Stability of exponential utility maximization with respect to market perturbations

We investigate the continuity of expected exponential utility maximization with respect to perturbation of the Sharpe ratio of markets. By focusing only on continuity, we impose weaker regularity conditions than those found in the literature. Specifically, we require, in addition to the V-compactness hypothesis of Larsen and ?itkovi? (2007) [13], a local bmo hypothesis, a condition which is essentially implicit in the setting of [13]. For markets of the form S=M+∫λd〈M〉, these conditions are simultaneously implied by the existence of a uniform bound on the norm of λ⋅M in a suitable bmo space.     

Estimation in the presence of many nuisance parameters: Composite likelihood and plug-in likelihood

We consider the incidental parameters problem in this paper, i.e. the estimation for a small number of parameters of interest in the presence of a large number of nuisance parameters. By assuming that the observations are taken from a multiple strictly stationary process, the two estimation methods, namely the maximum composite quasi-likelihood estimation (MCQLE) and the maximum plug-in quasi-likelihood estimation (MPQLE) are considered. For the MCQLE, we profile out nuisance parameters based on lower-dimensional marginal likelihoods, while the MPQLE is based on some initial estimators for nuisance parameters. The asymptotic normality for both the MCQLE and the MPQLE is established under the assumption that the number of nuisance parameters and the number of observations go to infinity together, and both the estimators for the parameters of interest enjoy the standard root-n convergence rate. Simulation with a spatial–temporal model illustrates the finite sample properties of the two estimation methods.     

Thermodynamics of the small clusters: The Gibbs free-energy derivation for the Honmura–Kaneyoshi method

A cluster density matrix is proposed for calculation of the thermodynamic averages in the effective field theory with correlations. On this basis, derivation of the Gibbs free-energy for the Honmura–Kaneyoshi method is made.     

Magnetism of Fe,Co, and Ni nanowires encapsulated in carbon nanotubes

We have investigated the electronic and magnetic properties of Fe, Co, and Ni nanowires encapsulated in carbon nanotubes (CNTs) using spin polarized ab initio calculation. The incorporated systems with hollow region between the nanowire and the C shell have the enhanced magnetic moments compared to the ferromagnetic nanowires tightly wrapped by CNTs. The Co nanowire encapsulated in CNTs is a strong ferromagnet and has high spin polarization regardless of the distance between the nanowire and the C shell. The results show that the Co-filled CNTs are useful for spin polarized transport nanodevice.     

On the Riemannian geometry of Seiberg–Witten moduli spaces

We construct a natural L²-metric on the perturbed Seiberg–Witten moduli spaces _Mμ+ of a compact 4-manifold M, and we study the resulting Riemannian geometry of _Mμ+. We derive a formula which expresses the sectional curvature of _Mμ+ in terms of the Green operators of the deformation complex of the Seiberg–Witten equations. In case M is simply connected, we construct a Riemannian metric on the Seiberg–Witten principal U(1) bundle P→_Mμ+ such that the bundle projection becomes a Riemannian submersion. On a Kähler surface M, the L²-metric on _Mμ+ coincides with the natural Kähler metric on moduli spaces of vortices.     

An algorithm based on resolvent operators for solving variational inequalities in Hilbert spaces

In this paper, a new monotonicity, M-monotonicity, is introduced, and the resolvent operator of an M-monotone operator is proved to be single valued and Lipschitz continuous. With the help of the resolvent operator, an equivalence between the variational inequality VI(C,F+G) and the fixed point problem of a nonexpansive mapping is established. A proximal point algorithm is constructed to solve the fixed point problem, which is proved to have a global convergence under the condition that F in the VI problem is strongly monotone and Lipschitz continuous. Furthermore, a convergent path Newton method, which is based on the assumption that the projection mapping _∏C(⋅) is semismooth, is given for calculating ε-solutions to the sequence of fixed point problems, enabling the proximal point algorithm to be implementable.