Portfolio Of Options Research Articles

Actor-specific adaptation objectives shape perceived roles and responsibilities: lessons from Mumbai’s flood risk reduction and general considerations

Adaptation efforts need to be advanced significantly, involving multiple actors and a diverse portfolio of options. Despite this being well established, there is little understanding of different actors’ perceptions of adaptation goals and their associated expectations regarding roles and responsibilities to achieve them. In this analysis, we seek to address this gap by elucidating the diverging viewpoints held by various actor groups concerning adaptation objectives, target beneficiaries, and the distribution of roles and responsibilities for adaptation. Here, we use the case study of flood risk in Mumbai, drawing upon qualitative interview data collected through key informant interviews with diverse stakeholders including state, civil society, and academic actors. Interviews revealed stark disparities between state and non-state actors, in particular on the objective of efficiency, largely emphasized by state actors for physical infrastructure measures. Other contested objectives included ecosystem protection and fairness for vulnerable populations. The findings showed consensus on the importance of planning. Non-state actors heavily debated the lack of planning and implementation of institutional changes and ecosystem-based measures. They called for a stronger role of the state in caretaking and fairness for vulnerable populations, mainly through deeper institutional changes. Overall, the findings point to the urgent need for understanding how actors navigate competing priorities, make trade-offs, and negotiate conflicting viewpoints on the distribution of roles and responsibilities. This paper makes an empirical and conceptual contribution to the debates on “social contracts” for adaptation, offering an operationalization of the concept and application to a real-world example through an actor lens.

Evaluation of transplant drench and foliar insecticide applications for wireworm (Coleoptera: Elateridae) management in sweetpotato.

The revocation of chlorpyrifos tolerances in 2022 left sweetpotato growers without their most important tool to combat a complex of soil-borne root pests that includes wireworms (Coleoptera: Elateridae). Since then, growers have reported increased root damage despite a rapid pivot to pyrethroid-based management systems to replace mechanically incorporated preplant chlorpyrifos broadcast sprays. Our goal was to evaluate the efficacy of alternative insecticide chemistries and application methods to expand the portfolio of management options for wireworms, specifically Conoderus spp. and Melanotus communis (Gyllenhal). We tested (i) insecticidal transplant water drenches and (ii) a foliar spray program targeting adult elaterids. We found that incorporating insecticides into transplant water reduced wireworm damage when compared to untreated transplant water. Our treatments included a recently registered meta-diamide, broflanilide, which represents a promising path to diversify active ingredients and shift away from an overreliance on preplant and post-directed pyrethroid soil sprays. Foliar spray plots had less damage than plots that did not receive foliar sprays. One benefit of adult-focused management is the availability of effective monitoring tools such as sex pheromones and blacklight trapping. Developing a robust adult monitoring program would enable more precise applications of foliar insecticides versus season-long prophylactic soil sprays targeting larvae. Our results demonstrated a significant benefit to both alternative delivery methods. These management alternatives could expand treatment options beyond traditional preplant and post-directed pyrethroid sprays.

Trading Option Portfolios Using Expected Profit and Expected Loss Metrics

When trading in the call and put contracts of option chains, the portfolios of strikes must be selected. The trader must also decide whether to take long or short positions at the selected strikes. Dynamic strategies for making these decisions are discussed in this paper. On any day, the strategies estimate the drift and volatility parameters of the future probability distribution of the price of the underlying asset. From this distribution, the trader can further estimate the future expected profit and expected loss that may be experienced for any portfolio of strikes of the call and put contracts. Expected profit and expected loss are the reward and risk metrics of such portfolios. An optimal portfolio can then be selected by making the reward as high as possible under the risk tolerance set by the trader. Extensive back-testing applications to historical data of SPY option chains illustrate the effectiveness of these strategies, particularly when dealing with short-term expiry options and when acting as a seller of put and call options.

Genomic structural variation in Barramundi Perch Lates calcarifer and potential roles in speciation and adaptation.

