Search results for: CARA%20utility.

Authors: Udeme O. Ini, Edikan E. Akpanibah

Abstract:

This paper studies the optimal investment strategies for a plan member (PM) in a defined contribution (DC) pension scheme with transaction cost, taxes on invested funds and couple risky assets (stocks) under the Ornstein-Uhlenbeck (O-U) process. The PM’s portfolio is assumed to consist of a risk-free asset and two risky assets where the two risky assets are driven by the O-U process. The Legendre transformation and dual theory is use to transform the resultant optimal control problem which is a nonlinear partial differential equation (PDE) into linear PDE and the resultant linear PDE is then solved for the explicit solutions of the optimal investment strategies for PM exhibiting constant absolute risk aversion (CARA) using change of variable technique. Furthermore, theoretical analysis is used to study the influences of some sensitive parameters on the optimal investment strategies with observations that the optimal investment strategies for the two risky assets increase with increase in the dividend and decreases with increase in tax on the invested funds, risk averse coefficient, initial fund size and the transaction cost.

Keywords: Ornstein-Uhlenbeck process, portfolio management, Legendre transforms, CARA utility.

Authors: Amadi Ugwulo Chinyere, Lewis D. Gbarayorks, Emem N. H. Inamete

Abstract:

In this paper, the mandatory contribution, additional voluntary contribution (AVC) and administrative charges are merged together to determine the optimal investment strategy (OIS) for a pension plan member (PPM) in a defined contribution (DC) pension scheme under the modified constant elasticity of variance (M-CEV) model. We assume that the voluntary contribution is a stochastic process and a portfolio consisting of one risk free asset and one risky asset modeled by the M-CEV model is considered. Also, a stochastic differential equation consisting of PPM’s monthly contributions, voluntary contributions and administrative charges is obtained. More so, an optimization problem in the form of Hamilton Jacobi Bellman equation which is a nonlinear partial differential equation is obtained. Using power transformation and change of variables method, an explicit solution of the OIS and the value function are obtained under constant absolute risk averse (CARA). Furthermore, numerical simulations on the impact of some sensitive parameters on OIS were discussed extensively. Finally, our result generalizes some existing result in the literature.

Keywords: DC pension fund, modified constant elasticity of variance, optimal investment strategies, voluntary contribution, administrative charges.

Authors: Gang Li, Ghulam Mubashar Hassan, Arcady Dyskin, Cara MacNish

Abstract:

Digital image correlation (DIC) is a contactless fullfield displacement and strain reconstruction technique commonly used in the field of experimental mechanics. Comparing with physical measuring devices, such as strain gauges, which only provide very restricted coverage and are expensive to deploy widely, the DIC technique provides the result with full-field coverage and relative high accuracy using an inexpensive and simple experimental setup. It is very important to study the natural patterns effect on the DIC technique because the preparation of the artificial patterns is time consuming and hectic process. The objective of this research is to study the effect of using images having natural pattern on the performance of DIC. A systematical simulation method is used to build simulated deformed images used in DIC. A parameter (subset size) used in DIC can have an effect on the processing and accuracy of DIC and even cause DIC to failure. Regarding to the picture parameters (correlation coefficient), the higher similarity of two subset can lead the DIC process to fail and make the result more inaccurate. The pictures with good and bad quality for DIC methods have been presented and more importantly, it is a systematic way to evaluate the quality of the picture with natural patterns before they install the measurement devices.

Keywords: Digital image correlation (DIC), Deformation simulation, Natural pattern, Subset size.

Authors: Nicole Scott, Emily Dwyer, Cara Patrissy, Samantha Bonventre, Lina Begdache

Abstract:

Across North America, the use and abuse of Attention Deficit Hyperactivity Disorder (ADHD) medication, cannabis, nicotine, and other psychoactive substances across college campuses have become an increasingly prevalent problem. Students frequently use these substances to aid their studying or deal with their mental health issues. However, it is still unknown what psychoactive substances are likely to be abused when college students illicitly use ADHD medication. In addition, it is not clear which psychoactive substance is associated with mental distress. Thus, the purpose of this study is to fill these gaps by assessing the use of different psychoactive substances when illicit ADHD medication is used; and how this association relates to mental stress. A total of 702 undergraduate students from different college campuses in the US completed an anonymous survey distributed online. Data were self-reported on demographics, the use of ADHD medications, cannabis, nicotine, other psychoactive drugs, and mental distress, and feelings and opinions on the use of illicit study drugs were all included in the survey. Mental distress was assessed using the Kessler Psychological Distress 6 Scale. Data were analyzed in SPSS, Version 25.0, using Pearson’s Correlation Coefficient. Our results show use of ADHD medication, cannabis use (non-frequent and very frequent), and nicotine use (non-frequent and very frequent); there were both statistically significant positive and negative correlations to specific psychoactive substances and their corresponding frequencies. Along the same lines, ADHD medication, cannabis use (non-frequent and very frequent), and nicotine use (non-frequent and very frequent) had statistically significant positive and negative correlations to specific mental distress experiences. As these findings are combined, a vicious loop can initiate a cycle where individuals who abuse psychoactive substances may or may not be inclined to use other psychoactive substances. This may later inhibit brain functions in those main areas of the brain stem, amygdala, and prefrontal cortex where this vicious cycle may or may not impact their mental distress. Addressing the impact of study drug abuse and its potential to be associated with further substance abuse may provide an educational framework and support proactive approaches to promote awareness among college students.

Keywords: Stimulant, depressant, nicotine, ADHD medication, psychoactive substances, mental health, illicit, ecstasy, adrenochrome.