Computation of optimal portfolios using simulation-based dimension reduction

This paper describes a simple and efficient method for determining the optimal portfolio for a risk averse investor. The portfolio selection problem is of long standing interest to finance scholars and it has obvious practical relevance. In a complete market the modern procedure for computing the optimal portfolio weights is known as the martingale approach. Recently, alternative implementations of the martingale approach based on Monte Carlo methods have been proposed. These methods use Monte Carlo simulation to compute stochastic integrals. This paper examines the efficient implementation of one of these methods due to [Cvitanic, J., Goukasian, L., Zapatero, F. 2003. Monte Carlo computation of optimal portfolios in complete markets. J. Econom. Dynam. Control 27, 971-986]. We explain why a naive application of the quasi-Monte Carlo method to this problem is often only marginally more efficient than the classical Monte Carlo method. Using the dimension reduction technique of [Imai, J., Tan, K.S., 2007. A general dimension reduction method for derivative pricing. J. Comput. Financ. 10 (2), 129-155] it is possible to significantly reduce the effective dimension of the problem. The paper shows why the proposed technique leads to a dramatic improvement in efficiency.     

Evaluation of the Gas Production Potential of Some Particularly Challenging Types of Oceanic Hydrate Deposits

We use the TOUGH+HYDRATE code to assess the production potential of some particularly challenging hydrate deposits, i.e., deposits that are characterized by any combination of the following factors: absence of confining boundaries, high thermodynamic stability, low temperatures, low formation permeability. Using high-resolution grids, we show that a new horizontal well design using thermal stimulation coupled with mild depressurization yields production rates that appear modest and insufficient for commercially viable production levels. The use of parallel horizontal wells (with the lower one providing thermal stimulation through heat addition, direct injection or circulation of warm water, and the upper one producing under a mild depressurization regime) offers tantalizing possibilities, and has the potential of allowing commercial production from a very large number of hydrate deposits that are not currently considered as production candidates if the problem of the corresponding large water production can be solved.     

Tin(II) amide/alkoxide coordination compounds for production of Sn-based nanowires for lithium ion battery anode materials

A series of tin(II) amide alkoxides ([(OR)Sn(NMe(2))](n)) and tin(II) alkoxides ([Sn(OR)(2)](n)) were investigated as precursors for the production of tin oxide (SnO(x)) nanowires. The precursors were synthesized from the metathesis of tin dimethylamide ([Sn(NMe(2))(2)](2)) and a series of aryl alcohols {H-OAr = H-OC(6)H(4)(R)-2: R = CH(3) (H-oMP), CH(CH(3))(2) (H-oPP), C(CH(3))(3) (H-oBP)] or [H-OC(6)H(3)(R)(2)-2,6: R = CH(3) (H-DMP), CH(CH(3))(2) (H-DIP), C(CH(3))(3) (H-DBP)]}. The 1:1 products were all identified as the dinuclear species [(OAr)Sn(μ-NMe(2))](2) where OAr = oMP (1), oPP (2), oBP (3), DMP (4), DIP (5), DBP (6). The 1:2 products were identified as either a polymer ([Sn(μ-OAr)(2)](∞) (where OAr = oMP (7), oPP (8)), dinuclear [(OAr)Sn(μ-OAr)](2) (where OAr = oBP (9), DMP (10) or DIP/HNMe(2) (11)), or mononuclear [Sn(DBP)(2)] (12) complexes. These novel families of compounds (heteroleptic 1-6, and homoleptic 7-12) were evaluated for the production of SnO(x) nanowires using solution precipitation (SPPT; oleylamine/octadecene solvent system) or electrospinning (ES; THF solvent) processing conditions. The SPPT route that employed the heteroleptic precursors yielded mixed phases of Sn(o):romarchite [1 (100:0); 2 (80:20); 3 (68:32); 4 (86:14); 5 (66:35); 6 (88:12)], with a variety of spherical sized particles [1 (350-900 nm); 2 (150-1200 nm); 3 (250-950 nm); 4 (20-180 nm); 5 (80-400 nm); 6 (40-200 nm)]. For the homoleptic precursors, similar phased [7 (80:20); 8 (23:77); 9 (15:85); 10 (34:66); 11 (77:23); 12 (77:23)] spherical nanodots were isolated [7 (50-300 nm); 8: (irregular); 10 (200-800 nm); 11 (50-150 nm); 12 (50-450 nm)], except for 9 which formed polycrystalline rods [Sn(o):romarchite (15:85)] with aspect ratios >100. From ES routes, the heteroleptic species were found to form 'tadpole-shaped' materials whereas the homoleptic species formed electrosprayed nanodots. The one exception noted was for 7, where, without use of a polymer matrix, nanowires of Sn(o), decorated with micron sized 'balls' were observed. Due to the small amount of material generated, PXRD patterns were inconclusive to the identity of the generated material; however, cyclic voltammetry on select samples was used to tentatively identify the final Sn(o) (from 7) with the other sample identified as SnO(x) (from 1).     