Advancements in genome sequencing and assembly techniques have increased the documentation of structural variants in wild organisms. Of these variants, chromosomal inversions are especially prominent due to their large size and active recombination suppression between alternative homokaryotypes. This suppression enables the 2 forms of the inversion to be maintained and allows the preservation of locally adapted alleles. The Barramundi Perch (BP; Lates calcarifer) is a widespread species complex with 3 main genetic lineages located in the biogeographic regions of Australia and New Guinea (AUS + NG), Southeast Asia (SEA), and the Indian Subcontinent (IND). BP are typically considered to be a protandrous sequential hermaphrodite species that exhibits catadromy. Freshwater occupancy and intraspecific variation in life history (e.g. partially migratory populations) exist and provide opportunities for strongly divergent selection associated with, for example, salinity tolerance, swimming ability, and marine dispersal. Herein, we utilize genomic data generated from all 3 genetic lineages to identify and describe 3 polymorphic candidate chromosomal inversions. These candidate chromosomal inversions appear to be fixed for ancestral variants in the IND lineage and for inverted versions in the AUS + NG lineage and exhibit variation in all 3 inversions in the SEA lineage. BP have a diverse portfolio of life history options that includes migratory strategy as well as sexual system (i.e. hermaphroditism and gonochorism). We propose that the some of the life history variabilities observed in BP may be linked to inversions and, in doing so, we present genetic data that might be useful in enhancing aquaculture production and population management.

Foundation-controlled firms and CEO compensation

We explore the effects of foundation control on CEO incentive contracts. Unlike other blockholders, foundations do not consume the entirety of their cash flow rights, which attenuates the incentives of the controlling foundations to directly monitor the management. We present a simple model of moral hazard which predicts that foundation-controlled (FC) firms will resort to executive compensation as an alternative disciplining mechanism. Using a sample of listed Swedish family firms over the period of 2001–2014, we find that CEOs in FC firms are awarded more stock options compared to their peers in non-FC firms. The performance sensitivity of their option portfolios is also higher, but we do not find this to be the case for stock grants. Lastly, there is no conclusive evidence of differences in the levels of cash compensation. Our findings support the view that incentive contracts can substitute for large shareholder monitoring.

Marine carbon dioxide removal by alkalinization should no longer be overlooked

To achieve the Paris climate target, deep emissions reductions have to be complemented with carbon dioxide removal (CDR). However, a portfolio of CDR options is necessary to reduce risks and potential negative side effects. Despite a large theoretical potential, ocean-based CDR such as ocean alkalinity enhancement (OAE) has been omitted in climate change mitigation scenarios so far. In this study, we provide a techno-economic assessment of large-scale OAE using hydrated lime (‘ocean liming’). We address key uncertainties that determine the overall cost of ocean liming (OL) such as the CO2 uptake efficiency per unit of material, distribution strategies avoiding carbonate precipitation which would compromise efficiency, and technology availability (e.g., solar calciners). We find that at economic costs of 130–295 $/tCO2 net-removed, ocean liming could be a competitive CDR option which could make a significant contribution towards the Paris climate target. As the techno-economic assessment identified no showstoppers, we argue for more research on ecosystem impacts, governance, monitoring, reporting, and verification, and technology development and assessment to determine whether ocean liming and other OAE should be considered as part of a broader CDR portfolio.

Capturing features of hourly-resolution energy models in an integrated assessment model: An application to the EU27 region

Hourly resolution is essential to realistically address the matching of supply and demand for fluctuating energy sources like solar and wind. This work introduces a novel method to model energy variability in an Integrated Assessment Model building upon a previous work, where regression analysis was utilized to extract hourly-level information from an energy system model. The enhancements include: (1) improved experimental design and more efficient computing, and (2) modelling the management of variability in an integrated assessment model by (i) incorporating a portfolio of flexibility options, and (ii) offering the ability to regulate system curtailment by limiting the expansion of renewables. The scenarios focus on the electricity sector, mirroring current EU27's policies that aim for higher renewable energy and electrification contributions by 2050. Without any variability control measures, significant curtailment (up to 60 %) is observed, the introduction of flexibility options reducing it to half (30 %). Controlling the capacity expansion of renewables is introduced to avoid this unrealistically high curtailment, allowing the model to achieve a penetration of renewables in electricity of 80 % and a 53 % reduction in greenhouse gas emissions compared to 2015 levels in the electricity system. In conclusion, the methodology employed yields broadly consistent outcomes.

