On certain geometric aspects of portfolio optimisation with higher moments

We discuss geometric properties related to the minimisation of a portfolio kurtosis given its first two odd moments, considering a risk-less asset and allowing for short sales. The findings are generalised for the minimisation of any given even portfolio moment with fixed excess return and skewness, and then for the case in which only excess return is constrained. An example with two risky assets provides a better insight on the problems related to the solutions. The importance of the geometric properties and their use in the higher moments portfolio choice context is highlighted.

Finding a maximum skewness portfolio - A general solution to three-moments portfolio choice

Considering the three first moments and allowing short sales, the efficient portfolios set for n risky assets and a riskless one is found, supposing that agents like odd moments and dislike even ones. Analytical formulas for the solution surface are obtained and important geometric properties provide insights on its shape in the three dimensional space defined by the moments. A special duality result is needed and proved. The methodology is general, comprising situations in which, for instance, the investor trades a negative skewness for a higher expected return. Computation of the optimum portfolio weights is feasible in most cases.

Um modelo matemático baseado em wavelets para análise do método térmico de recuperação de óleo pesado aplicando irradiação eletromagnética

This work proposes a model to investigate the use of a cylindrical antenna used in the thermal method of recovering through electromagnetic radiation of high-viscosity oil. The antenna has a simple geometry, adapted dipole type, and it can be modelled by using Maxwell s equation. The wavelet transforms are used as basis functions and applied in conjunction with the method of moments to obtain the current distribution in the antenna. The electric field, power and temperature distribution are carefully calculated for the analysis of the antenna as electromagnetic heating. The energy performance is analyzed based on thermo-fluid dynamic simulations at field scale, and through the adaptation in the Steam Thermal and Advanced Processes Reservoir Simulator (STARS) by Computer Modelling Group (CMG). The model proposed and the numerical results obtained are stable and presented good agreement with the results reported in the specialized literature

Análise e síntese de antenas e superfícies seletivas de frequência utilizando computação evolucionária e inteligência de enxames

The frequency selective surfaces, or FSS (Frequency Selective Surfaces), are structures consisting of periodic arrays of conductive elements, called patches, which are usually very thin and they are printed on dielectric layers, or by openings perforated on very thin metallic surfaces, for applications in bands of microwave and millimeter waves. These structures are often used in aircraft, missiles, satellites, radomes, antennae reflector, high gain antennas and microwave ovens, for example. The use of these structures has as main objective filter frequency bands that can be broadcast or rejection, depending on the specificity of the required application. In turn, the modern communication systems such as GSM (Global System for Mobile Communications), RFID (Radio Frequency Identification), Bluetooth, Wi-Fi and WiMAX, whose services are highly demanded by society, have required the development of antennas having, as its main features, and low cost profile, and reduced dimensions and weight. In this context, the microstrip antenna is presented as an excellent choice for communications systems today, because (in addition to meeting the requirements mentioned intrinsically) planar structures are easy to manufacture and integration with other components in microwave circuits. Consequently, the analysis and synthesis of these devices mainly, due to the high possibility of shapes, size and frequency of its elements has been carried out by full-wave models, such as the finite element method, the method of moments and finite difference time domain. However, these methods require an accurate despite great computational effort. In this context, computational intelligence (CI) has been used successfully in the design and optimization of microwave planar structures, as an auxiliary tool and very appropriate, given the complexity of the geometry of the antennas and the FSS considered. The computational intelligence is inspired by natural phenomena such as learning, perception and decision, using techniques such as artificial neural networks, fuzzy logic, fractal geometry and evolutionary computation. This work makes a study of application of computational intelligence using meta-heuristics such as genetic algorithms and swarm intelligence optimization of antennas and frequency selective surfaces. Genetic algorithms are computational search methods based on the theory of natural selection proposed by Darwin and genetics used to solve complex problems, eg, problems where the search space grows with the size of the problem. The particle swarm optimization characteristics including the use of intelligence collectively being applied to optimization problems in many areas of research. The main objective of this work is the use of computational intelligence, the analysis and synthesis of antennas and FSS. We considered the structures of a microstrip planar monopole, ring type, and a cross-dipole FSS. We developed algorithms and optimization results obtained for optimized geometries of antennas and FSS considered. To validate results were designed, constructed and measured several prototypes. The measured results showed excellent agreement with the simulated. Moreover, the results obtained in this study were compared to those simulated using a commercial software has been also observed an excellent agreement. Specifically, the efficiency of techniques used were CI evidenced by simulated and measured, aiming at optimizing the bandwidth of an antenna for wideband operation or UWB (Ultra Wideband), using a genetic algorithm and optimizing the bandwidth, by specifying the length of the air gap between two frequency selective surfaces, using an optimization algorithm particle swarm

