On Efimov spaces and Radon measures

We give a construction under CH of an infinite Hausdorff compact space having no converging sequences and carrying no Radon measure of uncountable type. Under ? we obtain another example of a compact space with no convergent sequences, which in addition has the stronger property that every nonatomic Radon measure on it is uniformly regular. This example refutes a conjecture of Mercourakis from 1996 stating that if every measure on a compact space K is uniformly regular then K is necessarily sequentially compact

A rigorous but gentle introduction for economists

This open access textbook is the first to provide Business and Economics Ph.D. students with a precise and intuitive introduction to the formal backgrounds of modern financial theory. It explains Brownian motion, random processes, measures, and Lebesgue integrals intuitively, but without sacrificing the necessary mathematical formalism, making them accessible for readers with little or no previous knowledge of the field. It also includes mathematical definitions and the hidden stories behind the terms discussing why the theories are presented in specific ways.

Cuntz–Krieger Algebras and Wavelets on Fractals

We consider representations of Cuntz–Krieger algebras on the Hilbert space of square integrable functions on the limit set, identified with a Cantor set in the unit interval. We use these representations and the associated Perron–Frobenius and Ruelle operators to construct families of wavelets on these Cantor sets

Combinatorial Voting

We study elections that simultaneously decide multiple issues, where voters have independent private values over bundles of issues. The innovation is in considering nonseparable preferences, where issues may be complements or substitutes. Voters face a political exposure problem: the optimal vote for a particular issue will depend on the resolution of the other issues. Moreover, the probabilities that the other issues will pass should be conditioned on being pivotal. We prove that equilibrium exists when distributions over values have full support or when issues are complements. We then study large elections with two issues. There exists a nonempty open set of distributions where the probability of either issue passing fails to converge to either 1 or 0 for all limit equilibria. Thus, the outcomes of large elections are not generically predictable with independent private values, despite the fact that there is no aggregate uncertainty regarding fundamentals. While the Condorcet winner is not necessarily the outcome of a multi-issue election, we provide sufficient conditions that guarantee the implementation of the Condorcet winner. © 2012 The Econometric Society

Quasirandom permutations are characterized by 4-point densities

For permutations π and τ of lengths |π|≤|τ| , let t(π,τ) be the probability that the restriction of τ to a random |π| -point set is (order) isomorphic to π . We show that every sequence {τj} of permutations such that |τj|→∞ and t(π,τj)→1/4! for every 4-point permutation π is quasirandom (that is, t(π,τj)→1/|π|! for every π ). This answers a question posed by Graham

Sparse and stable Markowitz portfolios

We consider the problem of portfolio selection within the classical Markowitz meanvariance optimizing framework, which has served as the basis for modern portfolio theory for more than 50 years. Efforts to translate this theoretical foundation into a viable portfolio construction algorithm have been plagued by technical difficulties stemming from the instability of the original optimization problem with respect to the available data. Often, instabilities of this type disappear when a regularizing constraint or penalty term is incorporated in the optimization procedure. This approach seems not to have been used in portfolio design until very recently. To provide such a stabilization, we propose to add to the Markowitz objective function a penalty which is proportional to the sum of the absolute values of the portfolio weights. This penalty stabilizes the optimization problem, automatically encourages sparse portfolios, and facilitates an effective treatment of transaction costs. We implement our methodology using as our securities two sets of portfolios constructed by Fama and French: the 48 industry portfolios and 100 portfolios formed on size and book-to-market. Using only a modest amount of training data, we construct portfolios whose out-of-sample performance, as measured by Sharpe ratio, is consistently and significantly better than that of the naïve portfolio comprising equal investments in each available asset. In addition to their excellent performance, these portfolios have only a small number of active positions, a desirable feature for small investors, for whom the fixed overhead portion of the transaction cost is not negligible. JEL Classification: G11, C00Penalized Regression, Portfolio Choice, Sparse Portfolio

Connectivity of the space of ending laminations

We prove that for any closed surface of genus at least four, and any punctured surface of genus at least two, the space of ending laminations is connected. A theorem of E. Klarreich [28, Theorem 1.3] implies that this space is homeomorphic to the Gromov boundary of the complex of curves. It follows that the boundary of the complex of curves is connected in these cases, answering the conjecture of P. Storm. Other applications include the rigidity of the complex of curves and connectivity of spaces of degenerate Kleinian groups

Multiband models for field theories with anomalous current dimension

We give simple examples of weakly coupled or free quantum mechanical systems that exhibit scale invariance with an anomalous dimension for a conserved current. In these models scaling as an exact symmetry only emerges in a large N limit, but it remains as an approximate symmetry even at finite N.Comment: 12 pages, 1 figure; v2: references added; v3: missing factor of z added in (5.4) and (5.5