Approximation for portfolio optimization in a financial market with shot-noise jumps

Computational Management Science - For an investor in a continuous-time financial market the portfolio optimization problem of maximizing expected utility of terminal wealth is considered. Stock...     

An IR study of the adsorption of water on Ru(001)

The strong OH stretch at 3400 cm^?1 (fwhm ～ 230 cm^?1) in the IR reflection absorption spectra of the system $\text{H}{}_2\text{O}\text{Ru(001)}$ at 85 K indicates the presence of hydrogen-bonded clusters. These clusters appear to form even at the lowest coverages. On the clean surface there is a linear relationship between integrated absorption intensity and coverage. The presence of small quantities of preadsorbed oxygen delays, however, the onset of absorption. It is thought that the oxygen atoms “bind” the water molecules, thus preventing cluster formation and in turn eliminating the intensity enhancement due to hydrogen bonding. Flash desorption spectra also indicate a second binding state when oxygen is coadsorbed. The relevance of these results to models of the electric double layer at the metal-electrolyte interface is discussed.     

The study of solid surfaces by electrochemical methods

The basic concepts of electrochemistry at the solid-electrolyte interface are discussed in this article with special emphasis on surface physical aspects. The electrochemical environment is shown to provide several unique experimental possibilities for the study of metal and semiconductor surfaces. Chemisorption processes, which are associated with charge transfer across the interface, can be studied with great accuracy, even when only submonolayer amounts are adsorbed. Semiconductor electrodes have recently received increasing attention and their fundamental properties, as well as selected experimental results, are described here. The optical reflectance of metal electrodes measures sensitively overlayers and the electric charge on the surface, both of which can easily be controlled by the voltage applied to the electrochemical cell. The final topic is photo-emission, which is usually associated with ultra high vacuum conditions but which, when studied at a metal-electrolyte contact, can be used to obtain complementary information, particularly at low excitation energies.     

Primal-dual methods for the computation of trading regions under proportional transaction costs

Portfolio optimization problems on a finite time horizon under proportional transaction costs are considered. The objective is to maximize the expected utility of the terminal wealth. The ensuing non-smooth time-dependent Hamilton–Jacobi–Bellman equation is solved by regularization and the application of a semi-smooth Newton method. Discretization in space is carried out by finite differences or finite elements. Computational results for one and two risky assets are provided.