Day case Rezum™ water vapour therapy for urinary retention secondary to benign prostatic hyperplasia

Objectives: Rezum (Boston Scientific) water vapour therapy is an effective day case minimally invasive surgical treatment (MIST) for men with troublesome lower urinary tract symptoms (LUTSs) due to benign prostatic obstruction. The potential place for MISTs in the treatment of patients with urinary retention or permanent catheter dependence is currently unclear. Patients and Methods: A total of 48 patients presenting with retention of urine (out of a total of 524 patients) over a 4-year period from 2017 underwent Rezum treatment. All patients were followed up at 3, 6 and 12 months after the procedure. At each visit, flow rate, post void residual urine, and patient reported outcome measures (PROMs) including International Prostate Symptom Score (IPSS) were recorded. Results: A total of 34 patients had an indwelling catheter prior to treatment and 14 were self-catheterising. The mean age was 67 years (standard deviation (SD) = 3) with a mean prostate volume of 56 mL (SD = 6). The average number of injections per case was 8 (SD1), which included median lobe (ML) treatment in one man. 75% of the patients passed their post treatment trial without catheter (TWOC). IPSS improved to 6 ( p = 0.001) in 12 months. Conclusion: The results from this cohort of patients are encouraging. Further evaluation with longer follow-up is required. The addition of MISTs to the portfolio of options for men with retention of urine may offer a streamlined and efficient alternative to the conventional treatments, and help therefore to reduce the national waiting list, and allow men a more rapid solution avoiding prolonged catheterisation. Level of evidence: Not applicable.

A static replication approach for callable interest rate derivatives: mathematical foundations and efficient estimation of SIMM–MVA

The computation of credit risk measures such as exposure and Credit Value Adjustments (CVA) requires the simulation of future portfolio prices. Recent metrics, such as dynamic Initial Margin (IM) and Margin Value Adjustments (MVA) additionally require the simulation of future conditional sensitivities. For portfolios with non-linear instruments that do not admit closed-form valuation formulas, this poses a significant computational challenge. This problem is addressed by proposing a static replication algorithm for interest rate options with early-exercise features under an affine term-structure model. Under the appropriate conditions, we can find an equivalent portfolio of vanilla options that replicate these products. Specifically, we decompose the product into a portfolio of European swaptions. The weights and strikes of the portfolio are obtained by regressing the target option value with interpretable, feed-forward neural networks. Once an equivalent portfolio of European swaptions is determined, we can leverage on closed-form expressions to obtain the conditional prices and sensitivities, which serve as an input to exposure and SIMM-driven MVA quantification. For a consistent forward sensitivity estimation, this involves the differentiation of the portfolio-weights. The accuracy and convergence of the method is demonstrated through several representative numerical examples, benchmarked against the established least-square Monte Carlo method.

Tipping Points of Space Debris in Low Earth Orbit

Global services like navigation, communication, and Earth observation have increased dramatically in the 21st century due to advances in outer space industries. But as orbits become increasingly crowded with both satellites and inevitable space debris pollution, continued operations become endangered by the heightened risks of debris collisions in orbit. Kessler Syndrome is the term for when a critical threshold of orbiting debris triggers a runaway positive feedback loop of debris collisions, creating debris congestion that can render orbits unusable. As this potential tipping point becomes more widely recognized, there have been renewed calls for debris mitigation and removal. Here, we combine complex systems and social-ecological systems approaches to study how these efforts may affect space debris accumulation and the likelihood of reaching Kessler Syndrome. Specifically, we model how debris levels are affected by future launch rates, cleanup activities, and collisions between extant debris. We contextualize and interpret our dynamic model within a discussion of existing space debris governance and other social, economic, and geopolitical factors that may influence effective collective management of the orbital commons. In line with previous studies, our model finds that debris congestion may be reached in less than 200 years, though a holistic management strategy combining removal and mitigation actions can avoid such outcomes while continuing space activities. Moreover, although active debris removal may be particularly effective, the current lack of market and governance support may impede its implementation. Research into these critical dynamics and the multi-faceted variables that influence debris outcomes can support policymakers in curating impactful governance strategies and realistic transition pathways to sustaining debris-free orbits. Overall, our study is useful for communicating about space debris sustainability in policy and education settings by providing an exploration of policy portfolio options supported by a simple and clear social-ecological modeling approach.

