Diluted three-dimensional random field Ising model at zero temperature with metastable dynamics.

The influence of vacancy concentration on the behavior of the three-dimensional random field Ising model with metastable dynamics is studied. We have focused our analysis on the number of spanning avalanches which allows us a clear determination of the critical line where the hysteresis loops change from continuous to discontinuous. By a detailed finite-size scaling analysis we determine the phase diagram and numerically estimate the critical exponents along the whole critical line. Finally, we discuss the origin of the curvature of the critical line at high vacancy concentration.

Two and three nucleon induced photon absorption

We have investigated the mechanisms leading to two and three body photon absorption in nuclei. At photon energies around the pion production threshold we obtain a fraction of three body absorption of less than 10% of the total, contradicting previous theoretical claims that it dominates the absorption process. The strength of the three body channel grows smoothly with the photon energy reaching a maximum of about 60% of the total direct absorption at energies of the photon around 400 MeV.

Executive Order Number Seventy Three, May, 2011

The act adopting information technology in State government provides electronic access to government services and information to the people of Iowa.

Three-party entanglement from positronium

The decay of orthopositronium into three photons produces a physical realization of a pure state with three-party entanglement. Its quantum correlations are analyzed using recent results on quantum information theory, looking for the final state that has the maximal amount of Greenberger, Horne, and Zeilinger like correlations. This state allows for a statistical dismissal of local realism stronger than the one obtained using any entangled state of two spin one-half particles.

Quantum nonlocality in two three-level systems

Recently a new Bell inequality has been introduced by Collins et al. [Phys. Rev. Lett. 88, 040404 (2002)], which is strongly resistant to noise for maximally entangled states of two d-dimensional quantum systems. We prove that a larger violation, or equivalently a stronger resistance to noise, is found for a nonmaximally entangled state. It is shown that the resistance to noise is not a good measure of nonlocality and we introduce some other possible measures. The nonmaximally entangled state turns out to be more robust also for these alternative measures. From these results it follows that two von Neumann measurements per party may be not optimal for detecting nonlocality. For d=3,4, we point out some connections between this inequality and distillability. Indeed, we demonstrate that any state violating it, with the optimal von Neumann settings, is distillable.

Generalized Schmidt decomposition and classification of three-quantum-bit states

We prove for any pure three-quantum-bit state the existence of local bases which allow one to build a set of five orthogonal product states in terms of which the state can be written in a unique form. This leads to a canonical form which generalizes the two-quantum-bit Schmidt decomposition. It is uniquely characterized by the five entanglement parameters. It leads to a complete classification of the three-quantum-bit states. It shows that the right outcome of an adequate local measurement always erases all entanglement between the other two parties.

Three essays in financial economics: asset pricing, optimal portfolio selection and financial integration

Executive Summary The unifying theme of this thesis is the pursuit of a satisfactory ways to quantify the riskureward trade-off in financial economics. First in the context of a general asset pricing model, then across models and finally across country borders. The guiding principle in that pursuit was to seek innovative solutions by combining ideas from different fields in economics and broad scientific research. For example, in the first part of this thesis we sought a fruitful application of strong existence results in utility theory to topics in asset pricing. In the second part we implement an idea from the field of fuzzy set theory to the optimal portfolio selection problem, while the third part of this thesis is to the best of our knowledge, the first empirical application of some general results in asset pricing in incomplete markets to the important topic of measurement of financial integration. While the first two parts of this thesis effectively combine well-known ways to quantify the risk-reward trade-offs the third one can be viewed as an empirical verification of the usefulness of the so-called "good deal bounds" theory in designing risk-sensitive pricing bounds. Chapter 1 develops a discrete-time asset pricing model, based on a novel ordinally equivalent representation of recursive utility. To the best of our knowledge, we are the first to use a member of a novel class of recursive utility generators to construct a representative agent model to address some long-lasting issues in asset pricing. Applying strong representation results allows us to show that the model features countercyclical risk premia, for both consumption and financial risk, together with low and procyclical risk free rate. As the recursive utility used nests as a special case the well-known time-state separable utility, all results nest the corresponding ones from the standard model and thus shed light on its well-known shortcomings. The empirical investigation to support these theoretical results, however, showed that as long as one resorts to econometric methods based on approximating conditional moments with unconditional ones, it is not possible to distinguish the model we propose from the standard one. Chapter 2 is a join work with Sergei Sontchik. There we provide theoretical and empirical motivation for aggregation of performance measures. The main idea is that as it makes sense to apply several performance measures ex-post, it also makes sense to base optimal portfolio selection on ex-ante maximization of as many possible performance measures as desired. We thus offer a concrete algorithm for optimal portfolio selection via ex-ante optimization over different horizons of several risk-return trade-offs simultaneously. An empirical application of that algorithm, using seven popular performance measures, suggests that realized returns feature better distributional characteristics relative to those of realized returns from portfolio strategies optimal with respect to single performance measures. When comparing the distributions of realized returns we used two partial risk-reward orderings first and second order stochastic dominance. We first used the Kolmogorov Smirnov test to determine if the two distributions are indeed different, which combined with a visual inspection allowed us to demonstrate that the way we propose to aggregate performance measures leads to portfolio realized returns that first order stochastically dominate the ones that result from optimization only with respect to, for example, Treynor ratio and Jensen's alpha. We checked for second order stochastic dominance via point wise comparison of the so-called absolute Lorenz curve, or the sequence of expected shortfalls for a range of quantiles. As soon as the plot of the absolute Lorenz curve for the aggregated performance measures was above the one corresponding to each individual measure, we were tempted to conclude that the algorithm we propose leads to portfolio returns distribution that second order stochastically dominates virtually all performance measures considered. Chapter 3 proposes a measure of financial integration, based on recent advances in asset pricing in incomplete markets. Given a base market (a set of traded assets) and an index of another market, we propose to measure financial integration through time by the size of the spread between the pricing bounds of the market index, relative to the base market. The bigger the spread around country index A, viewed from market B, the less integrated markets A and B are. We investigate the presence of structural breaks in the size of the spread for EMU member country indices before and after the introduction of the Euro. We find evidence that both the level and the volatility of our financial integration measure increased after the introduction of the Euro. That counterintuitive result suggests the presence of an inherent weakness in the attempt to measure financial integration independently of economic fundamentals. Nevertheless, the results about the bounds on the risk free rate appear plausible from the view point of existing economic theory about the impact of integration on interest rates.

