Optimal hedging with higher moments

This study proposes a utility-based framework for the determination of optimal hedge ratios (OHRs) that can allow for the impact of higher moments on hedging decisions. We examine the entire hyperbolic absolute risk aversion family of utilities which include quadratic, logarithmic, power, and exponential utility functions. We find that for both moderate and large spot (commodity) exposures, the performance of out-of-sample hedges constructed allowing for nonzero higher moments is better than the performance of the simpler OLS hedge ratio. The picture is, however, not uniform throughout our seven spot commodities as there is one instance (cotton) for which the modeling of higher moments decreases welfare out-of-sample relative to the simpler OLS. We support our empirical findings by a theoretical analysis of optimal hedging decisions and we uncover a novel link between OHRs and the minimax hedge ratio, that is the ratio which minimizes the largest loss of the hedged position. © 2011 Wiley Periodicals, Inc. Jrl Fut Mark

Identification of components of the Sigma B Regulon in Listeria monocytogenes that contribute to acid and salt tolerance

Sigma B (σB) is an alternative sigma factor that controls the transcriptional response to stress in Listeria monocytogenes and is also known to play a role in the virulence of this human pathogen. In the present study we investigated the impact of a sigB deletion on the proteome of L. monocytogenes grown in a chemically defined medium both in the presence and in the absence of osmotic stress (0.5 M NaCl). Two new phenotypes associated with the sigB deletion were identified using this medium. (i) Unexpectedly, the strain with the ΔsigB deletion was found to grow faster than the parent strain in the growth medium, but only when 0.5 M NaCl was present. This phenomenon was independent of the carbon source provided in the medium. (ii) The ΔsigB mutant was found to have unusual Gram staining properties compared to the parent, suggesting that σB contributes to the maintenance of an intact cell wall. A proteomic analysis was performed by two-dimensional gel electrophoresis, using cells growing in the exponential and stationary phases. Overall, 11 proteins were found to be differentially expressed in the wild type and the ΔsigB mutant; 10 of these proteins were expressed at lower levels in the mutant, and 1 was overexpressed in the mutant. All 11 proteins were identified by tandem mass spectrometry, and putative functions were assigned based on homology to proteins from other bacteria. Five proteins had putative functions related to carbon utilization (Lmo0539, Lmo0783, Lmo0913, Lmo1830, and Lmo2696), while three proteins were similar to proteins whose functions are unknown but that are known to be stress inducible (Lmo0796, Lmo2391, and Lmo2748). To gain further insight into the role of σB in L. monocytogenes, we deleted the genes encoding four of the proteins, lmo0796, lmo0913, lmo2391, and lmo2748. Phenotypic characterization of the mutants revealed that Lmo2748 plays a role in osmotolerance, while Lmo0796, Lmo0913, and Lmo2391 were all implicated in acid stress tolerance to various degrees. Invasion assays performed with Caco-2 cells indicated that none of the four genes was required for mammalian cell invasion. Microscopic analysis suggested that loss of Lmo2748 might contribute to the cell wall defect observed in the ΔsigB mutant. Overall, this study highlighted two new phenotypes associated with the loss of σB. It also demonstrated clear roles for σB in both osmotic and low-pH stress tolerance and identified specific components of the σB regulon that contribute to the responses observed.

Kraichnan–Leith–Batchelor similarity theory and two-dimensional inverse cascades

We study the scaling properties and Kraichnan–Leith–Batchelor (KLB) theory of forced inverse cascades in generalized two-dimensional (2D) fluids (α-turbulence models) simulated at resolution 8192x8192. We consider α=1 (surface quasigeostrophic flow), α=2 (2D Euler flow) and α=3. The forcing scale is well resolved, a direct cascade is present and there is no large-scale dissipation. Coherent vortices spanning a range of sizes, most larger than the forcing scale, are present for both α=1 and α=2. The active scalar field for α=3 contains comparatively few and small vortices. The energy spectral slopes in the inverse cascade are steeper than the KLB prediction −(7−α)/3 in all three systems. Since we stop the simulations well before the cascades have reached the domain scale, vortex formation and spectral steepening are not due to condensation effects; nor are they caused by large-scale dissipation, which is absent. One- and two-point p.d.f.s, hyperflatness factors and structure functions indicate that the inverse cascades are intermittent and non-Gaussian over much of the inertial range for α=1 and α=2, while the α=3 inverse cascade is much closer to Gaussian and non-intermittent. For α=3 the steep spectrum is close to that associated with enstrophy equipartition. Continuous wavelet analysis shows approximate KLB scaling ℰ(k)∝k−2 (α=1) and ℰ(k)∝k−5/3 (α=2) in the interstitial regions between the coherent vortices. Our results demonstrate that coherent vortex formation (α=1 and α=2) and non-realizability (α=3) cause 2D inverse cascades to deviate from the KLB predictions, but that the flow between the vortices exhibits KLB scaling and non-intermittent statistics for α=1 and α=2.

