Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases

In a financial market with one riskless asset and n risky assets whose prices are lognormal, we solve in a closed form the problem of a pension fund maximizing the expected CRRA utility of its surplus till the (stochastic) death time of a representative agent. We consider a unique asset allocation problem for both accumulation and decumulation phases. The optimal investment in the risky assets must decrease during the first phase and increase during the second one. We accordingly suggest it is not optimal to manage the two phases separately, and outsourcing of allocation decisions should be avoided in both phases. JEL: G23, G11 MSC 2000: 62P05, 91B28, 91B30, 91B70, 93E20     

ELECTRON GUN FOR LARGE ORBIT GYROTRON (LOG) WITH DECREASED INFLUENCE OF CATHODE PLASMA ON ELECTRON BEAM PROPERTIES

High power Large Orbit Gyrotron (LOG) [1] is now under development at FIR FU. First version of this device was recently manufactured and then assembled with power supply ETIGO-IV [2]. Results of preliminary tests of electron-optic system are presented. The conditions when stableflat form of current pulse realized are discussed. Analytical estimations of cathode-anode distance to achieve small influence of cathode plasma during high voltage (HV) pulse are performed. Two new electron gun versions with decreased influence of the cathode plasma on its impedance and pulse form are suggested and optimized. New optimal magnetic field distributions are found. First gun has quiasi-flat cathode configuration near the anode diaphragm and provides operating current about 60 A. Second one uses blade cathode with operating current about 30 A. Beam quality for both guns is suitable for LOG operation.     

Conjugate points and Maslov index in locally symmetric semi-Riemannian manifolds

We study the singularities of the exponential map in semi Riemannian locally symmetric manifolds. Conjugate points along geodesics depend only on real negative eigenvalues of the curvature tensor, and their contribution to the Maslov index of the geodesic is computed explicitly. We prove that degeneracy of conjugate points, which is a phenomenon that can only occur in semi-Riemannian geometry, is caused in the locally symmetric case by the lack of diagonalizability of the curvature tensor. The case of Lie groups endowed with a bi-invariant metric is studied in some detail, and conditions are given for the lack of local injectivity of the exponential map around its singularities.     

Characterization of graded-index planar waveguides and analysis of modal coupling for the design of integrated optical components produced by ion-exchange in glass and induced by Kerr effect

An experimental analysis of graded-index (GRIN) planar waveguides produced by ion exchange in soda-lime glass is presented. This study is based on a recent model describing nonlinear diffusion. Likewise the modal coupling between planar waveguides, produced in the same substrate, is analyzed in order to design efficient integrated optical components. Finally, waveguiding structures induced by Kerr effect in glass are proposed and analyzed.     

The projection operator approach to the Fokker-Planck equation. II. Dichotomic and nonlinear Gaussian noise

Two models for the Freedericksz transition in a fluctuating magnetic field are considered: one is based on a dichotomic and the other on a nonlinear Gaussian noise. Both noises are characterized by a finite correlation time. It is shown that the linear response assumption leading to the best Fokker-Planck approximation in the dichotomic and nonlinear Gaussian cases can be trusted only up to the order ¹ and ⁰, respectively. The role of the corrections to the linear response approximation is discussed and it is shown how to replace the non-Fokker-Planck terms stemming from these corrections with equivalent terms of standard type. This technique is shown to produce perfect agreement with the exact analytical results (dichotomic noise) and to satisfactorily fit the results of analog simulation (nonlinear Gaussian noise).     

The projection approach to the Fokker-Planck equation. I. Colored Gaussian noise

It is shown that the Fokker-Planck operator can be derived via a projection-perturbation approach, using the repartition of a more detailed operator into a perturbation ₁ and an unperturbed part ₀. The standard Fokker-Planck structure is recovered at the second order in ₁, whereas the perturbation terms of higher order are shown to provoke the breakdown of this structure. To get rid of these higher order terms, a key approximation, local linearization (LL), is made. In general, to evaluate at the second order in ₁ the exact expression of the diffusion coefficient which simulates the influence of a Gaussian noise with a finite correlation time, a resummation up to infinite order in must be carried out, leading to what other authors call the best Fokker-Planck approximation (BFPA). It is shown that, due to the role of terms of higher order in ₁, the BFPA leads to predictions on the equilibrium distributions that are reliable only up to the first order in t. The LL, on the contrary, in addition to making the influence of terms of higher order in ₁ vanish, results in a simple analytical expression for the term of second order that is formally coincident with the complete resummation over all the orders in t provided by the Fox theory. The corresponding diffusion coefficient in turn is shown to lead in the limiting case to exact results for the steady-state distributions. Therefore, over the whole range 0 the LL turns out to be an approximation much more accurate than the global linearization proposed by other authors for the same purpose of making the terms of higher order in ₁ vanish. In the short- region the LL leads to results virtually coincident with those of the BFPA. In the large- region the LL is a more accurate approximation than the BFPA itself. These theoretical arguments are supported by the results of both analog and digital simulation.     

New pi-extended water-soluble squaraines as singlet oxygen generators

[graph: see text] Condensation of squaric acid with a number of differently substituted 2-pyrrolyl derivatives afforded three new classes of squaraines. Their sharp and intense absorption bands in the biological window (700-900 nm), inherent singlet oxygen generation capabilities, together with proper functionalization allowing good water solubility make them suitable candidates as new non-porphyrinic singlet oxygen photosensitizers for photodynamic therapy (PDT).     

Solid-state interactions and drug release of teicoplanin in binary combinations with peracetylated α-, β-, and γ-cyclodextrins

Triacetyl α-cyclodextrin, triacetyl β-cyclodextrin and triacetyl γ-cyclodextrin were tested as possible hydrophobic carriers to prolong the release of hydrophilic teicoplanin (TCP). Physical–chemical characterization of individual components, drug-carrier physical mixtures at 0.5, 0.67 and 0.75 mass fraction of carrier, and the respective interaction products by kneading or evaporative crystallization under microwave irradiation was carried out using differential scanning calorimetry (DSC) and thermogravimetric analysis (TGA). In vitro drug release in pH 7.4 phosphate buffer at 37 °C was determined by intrinsic dissolution rate (IDR) measurements on non disintegrating compressed discs. Solid-state interactions of TCP with triacetyl α-cyclodextrin by evaporative crystallization and kneading and with triacetyl β-cyclodextrin by evaporative crystallization (probably resulting in carrier amorphization) were demonstrated. The role of carrier hydrophobicity, carrier mass fraction and preparation method of solid drug-carrier combinations on solid-state drug-carrier interactions and slowing down of TCP release was assessed. Modulation of drug release can be achieved using TCP-triacetyl γ-cyclodextrin combinations at 0.5 mass fraction of carrier.     

Local mean field models of uniform to nonuniform density fluid-crystal transitions

We investigate the existence of nontranslation invariant (periodic) density profiles, for systems interacting via translation invariant long-range potentials, as minimizers of local mean field free energy functionals. The existence of a second-order transition from a uniform to a nonuniform density at a specified temperature is proven for a class of model systems.