Three essays in risk management in financial institutions

The choice to adopt risk-sensitive measurement approaches for operational risks: the case of Advanced Measurement Approach under Basel II New Capital Accord This paper investigates the choice of the operational risk approach under Basel II requirements and whether the adoption of advanced risk measurement approaches allows banks to save capital. Among the three possible approaches for operational risk measurement, the Advanced Measurement Approach (AMA) is the most sophisticated and requires the use of historical loss data, the application of statistical tools, and the engagement of a highly qualified staff. Our results provide evidence that the adoption of AMA is contingent on the availability of bank resources and prior experience in risk-sensitive operational risk measurement practices. Moreover, banks that choose AMA exhibit low requirements for capital and, as a result might gain a competitive advantage compared to banks that opt for less sophisticated approaches. - Internal Risk Controls and their Impact on Bank Solvency Recent cases in financial sector showed the importance of risk management controls on risk taking and firm performance. Despite advances in the design and implementation of risk management mechanisms, there is little research on their impact on behavior and performance of firms. Based on data from a sample of 88 banks covering the period between 2004 and 2010, we provide evidence that internal risk controls impact the solvency of banks. In addition, our results show that the level of internal risk controls leads to a higher degree of solvency in banks with a major shareholder in contrast to widely-held banks. However, the relationship between internal risk controls and bank solvency is negatively affected by BHC growth strategies and external restrictions on bank activities, while the higher regulatory requirements for bank capital moderates positively this relationship. - The Impact of the Sophistication of Risk Measurement Approaches under Basel II on Bank Holding Companies Value Previous research showed the importance of external regulation on banks' behavior. Some inefficient standards may accentuate risk-taking in banks and provoke a financial crisis. Despite the growing literature on the potential effects of Basel II rules, there is little empirical research on the efficiency of risk-sensitive capital measurement approaches and their impact on bank profitability and market valuation. Based on data from a sample of 66 banks covering the period between 2008 and 2010, we provide evidence that prudential ratios computed under Basel II standards predict the value of banks. However, this relation is contingent on the degree of sophistication of risk measurement approaches that banks apply. Capital ratios are effective in predicting bank market valuation when banks adopt the advanced approaches to compute the value of their risk-weighted assets.

Comparison of three antigenic extracts of Eurotium amstelodami in serological diagnosis of farmer's lung disease.

In France and Finland, farmer's lung disease (FLD), a hypersensitivity pneumonitis common in agricultural areas, is mainly caused by Eurotium species. The presence of antibodies in patients' serum is an important criterion for diagnosis. Our study aimed to improve the serological diagnosis of FLD by using common fungal particles that pollute the farm environment as antigens. Fungal particles of the Eurotium species were observed in handled hay. A strain of Eurotium amstelodami was grown in vitro using selected culture media; and antigen extracts from sexual (ascospores), asexual (conidia), and vegetative (hyphae) forms were made. Antigens were tested by enzyme-linked immunosorbent assay (ELISA), which was used to test for immunoglobulin G antibodies from the sera of 17 FLD patients, 40 healthy exposed farmers, and 20 nonexposed controls. The antigens were compared by receiver operating characteristic analysis, and a threshold was then established. The ascospores contained in asci enclosed within cleistothecia were present in 38% of the hay blades observed; conidial heads of aspergillus were less prevalent. The same protocol was followed to make the three antigen extracts. A comparison of the results for FLD patients and exposed controls showed the area under the curve to be 0.850 for the ascospore antigen, 0.731 for the conidia, and 0.690 for the hyphae. The cutoffs that we determined, with the standard deviation for measures being taken into account, showed 67% for sensitivity and 92% for specificity with the ascospore antigen. In conclusion, the serological diagnosis of FLD by ELISA was improved by the adjunction of ascospore antigen.