Portfolio optimization in a regime-switching market with derivatives

We consider the optimal asset allocation problem in a continuous-time regime-switching market. The problem is to maximize the expected utility of the terminal wealth of a portfolio that contains an option, an underlying stock and a risk-free bond. The difficulty that arises in our setting is finding a way to represent the return of the option by the returns of the stock and the risk-free bond in an incomplete regime-switching market. To overcome this difficulty, we introduce a functional operator to generate a sequence of value functions, and then show that the optimal value function is the limit of this sequence. The explicit form of each function in the sequence can be obtained by solving an auxiliary portfolio optimization problem in a single-regime market. And then the original optimal value function can be approximated by taking the limit. Additionally, we can also show that the optimal value function is a solution to a dynamic programming equation, which leads to the explicit forms for the optimal value function and the optimal portfolio process. Furthermore, we demonstrate that, as long as the current state of the Markov chain is given, it is still optimal for an investor in a multiple-regime market to simply allocate his/her wealth in the same way as in a single-regime market.     

On the numerical radius of Lipschitz operators in Banach spaces

We study the numerical radius of Lipschitz operators on Banach spaces via the Lipschitz numerical index, which is an analogue of the numerical index in Banach space theory. We give a characterization of the numerical radius and obtain a necessary and sufficient condition for Banach spaces to have Lipschitz numerical index 1. As an application, we show that real lush spaces and C  -rich subspaces have Lipschitz numerical index 1. Moreover, using the Gâteaux differentiability of Lipschitz operators, we characterize the Lipschitz numerical index of separable Banach spaces with the RNP. Finally, we prove that the Lipschitz numerical index has the stability properties for the _c0$c_0$-, _l1$l_1$-, and _l∞$l_{\infty }$-sums of spaces and vector-valued function spaces. From this, we show that the C(K)$C(K)$ spaces, _L1(μ)$L_1(\mu )$-spaces and _L∞(ν)$L_{\infty }(\nu )$-spaces have Lipschitz numerical index 1.     

On Kaufmanʼs theorem

Kaufman?s theorem (Kaufman, 1978 [9]) on representing closed linear operators as quotients of bounded operators is given a new constructive proof, and is extended to operators between two Hilbert spaces. Two different definitions of operator quotients existing in the literature are compared.     

A monotone version of the Sokolov property and monotone retractability in function spaces

We introduce the monotone Sokolov property and show that it is dual to monotone retractability in the sense that X   is monotonically retractable if and only if _Cp(X)$C_p(X)$ is monotonically Sokolov. Besides, a space X   is monotonically Sokolov if and only if _Cp(X)$C_p(X)$ is monotonically retractable. Monotone retractability and monotone Sokolov property are shown to be preserved by R$\mathbb{R}$-quotient images and _Fσ$F_{\sigma }$-subspaces. Furthermore, every monotonically retractable space is Sokolov so it is collectionwise normal and has countable extent. We also establish that if X   and _Cp(X)$C_p(X)$ are Lindelöf Σ-spaces then they are both monotonically retractable and have the monotone Sokolov property. An example is given of a space X   such that _Cp(X)$C_p(X)$ has the Lindelöf Σ-property but neither X   nor _Cp(X)$C_p(X)$ is monotonically retractable. We also establish that every Lindelöf Σ-space with a unique non-isolated point is monotonically retractable. On the other hand, each Lindelöf space with a unique non-isolated point is monotonically Sokolov.     

Numerical ranges of weighted composition operators

The operator that takes the function f   to ψf°φ$\psi f°\phi$ is a weighted composition operator. We study numerical ranges of some classes of weighted composition operators on H²$H^2$, the Hardy–Hilbert space of the unit disc. We consider the case where φ is a rotation of the unit disc and identify a class of convexoid operators. In the case of isometric weighted composition operators we give a complete classification of their numerical ranges. We also consider the inclusion of zero in the interior of the numerical range.     

On random frequent universality

We give a probabilistic construction of frequently hypercyclic or universal entire functions using Birkhoff?s ergodic Theorem. We apply the same ideas to construct random frequently universal vectors for the polynomials of the weighted backward shift on the classical real or complex ?^p${?}^p$ space.