A new family of generalized distributions

Kumaraswamy [Generalized probability density-function for double-bounded random-processes, J. Hydrol. 462 (1980), pp. 79-88] introduced a distribution for double-bounded random processes with hydrological applications. For the first time, based on this distribution, we describe a new family of generalized distributions (denoted with the prefix `Kw`) to extend the normal, Weibull, gamma, Gumbel, inverse Gaussian distributions, among several well-known distributions. Some special distributions in the new family such as the Kw-normal, Kw-Weibull, Kw-gamma, Kw-Gumbel and Kw-inverse Gaussian distribution are discussed. We express the ordinary moments of any Kw generalized distribution as linear functions of probability weighted moments (PWMs) of the parent distribution. We also obtain the ordinary moments of order statistics as functions of PWMs of the baseline distribution. We use the method of maximum likelihood to fit the distributions in the new class and illustrate the potentiality of the new model with an application to real data.

A compound class of Weibull and power series distributions

In this paper we introduce the Weibull power series (WPS) class of distributions which is obtained by compounding Weibull and power series distributions where the compounding procedure follows same way that was previously carried out by Adamidis and Loukas (1998) This new class of distributions has as a particular case the two-parameter exponential power series (EPS) class of distributions (Chahkandi and Gawk 2009) which contains several lifetime models such as exponential geometric (Adamidis and Loukas 1998) exponential Poisson (Kus 2007) and exponential logarithmic (Tahmasbi and Rezaei 2008) distributions The hazard function of our class can be increasing decreasing and upside down bathtub shaped among others while the hazard function of an EPS distribution is only decreasing We obtain several properties of the WPS distributions such as moments order statistics estimation by maximum likelihood and inference for a large sample Furthermore the EM algorithm is also used to determine the maximum likelihood estimates of the parameters and we discuss maximum entropy characterizations under suitable constraints Special distributions are studied in some detail Applications to two real data sets are given to show the flexibility and potentiality of the new class of distributions (C) 2010 Elsevier B V All rights reserved

Benthic foraminiferal distribution on the southeastern Brazilian shelf and upper slope

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Bloch-Kohn and Wannier-Kohn functions in one dimension

Bloch and Wannier functions of the Kohn type for a quite general one-dimensional Hamiltonian with inversion symmetry are studied. Important clarifications on null minigaps and the symmetry of those functions are given, with emphasis on the Kronig-Penney model. The lack of a general selection rule on the miniband index for optical transitions between edge states in semiconductor superlattices is discussed. A direct method for the calculation of Wannier-Kohn functions is presented.

Balance, executive functions and falls in elderly with Alzheimer's disease (AD): A longitudinal study

Elderly individuals with AD are more susceptible to falls, which might be associated with decrements in their executive functions and balance, among other things. We aimed to analyze the effects of a program of dual task physical activity on falls, executive functions and balance of elderly individuals with AD. We studied 21 elderly with probable AD, allocated to two groups: the training group (TG), with 10 elderly who participated in a program of dual task physical activity; and the control group (CG), with 11 elderly who were not engaged in regular practice of physical activity. The Clock Drawing Test (CDT) and the Frontal Assessment Battery (FAB) were used in the assessment of the executive functions, while the Berg Balance Scale (BBS) and the Timed Up-and-Go (TUG)-test evaluated balance. The number of falls was obtained by means of a questionnaire. We observed a better performance of the TG as regards balance and executive functions. Moreover, the lower the number of steps in the TUG scale, the higher the scores in the CDT, and in the FAB. The practice of regular physical activity with dual task seems to have contributed to the maintenance and improvement of the motor and cognitive functions of the elderly with AD. (C) 2011 Elsevier B.V. All rights reserved.

