Costs and benefits of freezing behaviour in the harvestman Eumesosoma roeweri (Arachnida, Opiliones)

Animals present an enormous variety of behavioural defensive mechanisms, which increase their survival, but often at a cost. Several animal taxa reduce their chances of being detected and/or recognized as prey items by freezing (remaining completely motionless) in the presence of a predator. We studied costs and benefits of freezing in immature Eumesosoma roeweri (Opiliones, Sclerosomatidae). Preliminary observations showed that these individuals often freeze in the presence of the syntopic predatory spider Schizocosa ocreata (Araneae, Lycosidae). We verified that harvestmen paired with predators spent more time freezing than when alone or when paired with a conspecific. Then. we determined that predator chemical cues alone did not elicit freezing behaviour. Next, we examined predator behaviour towards moving/non-moving prey and found that spiders attacked moving prey significantly more, suggesting an advantage of freezing in the presence of a predator. Finally, as measure of the foraging costs of freezing, we found that individuals paired with a predator for 2 h gained significantly less weight than individuals paired with a conspecific or left alone. Taken together, our results suggest that freezing may protect E. roeweri harvestmen from predatory attacks by wolf spiders, but at the cost of reduced food and/or water intake. (C) 2009 Elsevier B.V. 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.

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.