The duality of option investment strategies for hedge funds

This paper explores the structure of optimal investment strategies using stochastic programming and duality theory in investment portfolios containing options for a hedge fund manager who attempts to beat a benchmark. Explicit optimal conditions for option investments are obtained for several models. This research was supported by Inquire, the Social Sciences and Humanities Research Council of Canada, the Natural Sciences and Engineering Research Council of Canada, the National Center of Competence in Research FINRISK, a research instrument of the Swiss National Science Foundation, and MIT’s Sloan School of Management. J. R. Rodríguez-Mancilla thanks Gabriel Casillas-Olvera, Deputy Manager of Risk Control at Banco de Mexico, who read several drafts of this paper and made many helpful comments. The opinions in this paper do not necessarily represent those of Banco de México.     

Lower bounds for numbers of ABC-hits

By an ABC-hit, we mean a triple (a,b,c) of relatively prime positive integers such that a+b=c and rad(abc)<c. Denote by N(X) the number of ABC-hits (a,b,c) with c?X. In this paper we discuss lower bounds for N(X). In particular we prove that for every ?>0 and X large enough N(X)?exp((logX)^1/2−?).     

Balls have the worst best Sobolev inequalities. Part II: variants and extensions

We continue our previous study of sharp Sobolev-type inequalities by means of optimal transport, started in (Maggi and Villani J. Geom. Anal. 15(1), 83–121 (2005)). In the present paper, we extend our results in various directions, including Gagliardo–Nirenberg, Faber–Krahn, logarithmic-Sobolev or Moser–Trudinger inequalities with trace terms. We also identify a class of domains for which there is no need for a trace term to cast the Sobolev inequality.     

Functional equations of the dilogarithm in motivic cohomology

We prove relations between fractional linear cycles in Bloch's integral cubical higher Chow complex in codimension two of number fields, which correspond to functional equations of the dilogarithm. These relations suffice, as we shall demonstrate with a few examples, to write down enough relations in Bloch's integral higher Chow group CH²(F,3) for certain number fields F to detect torsion cycles. Using the regulator map to Deligne cohomology, one can check the non-triviality of the torsion cycles thus obtained. Using this combination of methods, we obtain explicit higher Chow cycles generating the integral motivic cohomology groups of some number fields.     

A completion problem for finite affine planes

A partial affine plane (PAP) of ordern is ann ²-setS of points together with a collection ofn-subsets ofS called lines such that any two lines meet in at most one point. We obtain conditions under which a PAP with nearlyn ²+n lines can be completed to an affine plane by adding lines. In particular, we make use of Bruck’s completion condition for nets to show that certain PAP’s with at leastn ²+n−√n can be completed and that forn≠3 any PAP withn ²+n−2 lines can be completed.     

B-convergence properties of defect correction methods. II

Summary B-convergence properties of defect correction methods based on the implicit Euler and midpoint schemes are discussed. The property ofB-convergence means that there exist global error bounds for nonlinear stiff problems independent of their stiffness. It turns out that the orders ofB-convergence of these methods coincide with the conventional orders of small (whereL is a Lipschitz constant of the right-hand side). In Part I these assertions are reduced to the validity of the so-called HypothesisA which is discussed in greater detail in Part II. Numerical experiments confirming the theoretical analysis are also given in Part II.     

Convergence of phase-field approximations to the Gibbs–Thomson law

We prove the convergence of phase-field approximations of the Gibbs–Thomson law. This establishes a relation between the first variation of the Van der Waals–Cahn–Hilliard energy and the first variation of the area functional. We allow for folding of diffuse interfaces in the limit and the occurrence of higher-multiplicities of the limit energy measures. We show that the multiplicity does not affect the Gibbs–Thomson law and that the mean curvature vanishes where diffuse interfaces have collided. We apply our results to prove the convergence of stationary points of the Cahn–Hilliard equation to constant mean curvature surfaces and the convergence of stationary points of an energy functional that was proposed by Ohta–Kawasaki as a model for micro-phase separation in block-copolymers.     

Pulse vaccination delayed SEIRS epidemic model with saturation incidence

A delayed SEIRS epidemic model with pulse vaccination and saturation incidence rate is investigated. Using the discrete dynamical system determined by the stroboscopic map, we obtain the existence of the disease-free periodic solution and its exact expression. Further, using the comparison theorem, we establish the sufficient conditions of global attractivity of the disease-free periodic solution and the permanence of disease. Our results indicate that a long latent period of the disease or a proper pulse vaccination rate will lead to eradication of the disease.     

Far from equilibrium steady states of 1D-Schrödinger–Poisson systems with quantum wells I

We describe the asymptotics of the steady states of the out-of-equilibrium Schrödinger–Poisson system, in the regime of quantum wells in a semiclassical island. After establishing uniform estimates on the nonlinearity, we show that the nonlinear steady states lie asymptotically in a finite-dimensional subspace of functions and that the involved spectral quantities are reduced to a finite number of so-called asymptotic resonant energies. The asymptotic finite dimensional nonlinear system is written in a general setting with only a partial information on its coefficients. After this first part, a complete derivation of the asymptotic nonlinear system will be done for some specific cases in a forthcoming article [V. Bonnaillie–Noël, F. Nier, M. Patel, Far from equilibrium steady states of 1D-Schrödinger–Poisson systems with quantum wells II, Prépublications IRMAR, 2007].