564 research outputs found
A Study Of Arbitrage Opportunities In Financial Markets Without Martingale Measures
Full text linkThis Ph.D. thesis consists of four dependent chapters and is devoted to a systematic study of arbitrage opportunities, with particular attention to general and incomplete market models with cadlag semimartingales.
In Chapter 1, we state our motivation, and then briefly review the theory of no arbitrage, and the previous studies of arbitrage opportunities in the literature. We introduce a general framework, which will be used throughout this dissertation. We discuss no-arbitrage conditions, utility optimization problems and recall results from the literature. Finally, we state three research questions and summarize new results.
Chapter 2 solves the problem of finding arbitrages when investors are heterogeneous in the sense that their beliefs correspond to non-equivalent probabilities. Optimal arbitrage profit and the corresponding strategy are carefully investigated by techniques of non-equivalent measure changes. We also discuss the financial
implications of this study and give some meaningful examples. In contrast to typical Brownian models in which arbitrages (if exist) are fragile, some of our arbitrage examples are shown to be robust if market’s frictions such as transaction costs and model misspecification are taken into account.
In Chapter 3, we study the problem of optimal investment with the possibility of intermediate consumption and stochastic field utility. We show that the no unbounded profit with bounded risk condition suffices to establish the key duality relations of utility maximization.
In Chapter 4, we investigate insider trading activities. Suppose that there exists an insider, who has access to some private information at the beginning of trading. Financial mathematics uses the terminology ”initial enlargement of filtration” to explain this circumstance. We first consider the problem of logarithmic utility optimization for the insider. We are able to characterize the insider’s expected utility by duality method and hence give a new sufficient condition for the condition no unbounded profit with bounded risk. Thanks to the tools of non-equivalent measure changes in Chapter 2, we compute the superhedging price of any claim in the view of the insider and examine the question of optimal arbitrage profit
Market models with optimal arbitrage
Full text linkWe construct and study market models admitting optimal arbitrage. We say that a model admits optimal arbitrage if it is possible, in a zero-interest rate setting, starting with an initial wealth of 1 and using only positive portfolios, to superreplicate a constant c > 1. The optimal arbitrage strategy is the strategy for which this constant has the highest possible value. Our definition of optimal arbitrage is similar to the one in Fernholz and Karatzas (2010), where optimal relative arbitrage with respect to the market portfolio is studied. In this work we present a systematic method to construct market models where the optimal arbitrage strategy exists and is known explicitly. We then develop several new examples of market models with arbitrage, which are based on economic agents’ views concerning the impossibility of certain events rather than ad hoc constructions. We also explore the robustness of arbitrage strategies with respect to small perturbations of the price process, and provide new examples of arbitrage models which are robust in this sense
Chalybion bengalense 1845
No full textChalybion bengalense (Dahlbom, 1845) (Fig. 11) Material examined: VIETNAM: Son La: 3 ♀♀, 1 ♂, Chieu Village, Muong Thai, Ham Yen, 10.viii.2017; 2 ♀♀, 5 ♂♂, Son La city, 17.v.2017, Phong Huy Pham; 1 ♀, 3 ♂♂, Son La city, 1-20.viii.2017, Long Dang Khuat. Hoa Binh: 2 ♀♀, 1 ♂, Tan Lac, Yen Thuy, 3.viii.2017, Phong Huy Pham; 1 ♂, Tan Son, Mai Chau, 10-15.v.2001, Malaise trap, Long Dang Khuat; 1 ♀, 2 ♂♂, Lac village, Mai Chau town, Mai Chau, 12.v.2019, Phong Huy Pham. Lao Cai: 2 ♂♂, about 30 km east of Lao Cai city, near Hanoi-Laocai highway, 21.ix.2017, Phong Huy Pham. Yen Bai: 2 ♂♂, Yen Bai city, 14.ii.2015, emerged from a nest, Phong Huy Pham. Distribution: Vietnam: Sai Gon, Vung Tau (Dollfuss 2016), Da Nang (Tano & Kurokawa 2015), Hanoi, Thai Binh, Vinh Phuc, Nam Dinh, Son La, Hoa Binh, Ninh Binh, Thai Nguyen, Hung Yen, Quang Ninh, Bac Ninh, Lao Cai, Hai Duong, Phu Tho, Thanh Hoa, Nghe An, Quang Ngai, Kon Tum, Dac Lak (Pham 2018). Elsewhere: South Africa, Tanzania, Madagascar (Mascarenes, Seychelles islands), Ethiopia, Yemen (Socotra island), Maldives, Eritrea, Mozambique, Bangladesh, Iraq, Egypt, Greece, Nepal, Italy, French Polynesia, Sri Lanka, India, Myanmar, Malaysia, Singapore, Thailand, China, Taiwan, Japan, Philippines (Volcano island), Indonesia (Ternate, Misool, Lesser Sunda island), Timor, Kiribati (Gilbert island), Guam, Mauritius (Chagos Archipelago), Australia, United State.Published as part of Pham, Phong Huy, Ohl, Michael & Truong, Lam Xuan, 2019, The genus Chalybion Dahlbom, 1843 (Hymenoptera: Sphecidae) from Northwest Vietnam, with description of a new species, pp. 202-210 in Zootaxa 4712 (2) on page 204, DOI: 10.11646/zootaxa.4712.2.2, http://zenodo.org/record/358701
Optimal investment with intermediate consumption under no unbounded profit with bounded risk
Full text linkWe consider the problem of optimal investment with intermediate consumption in a general semimartingale model of an incomplete market, with preferences being represented by a utility stochastic field. We show that the key conclusions of the utility maximization theory hold under the assumptions of no unbounded profit with bounded risk and of the finiteness of both primal and dual value functions. Copyright © 2017 Applied Probability Trust
