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

Evaluation of water beef buffalo from birth to two years using different growth curves

The buffalo is a domestic animal species of growing world-wide importance. Research to improve genetic improvement programs is important to maintain the productivity of buffalo. The objective this research was to evaluate the growth of Brazilian buffalo to two years of age with different growth curves. Growth curves consolidate the information contained in the weight-age data into three or four biologically meaningful parameters. The data included 31,452 weights at birth and 120, 205, 365, 550 and 730 days of buffalo (n = 5,178) raised on pasture without supplementation. Logistic, Gompertz, quadratic logarithmic, and linear hyperbolic curves (designated L, G, QL, and LH, respectively) were fitted to the data by using proc NUN of SAS (SAS Institute, Inc., Cary, NC, USA). The parameters estimates for L [WT= A * (((1 + exp (-k * AGE)))**-m)] were A = 865.1 +/- 5.42; k= 0.0028 +/- 0.00002; M= 3.808 +/- 0.007; R(2) = 0.95. For G [WT= A * exp (-b * exp (-k * age)] the parameters estimates were A= 967.6 +/- 7.23; k = 0.00217 +/- 0.000015; b = -2.8152 +/- 0.00532. For QL [WT= A + b*age + k*(age*age) + m*log (age)] parameters estimates were A= 37.41 +/- 0.48; k= 0.00019 +/- 6.4E(-6); b= 0.539 +/- 0.006; m= 2.32 +/- 0.23; R(2)=0.96. For LH [WT= A + b*AGE + k*(1/AGE)] the parameters estimates were A= 23.15 +/- 0.44; k=15.16 +/- 0.66; b= 0.707 +/- 0.001; R(2)= 0.96. Each of these curves fit these data equally well and could be used for characterizing growth to two years in beef buffalo.

Curvas de lactação em rebanhos da raça holandesa no estado de Minas Gerais. Escolha do modelo de melhor ajuste

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Uso de modelos lineales y no lineales para el estudio de la curva de lactancia en búfalos Murrah y sus cruces en sistemas de cría extensiva en el estado de São Paulo

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

Use of mathematical models in the study of bodily growth in GIFT strain Nile tilapia

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

New combined serum creatinine and cystatin C quadratic formula for GFR assessment in children.

BACKGROUND AND OBJECTIVES: The estimated GFR (eGFR) is important in clinical practice. To find the best formula for eGFR, this study assessed the best model of correlation between sinistrin clearance (iGFR) and the solely or combined cystatin C (CysC)- and serum creatinine (SCreat)-derived models. It also evaluated the accuracy of the combined Schwartz formula across all GFR levels. DESIGN, SETTING, PARTICIPANTS, & MEASUREMENTS: Two hundred thirty-eight iGFRs performed between January 2012 and April 2013 for 238 children were analyzed. Regression techniques were used to fit the different equations used for eGFR (i.e., logarithmic, inverse, linear, and quadratic). The performance of each model was evaluated using the Cohen κ correlation coefficient and the percentage reaching 30% accuracy was calculated. RESULTS: The best model of correlation between iGFRs and CysC is linear; however, it presents a low κ coefficient (0.24) and is far below the Kidney Disease Outcomes Quality Initiative targets to be validated, with only 84% of eGFRs reaching accuracy of 30%. SCreat and iGFRs showed the best correlation in a fitted quadratic model with a κ coefficient of 0.53 and 93% accuracy. Adding CysC significantly (P<0.001) increased the κ coefficient to 0.56 and the quadratic model accuracy to 97%. Therefore, a combined SCreat and CysC quadratic formula was derived and internally validated using the cross-validation technique. This quadratic formula significantly outperformed the combined Schwartz formula, which was biased for an iGFR≥91 ml/min per 1.73 m(2). CONCLUSIONS: This study allowed deriving a new combined SCreat and CysC quadratic formula that could replace the combined Schwartz formula, which is accurate only for children with moderate chronic kidney disease.

Logarithmic contribution to the electrical resistivity in (Ru(1-x)Ir(x))Sr(2)GdCu(2)O(8) compounds

A systematic study of magnetoresistance and dc magnetization was conducted in polycrystalline (Ru(1-x)Ir(x))Sr(2)GdCu(2)O(8) [(Ru,Ir)-1212] compounds, for 0 <= x <= 0.15. We found that a deviation from linearity in the normal-state electrical resistivity (rho) curves for temperatures below the magnetic transition temperature T(M) < 130 K can be properly described by a logarithmic term. The prefactor C(x, H) of this anomalous ln T contribution to rho(T) increases linearly with the Ir concentration, and diminishes rapidly with increasing applied magnetic field up to H approximate to 4 T, merging with the C(0,H) curve at higher magnetic fields. Correlation with magnetic susceptibility measurements supports a scenario of local perturbations in the orientation of Ru moments induced in the neighborhood of the Ir ions, therefore acting as scattering centers. The linear dependence of the prefactor C(x,H=0) and the superconducting transition temperature T(SC) on x points to a common source for the resistivity anomaly and the reduction in T(SC), suggesting that the CuO(2) and RuO(2) layers are not decoupled.

Modulational Instability in Periodic Quadratic Nonlinear Materials

We investigate the modulational instability of plane waves in quadratic nonlinear materials with linear and nonlinear quasi-phase-matching gratings. Exact Floquet calculations, confirmed by numerical simulations, show that the periodicity can drastically alter the gain spectrum but never completely removes the instability. The low-frequency part of the gain spectrum is accurately predicted by an averaged theory and disappears for certain gratings. The high-frequency part is related to the inherent gain of the homogeneous non-phase-matched material and is a consistent spectral feature.

