A tail-revisited Markowitz mean-variance approach and a portfolio network centrality

A measure for portfolio risk management is proposed by extending the Markowitz mean-variance approach to include the left-hand tail effects of asset returns. Two risk dimensions are captured: asset covariance risk along risk in left-hand tail similarity and volatility. The key ingredient is an informative set on the left-hand tail distributions of asset returns obtained by an adaptive clustering procedure. This set allows a left tail similarity and left tail volatility to be defined, thereby providing a definition for the left-tail-covariance-like matrix. The convex combination of the two covariance matrices generates a “two-dimensional” risk that, when applied to portfolio selection, provides a measure of its systemic vulnerability due to the asset centrality. This is done by simply associating a suitable node-weighted network with the portfolio. Higher values of this risk indicate an asset allocation suffering from too much exposure to volatile assets whose return dynamics behave too similarly in left-hand tail distributions and/or co-movements, as well as being too connected to each other. Minimizing these combined risks reduces losses and increases profits, with a low variability in the profit and loss distribution. The portfolio selection compares favorably with some competing approaches. An empirical analysis is made using exchange traded fund prices over the period January 2006–February 2018.

     

Toward an adjustable nonlinear low frequency acoustic absorber

A study of the targeted energy transfer (TET) phenomenon between an acoustic resonator and a thin viscoelastic membrane has recently been presented in the paper [R. Bellet et al., Experimental study of targeted energy transfer from an acoustic system to a nonlinear membrane absorber, Journal of Sound and Vibration 329 (2010) 2768-2791], providing a new path to passive sound control in the low frequency domain where no efficient dissipative device exists. This paper presents experimental results showing that a loudspeaker used as a suspended piston working outside its range of linearity can also be used as a nonlinear acoustic absorber. The main advantage of this technology of absorber is the perspective to adjust independently the device parameters (mass, nonlinear stiffness and damping) according to the operational conditions. To achieve this purpose, quasi-static and dynamic tests have been performed on three types of commercial devices (one with structural modi?cations), in order to de?ne the constructive characteristics that it should present. An experimental setup has been developed using a one-dimensional acoustic linear system coupled through a box (acting as a weak spring) to a loudspeaker used as a suspended piston acting as an essentially nonlinear oscillator. The tests carried out on the whole vibro-acoustic system have showed the occurrence of the acoustic TET from the acoustic media to the suspended piston and demonstrated the efficiency of this new kind of absorber at low frequencies over a wide frequency range. Moreover, the experimental analyses conducted with different NES masses have con?rmed that it is possible to optimize the noise absorption with respect to the excitation level of the acoustic resonator.     

Γ -Entropy Cost for Scalar Conservation Laws

We are concerned with a control problem related to the vanishing viscosity approximation to scalar conservation laws. We investigate the Γ -convergence of the control cost functional, as the viscosity coefficient tends to zero. A first-order Γ -limit is established, which characterizes the measure-valued solutions to the conservation laws as the zeros of the Γ -limit. A second-order Γ -limit is then investigated, providing a characterization of entropic solutions to conservation laws as the zeros of the Γ -limit.     

Synthesis of nanostructured perovskite powders via simple carbonate co-precipitation

A very simple, cost-effective, chloride- and alkali-free, carbonate co-precipitation synthesis in aqueous medium was applied in the preparation of perovskite-type lanthanum manganese oxide-based powders, i.e. La_0.70Sr_0.30MnO_3?δ (LSM) and La_0.75Sr_0.25Cr_0.5Mn_0.5O_3?δ (LSCrM). The precursors so obtained yielded nano-structured perovskite oxides when treated at 900°C and 800°C, respectively. The measured BET surface areas were in the low-end range for high temperature oxides (4 m² g^?1 and 10 m² g^?1) but the X-ray crystallite size was as low as 50 nm for LSCrM and 90 nm for LSM.     

Improving surface plasmon resonance imaging of DNA by creating new gold and silver based surface nanostructures

The use of nanoparticles (NPs) can substantially improve the analytical performance of surface plasmon resonance imaging (SPRi) in general, and in DNA sensing in particular. In this work, we report on the modification of the gold surface of commercial biochips with gold nanospheres, silica-coated gold nanoshells, and silver nanoprisms, respectively. The NPs were tethered onto the surface of the chip and functionalized with a DNA probe. The effects of tethering conditions and varying nanostructures on the SPRi signals were evaluated via hybridization assays. The results showed that coupling between planar surface plasmons and electric fields, generated by localized surface plasmons of the NPs, is mandatory for signal enhancement. Silver nanoprisms gave the best results in improving the signal change at a target DNA concentration of <50 nM by +50 % (compared to a conventional SPRi chip). The limit of detection for the target DNA was 0.5 nM which is 5 times less than in conventional SPRi.