Construction and Hedging of Equity Index Options Portfolios

Construction and Hedging of Equity Index Options Portfolios

Analyzing the American portfolio options within the CEV model incorporating dividend yield by the Lie symmetry approach

Analyzing the American portfolio options within the CEV model incorporating dividend yield by the Lie symmetry approach

Cobertura delta precisa de opciones europeas usando cálculo conformable

Objective: we aim to develop a method for delta hedging portfolios of European options based on the theory of conformable calculus which improves accuracy of risk management of listed options in a first-order approximation. Methodology: we allow the time derivative in the classic Black-Scholes-Merton model to have a fractional order0 ≤α≤ 1 and calculate the corresponding delta of a portfolio of listed options as a function of this conformableparameter. Results: applying this method to a portfolio consisting of eight European options on the SPX index, we find that conformable delta hedging offers more accurate average predictions than classical delta hedging. Limitations: this method is applicable for delta hedging in European options only. Originality: this is the first successful application of conformable calculus to delta hedging in European options. Conclusions: application of Conformable Calculus allows for a greater flexibility in the local approximation to price in delta-hedging European options and offers a new and more precise methodology to this objective.

Sensitivity Analysis Based on Portfolio Option Models Using Tesla and Nio as Examples

The electric vehicle (EV) industry is undergoing a significant transformation, driven by environmental concerns, advancements in battery technology, and changing consumer preferences. Companies like Tesla and China's NIO are at the forefront of this revolution, showcasing the global potential of EVs. This study undertook a sensitivity analysis of these two leading EV manufacturers, Tesla and NIO, to understand the dynamics of their stock prices and implications for investment strategies. Data was meticulously collected from various financial databases to capture daily stock prices, which were then used to compute monthly returns. The study also delved into options, focusing on the strike prices and volatility of Tesla and NIO options. Using a combination of stock prices, strike prices, and volatility, the intrinsic and time value of these options were analyzed. The research employed a composite option model to describe the price variation of an option, considering factors like asset price volatility, risk-free rate, and dividend yield. The findings revealed that stock prices and option prices exhibited certain sensitivities to market variables. For instance, Tesla's option prices showed an upward trend with rising stock prices, while NIO's option prices displayed varied responses to stock price changes. The study underscores the importance of understanding these sensitivities for informed investment decisions in the evolving EV market.

Contrasting carbon dioxide removal potential and nutrient feedbacks of simulated ocean alkalinity enhancement and macroalgae afforestation

Alongside cuts to emissions, hundreds of gigatons of carbon dioxide removal (CDR) are likely to be required to limit global warming to below 1.5 °C or 2 °C this century. Ocean alkalinity enhancement (OAE) and macroalgae afforestation have received considerable attention within the portfolio of potential CDR options, but their efficacy and constraints remain uncertain. Here we compare the CDR potential and biogeochemical impacts of OAE and macroalgae afforestation in exclusive economic zones (EEZs) using a global high-resolution ocean biogeochemical model. Globally, our simulations indicate the CDR potential of OAE is more than seven times that of macroalgae afforestation for an equivalent mass of either dissolved olivine or harvested wet macroalgae biomass. This difference is predominately attributable to the respective alkalinity content of olivine and carbon content of wet macroalgae biomass. Accounting for potential nutrient impacts on phytoplankton production increases this disparity between the CDR efficiency of OAE and afforestation, and in both cases can result in regions of negative CDR. EEZs with higher CDR in response to OAE consistently exhibit higher CDR in response to macroalgae afforestation. However, nutrient feedbacks are shown to have different EEZ-specific impacts on phytoplankton net primary production. Our simulations indicate that ∼62% of the CDR flux associated with OAE occurs in the EEZ application regions, decreasing to ∼54% if olivine contains iron and silicate and ∼45% for macroalgae afforestation. This suggests that monitoring, reporting, and verification may be problematic for both techniques, as might the allocation of credits toward nationally determined contributions.