Photo-Induced Dipole Relaxation Current in Natural Amethyst

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Kondo-attractive-Hubbard model for the ordering of local magnetic moments in superconductors

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

On the stabilising effect of gyroscopic moments in an automotive turbocharger

Automotive turbochargers, which operate at very high speeds, exceeding 180,000 r/min, exhibit two strong sub-harmonic modes of vibrations due to oil-whirl instability. These are a conical mode and an in-phase whirl mode. The gyroscopic effects can be very important in such a rotor system. This article presents a theoretical investigation into these effects on the conical whirl instability of a turbocharger induced by the angular (tilting) motion of a rigid rotor. A simplified linear model is used to analyse the rotor-bearing system by investigating the effects of the gyroscopic moment on the internal moments. A gyroscopic coefficient, defined by the geometry of the rotor, is shown to govern the stability of the conical whirl motion. A threshold value of 1/2 is determined for this coefficient to suppress the conical whirl. This value remains unaffected if the rotor is asymmetric and is supported by floating ring bearings, which is the case in a practical turbocharger.

Laguerre moments and generalized functions

Here we explore the link between the moments of the Laguerre polynomials or Laguerre moments and the generalized functions (as the Dirac delta-function and its derivatives), presenting several interesting relations. A useful application is related to a procedure for calculating mean values in quantum optics that makes use of the so-called quasi-probabilities. One of them, the P-distribution, can be represented by a sum over Laguerre moments when the electromagnetic field is in a photon-number state. Consequently, the P-distribution can be expressed in terms of Dirac delta-function and derivatives. More specifically, we found a direct relation between P-distributions and the Laguerre factorial moments.

A path integral approach to the full Dicke model with dipole-dipole interaction

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Nucleon magnetic moments in light-front models with quark mass asymmetries

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

Effects of oscillatory behavior of the dipole function on the dissociation dynamics of the classical driven Morse oscillator

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

SEMICLASSICAL ESTIMATE OF THE COULOMB-EXCITATION OF THE GIANT-DIPOLE RESONANCE IN PB-208

A semiclassical approach to study pure Coulomb excitation of Pb-208 giant dipole isovector resonance is examined. We consider medium energy projectiles and assume the target excitation to be described by a simple Goldhaber-Teller model. It is shown that the main features concerning the angular distribution are obtained in the angular range described by the model and an estimate is made of the pure Coulomb dipole contribution to the measured cross sections.

Dipole relaxation current in n-type AlxGa1-xAs

We report for the first time the thermally stimulated depolarization current (TSDC) spectrum for a direct band-gap AlGaAs sample, where the presence of DX centers is clearly observed by photoconductivity measurements. A TSDC band is obtained, revealing the presence of dipoles, which could be attributed to DX--d+ pairs as indeed predicted by O'Reilly [Appl. Phys. Lett. 55, 1409 (1989)]. The data are fitted by relaxation time distribution approach yielding an average activation energy of 0.108 eV. This is the most striking feature of our data, since this energy has approximately the same value of the DX center binding energy.