Evaluating and classifying contaminated areas based on loss functions using annealing simulations

This paper presents a methodology based on geostatistical theory for quantifying the risks associated with heavy-metal contamination in the harbor area of Santana, Amapa State, Northern Brazil. In this area there were activities related to the commercialization of manganese ore from Serra do Navio. Manganese and arsenic concentrations at unsampled sites were estimated by postprocessing results from stochastic annealing simulations; the simulations were used to test different criteria for optimization, including average, median, and quantiles. For classifying areas as contaminated or uncontaminated, estimated quantiles based on functions of asymmetric loss showed better results than did estimates based on symmetric loss, such as the average or the median. The use of specific loss functions in the decision-making process can reduce the costs of remediation and health maintenance. The highest global health costs were observed for manganese. (c) 2008 Elsevier B.V. All rights reserved

The Poisson-exponential distribution: a Bayesian approach

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Pseudospin symmetry and the relativistic harmonic oscillator

A generalized relativistic harmonic oscillator for spin 1/2 particles is studied. The Dirac Hamiltonian contains a scalar S and a vector V quadratic potentials in the radial coordinate, as well as a tensor potential U linear in r. Setting either or both combinations Σ=5+V and δ=V-S to zero, analytical solutions for bound states of the corresponding Dirac equations are found. The eigenenergies and wave functions are presented and particular cases are discussed, devoting a special attention to the nonrelativistic limit and the case Σ=0, for which pseudospin symmetry is exact. We also show that the case U=δ=0 is the most natural generalization of the nonrelativistic harmonic oscillator. The radial node structure of the Dirac spinor is studied for several combinations of harmonic-oscillator potentials, and that study allows us to explain why nuclear intruder levels cannot be described in the framework of the relativistic harmonic oscillator in the pseudospin limit.

Quatérnios, operadores de Fueter e relações quaterniônicas transcendentais

Pós-graduação em Matemática - IBILCE

Modelling of the nitrogen deposition and dietary lysine requirements of Redbro broilers

The aim of this study was to determine the coefficients of the Goettingen model for Redbro birds and estimate the digestible lysine requirements. To determine the model parameters, three nitrogen balance trials were performed in Periods I (14-28 days), II (42-56 days) and III (70-84 days), using 42 birds per trial. The birds were individually housed and subjected to six diets with increasing levels of nitrogen, with lysine as the limiting amino acid (deficient by 20% in relation to other amino acids). Dietary nitrogen concentrations were 8, 16, 24, 32, 40 and 48 g/kg. A control diet was added to confirm lysine as the first limiting amino acid. Nitrogen balance trials were divided into 5 days of adaptation and two periods of excreta collection, each one of 5 days. The response of the birds to a control diet confirmed that lysine was the first limiting amino acid. The adjustment of the exponential functions between nitrogen retention or excretion and nitrogen intake allowed estimation of parameters of the Goettingen model. The maximum potential for nitrogen retention was 3276, 2585 and 2603 mg/BWkg0.67.day, nitrogen maintenance requirement was 225, 135 and 122 mg/BWkg0.67.day and efficiency of nitrogen utilisation was 313 x 10(-6), 406 x 10(-6) and 415 x 10(-6) in the phases of 14-28, 42-56 and 70-84 days. The digestible lysine intake for Periods I, II and III, based on 60% of the maximum potential for nitrogen retention, was 711, 989 and 1272 mg/day (1.225%, 1.137% and 1.09% of lysine in the diet for a daily feed intake of 58, 87 and 117 g/day), respectively.

Saddle Point and Second Order Optimality in Nondifferentiable Nonlinear Abstract Multiobjective Optimization

This article deals with a vector optimization problem with cone constraints in a Banach space setting. By making use of a real-valued Lagrangian and the concept of generalized subconvex-like functions, weakly efficient solutions are characterized through saddle point type conditions. The results, jointly with the notion of generalized Hessian (introduced in [Cominetti, R., Correa, R.: A generalized second-order derivative in nonsmooth optimization. SIAM J. Control Optim. 28, 789–809 (1990)]), are applied to achieve second order necessary and sufficient optimality conditions (without requiring twice differentiability for the objective and constraining functions) for the particular case when the functionals involved are defined on a general Banach space into finite dimensional ones.

Métodos numéricos para encontrar zeros de funções: aplicações para o Ensino Médio

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)