On the mean-standard deviation frontier

This paper presents a characterization of the mean standard deviation frontier (MSF) in terms of pricing and averaging securities and explores the geometry of these securities relative to the geometry of the MSF. A summary of already known results is presented along with proof of new results. A measure of the distance between two mean standard deviation frontiers is presented here. This measure is related to asset pricing models which imply that security prices can be represented by a stochastic discount factor, such as the CAPM (Capital Asset Pricing Model) and the APT (Arbitrage Pricing Theory). An application is given in which the distance between two specific frontiers can be interpreted as a measure of model misspecification.

Packing Fraction of a Two-dimensional Eden Model with Random-Sized Particles

We have performed a numerical simulation of a two-dimensional Eden model with random-size particles. In the present model, the particle radii are generated from a Gaussian distribution with mean $\mu$ and standard deviation $\sigma$. First, we have examined the bulk packing fraction for the Eden cluster and investigated the effects of the standard deviation and the total number of particles $N_{\mathrm{T}}$. We show that the bulk packing fraction depends on the number of particles and the standard deviation. In particular, for the dependence on the standard deviation, we have determined the asymptotic value of the bulk packing fraction in the limit of the dimensionless standard deviation. This value is larger than the packing fraction obtained in a previous study of the Eden model with uniform-size particles. Secondly, we have investigated the packing fraction of the entire Eden cluster including the effect of the interface fluctuation. We find that the entire packing fraction depends on the number of particles while it is independent of the standard deviation, in contrast to the bulk packing fraction. In a similar way to the bulk packing fraction, we have obtained the asymptotic value of the entire packing fraction in the limit $N_{\mathrm{T}} \to \infty$. The obtained value of the entire packing fraction is smaller than that of the bulk value. This fact suggests that the interface fluctuation of the Eden cluster influences the packing fraction.Comment: JPSJ3, 6 pages, 15 figure

The value of reliability

We derive the value of reliability in the scheduling of an activity of random duration, such as travel under congested conditions. We show that the minimal expected cost is linear in the mean and standard deviation of duration, regardless of the form of the standardized distribution of durations. This insight provides a unification of the scheduling model and models that include the standard deviation of duration directly as an argument in the cost or utility function. The results generalize approximately to the case where the mean and standard deviation of duration depend on the starting time. Empirical illustration is provided.

Quantum random walk in periodic potential on a line

We investigated the discrete-time quantum random walks on a line in periodic potential. The probability distribution with periodic potential is more complex compared to the normal quantum walks, and the standard deviation $\sigma$ has interesting behaviors for different period $q$ and parameter $\theta$. We studied the behavior of standard deviation with variation in walk steps, period, and $\theta$. The standard deviation increases approximately linearly with $\theta$ and decreases with $1/q$ for $\theta\in(0,\pi/4)$, and increases approximately linearly with $1/q$ for $\theta\in[\pi/4,\pi/2)$. When $q=2$, the standard deviation is lazy for $\theta\in[\pi/4+n\pi,3\pi/4+n\pi],n\in Z$