Distributionally robust inference for extreme Value-at-Risk

Under general multivariate regular variation conditions, the extreme Value-at-Risk of a portfolio can be expressed as an integral of a known kernel with respect to a generally unknown spectral measure supported on the unit simplex. The estimation of the spectral measure is challenging in practice and virtually impossible in high dimensions. This motivates the problem studied in this work, which is to find universal lower and upper bounds of the extreme Value-at-Risk under practically estimable constraints. That is, we study the infimum and supremum of the extreme Value-at-Risk functional, over the infinite dimensional space of all possible spectral measures that meet a finite set of constraints. We focus on extremal coefficient constraints, which are popular and easy to interpret in practice. Our contributions are twofold. First, we show that optimization problems over an infinite dimensional space of spectral measures are in fact dual problems to linear semi-infinite programs (LSIPs) – linear optimization problems in Euclidean space with an uncountable set of linear constraints. This allows us to prove that the optimal solutions are in fact attained by discrete spectral measures supported on finitely many atoms. Second, in the case of balanced portfolia, we establish further structural results for the lower bounds as well as closed form solutions for both the lower- and upper-bounds of extreme Value-at-Risk in the special case of a single extremal coefficient constraint. The solutions unveil important connections to the Tawn–Molchanov max-stable models. The results are illustrated with two applications: a real data example and closed-form formulae in a market plus sectors framework.     

用二维色谱技术测定聚合反应气体组成

介绍一种无阀切换的二维气相色谱分析方法。采用两根不同性质的色谱柱并联连接，样品分别经两根色谱柱分离后汇合在一起进入同一检测器。一次进样可同时测定Ｈ２、Ｏ２、Ｎ２及Ｃ１～Ｃ３的组分。     

规则星形高分子之间的相互作用势的自洽场研究

用自洽场理论方法计算了星形高分子之间的相互作用势, 并与标度理论的推测以及基于粒子的分子动力学模拟方法的结果进行了比较. 自洽场理论计算得到的星形高分子之间的二体相互作用势与标度理论推测的结果基本一致: 当两个星形高分子核心之间的距离小于其对应的等效软球的半径R时, 二体相互作用势U与星形高分子核心之间的距离d及官能度f之间的关系为U(d)∝-f 3/2 ln(d/R). 当星形高分子核心间距离较小, 相互作用势与星形高分子核心间距离的对数呈线性关系时, 三体相互作用为吸引作用, 但其强度约等于二体作用的10%. 因此, 以二体作用为基础的基于粒子的模拟方法是基本合理的.     

溶剂散逸自组装制备超疏水针垫阵列膜

利用溶剂散逸自组装方法,以聚苯乙烯、聚十二烷基丙烯酰胺-6-丙烯酰胺基己酸（CAP）和三氯甲烷为原料,在平滑的固体基质上制备了有序多孔膜,该膜上下表面可在外力作用下发生分离,得到具有微米级超疏水针垫阵列膜。 结果表明,制得的聚苯乙烯膜具备超疏水性质,与水接触角达158°。     

Mixed micellization of an anionic gemini surfactant (GA) with conventional polyethoxylated nonionic surfactants in brine solution at pH 5 and 298 K

The micellization behavior of an anionic gemini surfactant, GA with nonionic surfactants C₁₂E₈ and C₁₂E₅ in presence of 0.1 M NaCl at 298 K temperature, has been studied tensiometrically in pure and mixed states, and the related physicochemical parameters (cmc, γ _cmc, pC ₂₀, Γ _max, and A _min) have been evaluated. Tensiometric profile (γ vs log [surfactant]), for conventional surfactants, generally consists of a single point of intersection; a gradually decreasing line (normally linear, or with slight curvature) ultimately saturates in γ at a particular [surfactant], corresponding to complete monolayer saturation. The gemini, in this report, led to two unequivocal breaks in the tensiometric isotherm. An attempt to the interpretation of the two breaks from molecular point of view is provided, depending solely on the chemical structure of the surfactant. The gemini, even in mixed state with the conventional nonionic surfactants C₁₂E₅ and C₁₂E₈, manifested the dual breaks; of course, the dominance of the feature decreases with increasing mole fraction of the nonionics in the mixture. Theories of Clint, Rosen, Rubingh, Motomura, Georgiev, Maeda, and Nagarajan have been used to determine the interaction between surfactants at the interface and micellar state of aggregation, the composition of the aggregates, the theoretical cmc in pure and mixed states, and the structural parameters according to Tanford and Israelachvili. Several thermodynamic parameters have also been predicted from those theories.     

A family of regular graphs of girth 5

Murty [A generalization of the Hoffman-Singleton graph, Ars Combin. 7 (1979) 191-193.] constructed a family of (p^m+2)-regular graphs of girth five and order 2p^2m, where p?5 is a prime, which includes the Hoffman-Singleton graph [A.J. Hoffman, R.R. Singleton, On Moore graphs with diameters 2 and 3, IBM J. (1960) 497-504]. This construction gives an upper bound for the least number f(k) of vertices of a k-regular graph with girth 5. In this paper, we extend the Murty construction to k-regular graphs with girth 5, for each k. In particular, we obtain new upper bounds for f(k), k?16.     

Improved convex upper bound via conditional comonotonicity

Comonotonicity provides a convenient convex upper bound for a sum of random variables with arbitrary dependence structure. Improved convex upper bound was introduced via conditioning by Kaas et al. [Kaas, R., Dhaene, J., Goovaerts, M., 2000. Upper and lower bounds for sums of random variables. Insurance: Math. Econ. 27, 151-168]. In this paper, we unify these results in a more general context using the concept of conditional comonotonicity. We also construct an approximating sequence of convex upper bounds with nice convergence properties.     

The derivation of explicit solutions to Wannier–Stark resonances for electrons on coupled chains

Electrons on infinite coupled chains with nearest neighbour couplings under uniform electric and magnetic fields can be expressed as conditionally solvable systems, which concerns both discrete coordinate and wavenumber representations. We then have to account for multiparameter extra-conditions relying on the single chain phase of the system, which amounts to perform a suitable selection of parameters. The implicit plots provided by such conditions exhibit both regular and irregular patterns. This results in the onset of a finite number of Wannier–Stark resonances, now by performing rescalings needed. However, this time the resonance width is sensitive to the quantum number characterizing the Stark-ladder. Bound-state limits, rescalings and approximations proceeding irrespective of the wavenumber have also been presented.     

Inversion of the Kirkwood–Buff theory of solutions: application to binary systems

Kirkwood–Buff (K–B) integrals play an important role in characterizing the properties and interactions of various liquid mixtures. However, there exists no method to calculate directly the K–B integrals from the easily available experimental data of ultrasonic velocity and density. An attempt has been made to evaluate the same using these initial parameters. A statistical mechanical theory advanced by Arakawa et al. has been used here, in combination with a semi-empirical formula to compute K–B parameters in the whole concentration range for six binary systems at atmospheric pressure and at 298.15 K.