Factors Affecting the Effectiveness of the Rubber Latex Quality Management System in Lai Chau Rubber Joint Stock Company
No full textThe article has a general assessment of the status of rubber latex quality management in Lai Chau Rubber Joint Stock Company. At the same time, the article has a history of surveying employees in the company to assess the factors affecting the effectiveness of the rubber latex quality management system in Lai Chau Rubber Joint Stock Company
The value of informational arbitrage
Full text linkIn the context of a general semimartingale model, we aim at determining how much an investor is willing to pay to learn additional information that allows achieving arbitrage. If such a value exists, we call it the value of informational arbitrage. We are interested in the case where the information yields arbitrage opportunities but not unbounded profits with bounded risk. As in Amendinger et al. (Finance Stoch. 7:29–46, 2003), we rely on an indifference valuation approach and study optimal consumption–investment problems under initial information and arbitrage. We establish some new results on models with additional information and characterise when the value of informational arbitrage is universal
Monoclonal antibody-based enzyme-linked immunosorbent assay for quantification of majonoside R2 as an authentication marker for Nngoc Linh and Lai Chau ginsengs
No full textBackground: Recent years have witnessed increasing interest in the high amount of ocotillol-type saponin in Panax vietnamensis, particularly in relation to majonoside R2 (MR2). This unique 3%–5% MR2 content impart Ngoc Linh and Lai Chau ginsengs with unique pharmacological activities. However, in the commercial domain, unauthentic species have infiltrated and significantly hindered access to the authentic, efficacious variety. Thus, suitable analytical techniques for distinguishing authentic Vietnamese ginseng species from others is becoming increasingly crucial. Therefore, MR2 is attracting considerable attention as a target requiring effective management measures. Methods: An enzyme-linked immunosorbent assay (ELISA) was developed by producing monoclonal antibodies against MR2 (mAb 16E11). The method was thoroughly validated, and the potential of the immunoassay was confirmed by high-performance liquid chromatography with ultraviolet spectroscopy. Furthermore, ELISA was applied to the assessment of the MR2 concentrations of various Panax spp., including Korean, American, and Japanese ginsengs. Results and conclusions: An icELISA using mAb 16E11 exhibited linearity between 3.91 and 250 ng/mL of MR2, with detection and quantification limits of 1.53 and 2.50 − 46.6 ng/mL, respectively. Based on this study, the developed icELISA using mAb 16E11 could be a valuable tool for analyzing MR2 level to distinguish authentic Ngoc Linh and Lai Chau ginsengs from unauthentic ones. Furthermore, the analysis of the samples demonstrated that Ngoc Linh and Lai Chau ginsengs exhibit a notably higher MR2 value than all other Panax spp. Thus, MR2 might be their ideal marker compound, and various bioactivities of this species should be explored
Mining cytochrome p450 genes through next generation sequencing and metagenomic analysis from Binh Chau hot spring
Full text linkCytochrome P450s (CYPs) are one of the largest distributed enzymes, which catalyze more than 20 different reactions. At present, there has been an increasing realization of the power of P450 biocatalysts for the industrial synthesis of pharmaceuticals, agrochemicals, bulk chemicals, food ingredients, etc. On the other hand, the conditions of industrial processes at high temperature, high-pressure or in chemical solvent require the enzymes, which catalyze the bioconversion, have a specific properties such as thermostability, chemical tolerance or barophilicity. Up to date, the number of thermostable P450s is limited. Nowadays, DNA-metagenome technique gives us a chance to catch novel genes and unique interesting enzymes from microbial community in certain ecology. In this paper, metagenomic DNA extracted from water samples from Binh Chau hot spring was sequenced using Illumila’s HiSeq platform and was analysed to mining putative genes encoding cytochrome P450. The sequencing generated 9.4 Gb of reads containing 156,093 putative ORFs, of these, 106,903 genes were annotated in NCBI non-redundant protein sequence database. Among all the ORFs were annotated, 68 putative ORFs encoding cytochrome P450 were found belong to 36 specific groups of cytochrome P450 protein family. Of these, the melting temperature (Tm) from thirty-six completed ORFs was predicted for a better understanding of thermodynamic stability.
Food Systems Profile: Moc Chau, The Rural Area - Vietnam
No full textThis Food Systems (FS) profile aims to provide a synopsis of the food system of the Moc Chau district in Son La province, a rural area in northwestern Vietnam. This profile gives an overview of the main food system outcomes, constituent elements and drivers. It does so through a set of metrics that highlight key challenges and offer a baseline for the measurement and monitoring of future changes. It builds from the outcomes concerning residents’ diets, nutrition and health, socio-economic, and environment. It then traces back to the food supply chains, the food environment, consumer behavior and finally the underlying drivers. Ultimate, the profile’s goal is to help researchers and policy makers understand the existing challenges among the elements of the food system help develop actionable policy recommendations for local socio-economic development planning
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