Continuous time mean-variance portfolio optimization through the mean field approach

A simple mean-variance portfolio optimization problem in continuous time is solved using the mean field approach. In this approach, the original optimal control problem, which is time inconsistent, is viewed as the McKean\u2013Vlasov limit of a family of controlled many-component weakly interacting systems. The prelimit problems are solved by dynamic programming, and the solution to the original problem is obtained by passage to the limit

A Stochastic Volatility Model With Realized Measures for Option Pricing

Based on the fact that realized measures of volatility are affected by measurement errors, we introduce a new family of discrete-time stochastic volatility models having two measurement equations relating both observed returns and realized measures to the latent conditional variance. A semi-analytical option pricing framework is developed for this class of models. In addition, we provide analytical filtering and smoothing recursions for the basic specification of the model, and an effective MCMC algorithm for its richer variants. The empirical analysis shows the effectiveness of filtering and smoothing realized measures in inflating the latent volatility persistence—the crucial parameter in pricing Standard and Poor’s 500 Index options

L'oggetto di esperienza come processo di totalizzazione. Considerazioni sull'essenza spirituale nel sapere assoluto

The article examines the meaning of spiritual essence within absolute knowing. The analysis presented will shed light on the logical and phenomenological difference between the object of experience and the object of consciousness. The form of spiritual essence is introduced through a syllogistic structure and seems to determinate the scientific character of absolute knowing. Hegel's conception of syllogism in the Phenomenology is not the one of his mature works, but proves to be more articulate than the syllogism as it was conceived in the Jena period. The syllogistic structure of spiritual essence discloses the logical dimension beneath the phenomenological path

Sul problema della Sezione "Oggettività" nella Scienza della Logica di Hegel

There is a place in the Hegelian system where the notion of Objectivity is explicitly articulated. One entire section in the Science of Logic is entitled ‘Objectivity’, almost suggesting that that would be the appropriate place to unveil the question of the notion of objective thought. However, precisely that section, its content and its presence have always represented a problematic knot in the Hegelian logical system. The problem is two-fold: on the one hand, the categories of this section (Mechanism, Chemism and Teleology) seem to refer to the realm of the Realphilosophie, and they seem not to respect the purity of logical thought. This makes the connection between such section and the remaining Hegelian system uncertain and questionable. On the other hand, the Objectivity section does not seem to present any character which determines its logical advancement over Subjectivity. This contribution focuses on the interpretation of the origin of this section and on the logical meaning that “objectivity” has in the Logic. This paper explores the roots of the problem attempting to undo a few of its theoretical knots via a particular interpretation of the Syllogism. The underlying thesis in this analysis is in fact that the section on Objectivity originates precisely in the internal dynamics of the Syllogism. The forms of self-reflection in the Syllogism justify the presence of the section Objectivity. In this context, Objectivity does not present itself with the characters of immediacy and externality that are normally attributed to it, but it expresses the result of the syllogistic process. The second fundamental aspect of this short analysis is that Mechanism, Chemism and Teleology as categories are not directly exported from the Realphilosophie. They are rather organizational forms in the relationships among concepts. Thus, they don’t figure as abstractions from the proper structures of nature and spirit. Rather, they express the relational structures reached by thought once the syllogism has been able to manifest a yet occult rational capacity of thought

Il gradiente implicito nella verifica a fatica di giunzioni saldate sollecitate a fatica

L’incremento delle potenzialità di strumenti per la progettazione assistita (come modellatori solidi e strumenti per FEA in grado di gestire modelli molto complessi) permette di ipotizzare lo sviluppo di strumenti numerici specifici per la previsione della resistenza a fatica delle giunzioni saldate. Tali strumenti potrebbero essere in grado di valutare l’influenza di geometria e carichi senza la necessità di elaborazioni successive, e spesso, del progettista (come nelle tensioni di Hot Spot). Il presente lavoro propone una metodologia di calcolo adatta alla previsione della vita a fatica di giunzioni saldate complesse. Un indice di resistenza è ottenuto innanzitutto risolvendo il problema tensionale completamente in modo numerico (agli elementi finiti) . La previsione della resistenza a fatica, è calcolata facendo uso di un modello analitico basato sul gradiente implicito che assume come tensione efficace la tensione equivalente non locale derivante dalla tensione principale. Dapprima verrà tarato il metodo su prove sperimentali eseguite su giunzioni saldate a croce, successivamente il metodo verrà utilizzato per la verifica a fatica di giunzioni saldate più complesse a sviluppo tridimensionale

Previsione della resistenza a fatica in saldature per punti attraverso modellazione solida

Nel presente lavoro vengono messi a confronto due metodi idonei per la verifica di giunzionisaldate per punti: il metodo del raggio di raccordo fittizio ed il metodo del gradiente implicito. Il primo imponeun raggio di raccordo diverso da zero al piede o alla radice del cordone di saldatura, il secondo, invece,considera più semplicemente la saldatura come un intaglio acuto. Il confronto è fatto sulla capacità di prevederel’affidabilità di giunti saldati per punti in acciaio aventi spessore variabile da 0.8 a 1.5 mm. Tali giunti sonosollecitati a taglio (giunti a semplice sovrapposizione) o a trazione (giunti a tazza). Infine, è discussa lacondizione di convergenza delle analisi numeriche necessarie, in entrambi i metodi, per il calcolo di una tensioneequivalente da porre a confronto direttamente con la di resistenza a fatica del materiale

A brittle fracture criterion for PMMA V-notches tensile specimens based on a length-enriched eXtended Finite Element approach

A criterion for the prediction of the static failure loads in tensile PMMA specimens with sharp notches is presented. The proposed criterion is based on a regularized version of the eXtended Finite Element Method (XFEM), which has been previously applied to concrete-like materials. The main feature of the proposed approach is that the cracking process is not treated as a local process, but it is modeled by assuming that macro-cracks stem from the interaction of micro-cracks within a finite width process zone. The case of a brittle materials with thin process zone is tackled by assuming one layer of enriched finite elements. Preliminary results concerning PMMA specimens subjected to mode-one loading are presented

Catalytic zinc complexes for phosphate diester hydrolysis

Creating efficient artificial catalysts that can compete with biocatalysis has been an enduring challenge which has yet to be met. Reported herein is the synthesis and characterization of a series of zinc complexes designed to catalyze the hydrolysis of phosphate diesters. By introducing a hydrated aldehyde into the ligand we achieve turnover for DNA-like substrates which, combined with ligand methylation, increases reactivity by two orders of magnitude. In contrast to current orthodoxy and mechanistic explanations, we propose a mechanism where the nucleophile is not coordinated to the metal ion, but involves a tautomer with a more effective Lewis acid and more reactive nucleophile. This data suggests a new strategy for creating more efficient metal ion based catalysts, and highlights a possible mode of action for metalloenzymes

A closed form for the Stress Intensity Factor of a small embedded square-like flaw

In the present work, the stress intensity factor (SIF) of a small embedded square-like flaw is calculated by means of a procedure based on the Oore-Burns integral. An explicit equation is given to evaluate the SIF along the two axes of symmetry that correspond to the points where the SIF takes its maximum and minimum value on the contour crack. The SIF is calculated in accordance with FE numerical results