Poly(N-vinylcaprolactam) nanocomposites containing nanocrystalline cellulose: a green approach to thermoresponsive hydrogels

In this work, we report on the synthesis and characterization of thermoresponsive poly(N-vinylcaprolactam), PNVCL, nanocomposite hydrogels containing nanocrystalline cellulose (CNC) by the use of frontal polymerization technique, which is a convenient, easy and low energy-consuming method of macromolecular synthesis. CNC was obtained by acid hydrolysis of commercial microcrystalline cellulose and dispersed in dimethylsulfoxide. The dispersion was characterized by TEM analysis and mixed with suitable amounts of N-vinylcaprolactam for the synthesis of PNVCL nanocomposite hydrogels having a CNC concentration ranging between 0.20 and 2.0 wt%. The nanocomposite hydrogels were analyzed by SEM and their swelling and rheological features were investigated. It was found that CNC decreases the swelling ratio even at small concentration. The rheological properties of the hydrogels indicated that CNC strongly influenced the viscoelastic modulus, even at concentrations as low as 0.1 wt%: both G′ and G″, and the viscosity increase with CNC content, indicating that the nanocellulose has a great potential to reinforce PNVCL polymer hydrogels.     

Stimuli‐responsive polymer hydrogels containing partially exfoliated graphite

In this work, a new stimuli‐responsive composite polymer hydrogel containing partially exfoliated graphite was prepared by frontal polymerization. The materials obtained were characterized by differential scanning calorimetry, RAMAN, scan electron microscopy, transmission electron microscopy, atomic force microscopy, and in terms of swelling behavior. It was found that the maximum temperature reached by the polymerization front and the lower critical solution temperature are affected by the graphite content. © 2010 Wiley Periodicals, Inc. J Polym Sci Part A: Polym Chem, 2010     

Polymer hydrogels of 2‐hydroxyethyl acrylate and acrylic acid obtained by frontal polymerization

In this work, we report on the synthesis and characterization of homopolymers and copolymers of acrylic acid and 2‐hydroxyethyl acrylate prepared by the use of the frontal polymerization (FP) technique. Tetraethyleneglycoldiacrylate was used as a crosslinker and benzoyl peroxide as an initiator. The maximum temperatures reached by the front were in the range between 214 °C and 296 °C. Besides, front velocities ranged between 3.9 and 10.8 cm/min, the latter being one of the highest values reported so far in the FP literature. Differential scanning calorimetry was used to estimate the conversion degree, which was always comprised between 90% and 96%, and to determine the glass transition temperatures, which were found to be dependent on the composition, with values ranging from 13 °C to 168 °C. Moreover, the obtained materials were allowed to swell in aqueous solutions at various pH. The samples exhibit a moderate increase of the swelling ratio percentage (SR%) at pH ≈ 5–6, and a sudden and larger SR% increase at pH ≈ 12–13 depending on the composition, thus indicating the obtainment of pH‐responsive polymer hydrogels. © 2012 Wiley Periodicals, Inc. J Polym Sci Part A: Polym Chem, 2012     

PEGDA‐based luminescent polymers prepared by frontal polymerization

Frontal polymerization (FP) of poly(ethylene glycol) diacrylate (PEGDA) was carried out using benzoyl peroxide (BPO) as radical initiator. In addition, a pyrene containing monomer, 1‐pyrenebutyl acrylate (PyBuAc), was incorporated as a fluorescent probe in order to obtain luminescent materials with different chromophore contents. The resulting polymers were characterized by FT‐IR spectroscopy in the solid state and their thermal properties were determined by thermogravimetric analysis (TGA) and differential scanning calorimetry (DSC). Moreover, the optical properties of these materials were studied by absorption and fluorescence spectroscopy. The maximum amount of the incorporated pyrene‐containing monomer into the polymer matrix was limited to 1 wt % by the polymerization process. The obtained labeled polymers poly(PEGDA‐co‐PyBuAc) exhibited a broad absorption band at 345 nm. The fluorescence spectra of these polymers exhibited mainly “monomer emission” so that no excimer emission was observed. It is possible to tune the color of the emitted light by varying the pyrene content in the samples. © 2015 Wiley Periodicals, Inc. J. Polym. Sci., Part A: Polym. Chem. 2015 , 53, 2890–2897