Optimal mean-variance control for discrete-time linear systems with Markovian jumps and multiplicative noises

In this paper, we consider the stochastic optimal control problem of discrete-time linear systems subject to Markov jumps and multiplicative noises under two criteria. The first one is an unconstrained mean-variance trade-off performance criterion along the time, and the second one is a minimum variance criterion along the time with constraints on the expected output. We present explicit conditions for the existence of an optimal control strategy for the problems, generalizing previous results in the literature. We conclude the paper by presenting a numerical example of a multi-period portfolio selection problem with regime switching in which it is desired to minimize the sum of the variances of the portfolio along the time under the restriction of keeping the expected value of the portfolio greater than some minimum values specified by the investor. (C) 2011 Elsevier Ltd. All rights reserved.

Arbitrage-Free Conditions and Hedging Strategies for Markets with Penalty Costs on Short Positions

We consider a discrete-time financial model in a general sample space with penalty costs on short positions. We consider a friction market closely related to the standard one except that withdrawals from the portfolio value proportional to short positions are made. We provide necessary and sufficient conditions for the nonexistence of arbitrages in this situation and for a self-financing strategy to replicate a contingent claim. For the finite-sample space case, this result leads to an explicit and constructive procedure for obtaining perfect hedging strategies.

Selection and Use Recommendation in Hybrids of Ornamental Banana

The ornamental market is dynamic and demands constant novelties. The use of fruit crops as ornamental plants can be an interesting alternative with very differentiated and original products. The banana germplasm bank at Embrapa Cassava and Fruits has been primarily used in the breeding program for generating new cultivars as food. To diversify and expand the use of this collection, accessions with ornamental potential have been selected to obtain new hybrids. This work was aimed at characterizing the progeny of ornamental Musa L. spp. by grouping the hybrids according to the following uses: landscape plants, potted plants, cut flower, or minifruits. Forty-two hybrids were evaluated with 14 quantitative and 12 qualitative descriptors in three production cycles. In addition, assays for resistance to black and yellow Sigatoka and to Fusarium wilt were performed. Variability was observed for all the characteristics evaluated within progenies, especially with regard to leaf color, fruit, peduncle, rachis, and heart. All evaluated hybrids were resistant to yellow Sigatoka and to Fusarium wilt and were resistant or showed reduced symptoms of susceptibility to black Sigatoka. Most hybrids (82%) presented reduced plant height. After clustering by use category, the hybrids RM 09, RM 38, RM 37, and RM 33 were selected and recommended to be used as cut flowers, minifruits, or landscaping plants.