Concordia University

About: Concordia University is a education organization based out in Montreal, Quebec, Canada. It is known for research contribution in the topics: Context (language use) & Control theory. The organization has 13565 authors who have published 31084 publications receiving 783525 citations. The organization is also known as: Sir George Williams University & Loyola College, Montreal.

The production and utility of recovered dislocation substructures

Abstract: The production of dislocation substructures by cold working and recovery, fatigue, creep and hot working are reviewed. The relationships of subgrain size and dislocation density to the causal parameters of strain, strain rate, strain amplitude, temperature, stress and time (as applicable) are presented for each process. The importance of dislocation mechanisms such as climb, cross-glide, annihilation and subboundary formation are explained. The relative capabilities and limitations of each mode of creation with respect to both external processing and internal mechanisms are explored. The effects of the metal's stacking fault energy, of solid solution and of particle dispersion on structure and behavior are presented. The properties of the different kinds of substructures for room temperature and creep service are examined. The need for modification of the Petch relationship between yield strength and subgrain size is explored. The thermal stability is shown to be an important factor for creep service. It is concluded that the most suitable modes of substructure preparation are either cold working and recovery or hot working both from the view point of fitting into current industrial practice and from that of dependable, useful service properties.

Optimal Dynamic Trading Strategies with Risk Limits

Abstract: Value at Risk (VaR) has emerged in recent years as a standard tool to measure and control the risk of trading portfolios. Yet, existing theoretical analyses of the optimal behavior of a trader subject to VaR limits have produced a negative view of VaR as a risk-control tool. In particular, VaR limits have been found to induce increased risk exposure in some states and an increased probability of extreme losses. However, these conclusions are based on models that are either static or dynamically inconsistent. In this paper, we formulate a dynamically consistent model of optimal portfolio choice subject to VaR limits and show that the conclusions of earlier papers are incorrect if, consistently with common practice, the portfolio VaR is reevaluated dynamically making use of available conditioning information. In particular, we find that the risk exposure of a trader subject to a VaR limit is always lower than that of an unconstrained trader and that the probability of extreme losses is also lower. We also consider risk limits formulated in terms of Tail Conditional Expectation (TCE), a coherent risk measure often advocated as an alternative to VaR, and show that in our dynamic setting it is always possible to transform a TCE limit into an equivalent VaR limit, amid conversely.