s p o n s o r e d   l i n k s

Search

Your search yielded no results

  • Check if your spelling is correct.
  • Remove quotes around phrases to match each word individually: "blue smurf" will match less than blue smurf.
  • Consider loosening your query with OR: blue smurf will match less than blue OR smurf.

Ebook Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets

Submitted by wulan on Fri, 01/29/2010 - 06:19

A standard service of investment banks is the execution of large trades. Unlike for small trades, the liquidation of a large portfolio is a very complex task: an immediate execution is often not possible or only at a very high cost due to insufficient liquidity. Significant added value therefore lies in the experience in exercising an order in a way that minimizes execution costs for the client. Triggered by the introduction of electronic trading systems by many exchanges, automatic order execution has become an alternative to manually worked orders.

Our goal in this paper is to determine the adaptive trading strategy that maximizes the expected utility of the proceeds of an asset sale1. We address this question in the continuous-time liquidity model introduced by Almgren (2003) with an infinite time horizon and linear price impact (see also Bertsimas and Lo (1998), Almgren and Chriss (1999), and Almgren and Chriss (2001) for discrete-time precursors of this model). Since we consider a wide range of utility functions, we cannot hope to find closed-form solutions for the optimal trading strategies. Instead, we pursue a stochastic control approach and show that the value function and optimal control satisfy certain nonlinear parabolic partial differential equations. These PDEs can be solved numerically, thus providing a computational solution of the problem. But perhaps even more importantly, the PDE characterization facilitates a qualitative sensitivity analysis of the optimal strategy and the value function.

»

Ebook Dietary Supplements For Weight Loss: Limited Federal Oversight Has Focused More On Marketing Than On Safety

Submitted by antoq on Wed, 07/15/2009 - 05:52

More than half of U.S. adults are overweight or obese, and more than one-third of U.S. adults are trying to lose weight. Increasingly, they are turning to weight loss supplements for help. The most widely used weight loss supplement is ephedra, or ma huang. The active ingredients in ephedra-ephedrine alkaloids—are compounds with potentially powerful stimulant effects on the nervous and cardiovascular systems. The dietary supplement industry estimates that as many as 3 billion servings of ephedra are sold each year in the United States and approximately 12 million individuals were using ephedra in 1999.

FDA regulates dietary supplements under DSHEA, which covers vitamins, minerals, herbs or other botanicals, amino acids, certain dietary substances, or derivatives of these items. A product that contains any active ingredient not on the preceding list—such as synthetic ingredients that are sold in over-the-counter drugs and prescription medications—may not be marketed as a dietary supplement. DSHEA requires that dietary supplement labels include complete lists of ingredients and the amount of each ingredient in the product. Products may be labeled as “proprietary blends” and must list all ingredients but do not need to list the amount of each ingredient. In addition, dietary supplements cannot be promoted as a treatment, prevention, or cure for a specific disease or condition. To the extent that therapeutic claims are made, FDA may take action.

»

PDF Ebook Automatic Lighting Design using a Perceptual Quality Metric

Submitted by antoq on Mon, 01/11/2010 - 07:12

Lighting has a crucial impact on the appearance of 3D objects and on the ability of an image to communicate information about a 3D scene to a human observer. This work presents a new automatic lighting design approach for comprehensible rendering of 3D objects. Given a geometric model of a 3D object or scene, the material properties of the surfaces in the model, and the desired viewing parameters, our approach automatically determines the values of various lighting parameters by optimizing a perception-based image quality objective function. This objective function is designed to quantify the extent to which an image of a 3D scene succeeds in communicating scene information, such as the 3D shapes of the objects, fine geometric details, and the spatial relationships between the objects. Our results demonstrate that the proposed approach is an effective lighting design tool, suitable for users without expertise or knowledge in visual perception or in lighting design.

Lighting design for image synthesis involves specifying values for lighting parameters, such as position, color, and intensity, for each of the light sources in a 3D scene model. Once the scene geometry, the material properties, and the viewing parameters have been specified, the appearance of the scene in a rendered image depends exclusively on the lighting. Poorly designed lighting may result in incomprehensible images, containing under- and over-illuminated regions, exhibiting poor contrast, and failing to effectively communicate the three-dimensional structure of the scene to a human observer.

»

Get Updates By Email:

Enter your email address:

Delivered by FeedBurner