Theory of modulational instability in Bragg gratings with quadratic nonlinearity

Modulational instability in optical Bragg gratings with a quadratic nonlinearity is studied. The electric field in such structures consists of forward and backward propagating components at the fundamental frequency and its second harmonic. Analytic continuous wave (CW) solutions are obtained, and the intricate complexity of their stability, due to the large number of equations and number of free parameters, is revealed. The stability boundaries are rich in structures and often cannot be described by a simple relationship. In most cases, the CW solutions are unstable. However, stable regions are found in the nonlinear Schrodinger equation limit, and also when the grating strength for the second harmonic is stronger than that of the first harmonic. Stable CW solutions usually require a low intensity. The analysis is confirmed by directly simulating the governing equations. The stable regions found have possible applications in second-harmonic generation and dark solitons, while the unstable regions maybe useful in the generation of ultrafast pulse trains at relatively low intensities. [S1063-651X(99)03005-6].

Strategic trade policy under uncertainty: Sufficient conditions for the optimality of ad valorem, specific and quadratic trade taxes

In most previous work on strategic trade policy the form of government intervention has been prescribed in advance. In this paper, we apply a solution concept discussed by Klemperer and Meyer for games in which the strategy space consists of the class of all (non state-contingent) price quantity schedules. We examine a series of specific assumptions on demand and supply conditions and derive the associated equilibrium trade policies. We derive welfare implications for all cases examined.

Spatiotemporal solitons in multidimensional optical media with a quadratic nonlinearity

We consider solutions to the second-harmonic generation equations in two-and three-dimensional dispersive media in the form of solitons localized in space and time. As is known, collapse does not take place in these models, which is why the solitons may be stable. The general solution is obtained in an approximate analytical form by means of a variational approach, which also allows the stability of the solutions to be predicted. Then, we directly simulate the two-dimensional case, taking the initial configuration as suggested by the variational approximation. We thus demonstrate that spatiotemporal solitons indeed exist and are stable. Furthermore, they are not, in the general case, equivalent to the previously known cylindrical spatial solitons. Direct simulations generate solitons with some internal oscillations. However, these oscillations neither grow nor do they exhibit any significant radiative damping. Numerical solutions of the stationary version of the equations produce the same solitons in their unperturbed form, i.e., without internal oscillations. Strictly stable solitons exist only if the system has anomalous dispersion at both the fundamental harmonic and second harmonic (SH), including the case of zero dispersion at SH. Quasistationary solitons, decaying extremely slowly into radiation, are found in the presence of weak normal dispersion at the second-harmonic frequency.

Scheduling of head-dependent cascaded hydro systems: Mixed-integer quadratic programming approach

This paper is on the problem of short-term hydro, scheduling, particularly concerning head-dependent cascaded hydro systems. We propose a novel mixed-integer quadratic programming approach, considering not only head-dependency, but also discontinuous operating regions and discharge ramping constraints. Thus, an enhanced short-term hydro scheduling is provided due to the more realistic modeling presented in this paper. Numerical results from two case studies, based on Portuguese cascaded hydro systems, illustrate the proficiency of the proposed approach.

Benzo[c]thiophene chromophores linked to cationic Fe and Ru derivatives for NLO materials: synthesis characterization and quadratic hyperpolarizabilities

5-Monocyclopentadienyliron(II)/ruthenium(II) complexes of the general formula [M(5-C5H5)(PP)(L1)][PF6] {M = Fe, PP = dppe; M = Ru, PP = dppe or 2PPh3; L1 = 5-[3-(thiophen-2-yl)benzo[c]thiophenyl]thiophene-2-carbonitrile} have been synthesized and studied to evaluate their molecular quadratic hyperpolarizabilities. The compounds were fully characterized by NMR, FTIR and UV/Vis spectroscopy and their electrochemical behaviour studied by cyclic voltammetry. Quadratic hyperpolarizabilities () were determined by hyper-Rayleigh scattering measurements at a fundamental wavelength of 1500 nm. Density functional theory calculations were employed to rationalize the second-order non-linear optical properties of these complexes.

Uncertainty in a mixed duopoly with quadratic costs

In this paper, we consider a mixed market with uncertain demand, involving one private firm and one public firm with quadratic costs. The model is a two-stage game in which players choose to make their output decisions either in stage 1 or stage 2. We assume that the demand is unknown until the end of the first stage. We compute the output levels at equilibrium in each possible role. We also determine ex-ante and ex-post firms’ payoff functions.

An efficient numerical scheme for solving multi-dimensional fractional optimal control problems with a quadratic performance index

The shifted Legendre orthogonal polynomials are used for the numerical solution of a new formulation for the multi-dimensional fractional optimal control problem (M-DFOCP) with a quadratic performance index. The fractional derivatives are described in the Caputo sense. The Lagrange multiplier method for the constrained extremum and the operational matrix of fractional integrals are used together with the help of the properties of the shifted Legendre orthonormal polynomials. The method reduces the M-DFOCP to a simpler problem that consists of solving a system of algebraic equations. For confirming the efficiency and accuracy of the proposed scheme, some test problems are implemented with their approximate solutions.