Synthesis of (S)-(-)-N-acetylcolchinol using intramolecular biaryl oxidative coupling

An asymmetric synthesis of the tubulin polymerisation inhibitor (S)-(-)-N-acetylcolchinol is reported based on an intramolecular biaryl oxidative coupling of a 1,3-diarylpropyl acetamide intermediate using phenyliodonium bis(trifluoroacetate) as the final step. Three syntheses of the penultimate 1,3-diarylpropyl acetamide intermediate (S)-(-)-N-[1-[3-(tert-butyldimethylsilyloxy)phenyl)]-3-(3,4,5-trimethoxyphenyl)propyl] acetamide are described which differ in the means by which the stereogenic centre was introduced.     

State-selective preparation of NO2+ and the effects of NO2+ vibrational mode on charge transfer with NO

Two color resonance-enhanced multiphoton ionization (REMPI) scheme of NO(2) through the E (2)Sigma(u)(+) (3psigma) Rydberg state was used to prepare NO(2)(+) in its ground and (100), (010), (02(0)0), (02(2)0), and (001) vibrational states. Photoelectron spectroscopy was used to verify >96% state selection purity, in good agreement with results of Bell et al. for a similar REMPI scheme. The effects of NO(2)(+) vibrational excitation on charge transfer with NO have been studied over the center-of-mass collision energy (E(col)) range from 0.07 to 2.15 eV. Charge transfer is strongly suppressed by collision energy at E(col) < approximately 0.25 eV but is independent of E(col) at higher energies. Mode-specific vibrational effects are observed for both the integral and differential cross-sections. The NO(2)(+) bending vibration strongly enhances charge transfer, with enhancement proportional to the bending quantum number, and is not dependent on the bending angular momentum. The enhancement results from increased charge transfer probability in large impact parameter collisions that lead to small deflection angles. The symmetric stretch also enhances reaction at low collision energies, albeit less efficiently than the bend. The asymmetric stretch has virtually no effect, despite being the highest-energy mode. A model is proposed to account for both the collision energy and the vibrational state dependence.     

Absence of magnetic ordering in low dimensional mixed magnetic Mn1−xNixCl2·H2O

A new mixed magnet, Mn_1−xNi_xCl₂·H₂O, is examined by dc magnetization and susceptibility measurements across the entire composition range. The pure components are quasi-one-dimensional Heisenberg antiferromagnets ordering at 2.17 K (Mn) and 5.6₅ K (Ni) due to weaker interchain exchange supplementing the dominant exchange along MCl₂MCl₂M… chemical and structural chains. High temperature magnetic susceptibilities yield Curie and Weiss constants in χ_M=C/(T−θ). C(x) is linear but θ(x) displays curvature, which is analyzed to show that unlike-ion exchange is ferromagnetic and similar in size to like-ion. Most notable is the absence of antiferromagnetic susceptibility maxima down to 1.6 K from x=0.10 to 0.95. For x=0.05 a susceptibility maximum appears, with T_max almost 20% lower than in the pure Mn component but T_c reduced by 2%. The size of the susceptibility is enhanced by admixture, the effect of disrupted antiferromagnetic tendencies. Magnetization isotherms evolve with composition. Larger values of magnetization, under the same measuring conditions, occur for mixtures than for pure components, consistent with frustration, which weakens antiferromagnetic alignment tendencies. The competing ferromagnetic (Ni) and antiferromagnetic (Mn) intrachain interactions, along with disorder and low dimensional characteristics, presumably lead to the absence of magnetic order over a remarkably broad composition range.