Assessing the Impact of Credit Risk on Equity Options via Information Contents and Compound Options

This work aims to develop a measure of how much credit risk is priced into equity options. Such a measure appears particularly appealing when applied to a portfolio of equity options, as it allows for the factoring in of firm-specific default dynamics, thus producing a comparable statistic across different equities. As a matter of fact, comparing options written on different equities based on their moneyness does offer much guidance in understanding which option offers a better hedging against default. Our newly-introduced measure aims to fulfil this gap: it allows us to rank options written on different names based on the amount of default risk they carry, incorporating firm-specific characteristics such as leverage and asset risk. After having computed this measure using data from the US market, several empirical tests confirm the economic intuition of puts being more sensitive to changes in the default risk as well as a good integration of the CDS and option markets. We further document cross-sectional sectorial differences based on the industry the companies operate in. Moreover, we show that this newly-introduced measure displays forecasting power in explaining future changes in the skew of long-term maturity options.

How does load-side re-electrification help carbon neutrality in energy systems: Cost competitiveness analysis and life-cycle deduction

Load-side re-electrification—the substitution of prevalent fossil fuel-dominated structures with a wider range of electric end-use technologies—has been recognized as a crucial strategy for systemic decarbonization. This strategy focuses on expanding the proportion of clean energy consumption to support the attainment of carbon neutrality goals. While prior research has explored the ramifications of re-electrification strategies within specific sectors, such as transportation, comprehensive assessments evaluating the impacts of an entire portfolio of load-side options remain scarce. This analysis bridges this gap by scrutinizing the effects of multiple load-side re-electrification options on decarbonization pathways and transition costs within energy systems. We leverage a detailed, bottom-up dispatch model with an hourly resolution for this research. A case study of Northwestern China serves to illuminate the implications of our research, demonstrating that without the deployment of carbon dioxide removal technologies, an extensive load-side re-electrification can yield a maximum carbon dioxide emission reduction of up to 37.15% by 2060. Furthermore, this study offers an in-depth comparison of the transition costs across multiple future scenarios employing foreseeable technologies.

(Invited) DOE EERE Activities in High Temperature Electrolysis and Reversible Fuel Cells

Hydrogen and fuel cells are emerging, versatile examples within a portfolio of advanced and sustainable energy options. Dr. William Gibbons will provide an overview of hydrogen and fuel cell research, development, demonstration, and deployment (RDD&D) activities led by the U.S. Department of Energy’s Office of Energy Efficiency and Renewable Energy (EERE). The presentation will discuss how EERE’s RDD&D efforts are advancing U.S. commitment to tackling the climate crisis through the DOE Hydrogen Program’s H2@scale vision for clean hydrogen across the economy, and the Hydrogen Energy Earthshot seeking to cut the cost of clean hydrogen to $1 per 1 kilogram in one decade. The presentation will also cover examples of H2@Scale projects demonstrating hydrogen’s emission reduction and economic growth potential in hard to decarbonize sectors such as steel manufacturing and heavy-duty applications, as well workforce development and international collaboration activities.

