaction and so, one can state that the thermodynamic limit is enough to grant the appearance of classical effects. Indeed, recent experimental results give first evidence that superposition states disappear interacting with an electromagnetic field having a large number of photons.