We aim to construct a general framework for portfolio management in continuous time, encompassing both stocks and bonds. In these lecture notes we give an overview of the state of the art of optimal bond portfolios and we re-visit main results and mathematical constructions introduced in our previous publications (Ann. Appl. Probab. 15, 1260–1305 (2005) and Fin. Stoch. 9, 429–452 (2005)). A sol...

Abstract An L2 regularized logistic regression model is developed in this study to predict weekly tropical cyclone (TC) genesis over the western North Pacific (WNP) Ocean and subregions of WNP including South China Sea (SCS), (WWNP), eastern (EWNP). The potential predictors for TC include a time-varying climatology, Madden–Julian oscillation (MJO), quasi-biweekly (QBWO), ENSO. relative importan...

Monthly circulation of the South Atlantic Bight is diagnosed using a 3-D, shallow water, finite element model forced with monthly wind stress and hydrographic climatology. Temperature and salinity observations from the period 1950-99 are objectively interpolated onto the model domain, and Comprehensive Ocean-Atmosphere Data Set (COADS) wind velocities from 1975-1999 are used to prescribe the mo...