Elucidating the Performance Limits for Electrochemical CO2 Separation Using Exergy Loss Analysis and Zero-Dimensional Modeling

The use of renewable electricity to power electrochemical CO2 removal and concentration from point sources, air, and seawater is receiving considerable interest as one strategy in our portfolio of options for mitigating climate change. Two common embodiments of this idea involve CO2 separation via electrochemically reversible binding of CO2 to a nucleophilic redox mediator, or a pH swing/gradient in aqueous solution. For either embodiment to be feasible, the energetic cost of regenerating the sorbent should be low at practical separation throughputs. Consequently, there have been a number of efforts to understand how the thermodynamic minimum work input for a given separation cycle varies under different conditions using modeling. In this talk, we demonstrate that the thermodynamic minimum work input for electrochemical CO2 separation is the sum of exergy losses incurred from differences between the partial pressure of CO2 within the CO2 source/exit streams and the partial pressure of CO2 in the sorbent. This framework rationalizes minimum work inputs for pH-swing and redox-mediator-based CO2 separation cycles, and motivates the measurement or estimation of the aforementioned CO2 partial pressures in experimental studies. Applying a zero-dimensional model recently developed in our group to pH-swing-driven CO2 separation, we will then discuss how the total energetic cost of CO2 separation can be simulated under a variety of scenarios relevant to practical CO2 concentration from flue gas.

Strategic variants of the razor and blade business model: an inspiring benchmark

PurposeGillette’s historically successful “razor and blade” business model (RBM) has been a promising benchmark for multiple businesses across diverse industries worldwide in the past several decades. The extant literature deals with very few nuances of this business model notwithstanding the fact that there are several variants of this business model being put to practical use by firms in diverse industries in grossly metaphorically equivalent situations.Design/methodology/approach This study adopts the 2 × 2 truth table framework from the domains of mathematical logic and combinatorics in fleshing out all possible (four logical possibilities) variants of the razor and blade business model for further analysis. This application presents four mutually exclusive yet collectively exhaustive possibilities on any chosen dimension. Two major dimensions (viz., provision of subsidy and intra- or extra-firm involvement in the making of razors or blades or both) form part of the discussion in this paper. In addition, this study synthesizes and streamlines entrepreneurial wisdom from multiple intra-industry and inter-industry benchmarks in terms of real-time firms explicitly or implicitly adopting several variants of the RBM that suit their unique context and idiosyncratic trajectory of evolution in situations that are grossly reflective of the metaphorically equivalent scenario of razor and recurrent blades. Inductive method of research is carried out with real-time cases from diverse industries with a pivotally common pattern of razor and blade model in some form or the other.Findings Several new variants of the razor and blade model (much beyond what the extant literature explicitly projects) have been discovered from the multiple metaphorically equivalent cases of RBM across industries. All of these expand the portfolio of options that relevant entrepreneurial firms can explore and exploit the best possible option chosen from them, given their unique context and idiosyncratic trajectory of growth.Research limitations/implications This study has enriched the literature by presenting and analyzing a more inclusive or perhaps comprehensive palette of explicit choices in the form of several variants of the RBM for the relevant entrepreneurial firms to choose from. Future research can undertake the task of comparing these variants of RBM with those of upcoming servitization business models such as guaranteed availability, subscription and performance-based contracting and exploring the prospects of diverse combinations.Practical implications Smart entrepreneurial firms identify and adopt inspiring benchmarks (like razor and blade model whenever appropriate) duly tweaked and blended into a gestalt benchmark for optimal profits and attractive market shares. They target diverse market segments for tied-goods with different variants or combinations of the relevant benchmarks in the form of variegated customer value propositions (CVPs) that have unique and enticing appeal to the respective market segments.Social implications Value-sensitive customers on the rise globally choose the option that best suits them from among multiple alternatives offered by competing firms in the market. As long as the ratio of utility to price of such an offer is among the highest, even a no-frills CVP may be most appealing to one market segment while a plush CVP may be tempting to yet another market segment simultaneously. While professional business firms embrace resource leverage practices consciously, amateur customers do so subconsciously. Each party subliminally desires to have the maximum bang-to-buck ratio as the optimal return on investment, given their priorities ceteris paribus.Originality/value Prior studies on the RBM have explicitly captured only a few variants of the razor and blade model. This study is perhaps the first of its kind that ferrets out many other variants (more than ten) of the razor and blade model with due simplification and exemplification, justification and demystification.