Biases in Variance of Decomposed Portfolio Returns

Significant portfolio variance biases arise when contrasting multiperiod portfolio returns based on the assumption of fixed continuously rebalanced portfolio weights as opposed to buy‐and‐hold weights. Empirical evidence obtained using S&P 500 constituents from 2003 to 2011 demonstrates that, compared with a buy‐and‐hold assumption, applying fixed weights led to decreased estimates of portfolio volatilities during 2003, 2005 and 2010, but caused a significant increase in volatility estimates in the more turbulent 2008 and 2011. This discrepancy distorts assessments of portfolio risk‐adjusted performance when inappropriate weight assumptions are employed. Consequently, these variance biases have effect on statistical inference in factor models and may result in erroneous portfolio size recommendations for adequate diversification

Preimaginal Stages of the Emerald Ash Borer, Agrilus planipennis Fairmaire (Coleoptera: Buprestidae): An Invasive Pest on Ash Trees (Fraxinus)

This study provides the most detailed description of the immature stages of Agrilus planipennis Fairmaire to date and illustrates suites of larval characters useful in distinguishing among Agrilus Curtis species and instars. Immature stages of eight species of Agrilus were examined and imaged using light and scanning electron microscopy. For A. planipennis all preimaginal stages (egg, instars I-IV, prepupa and pupa) were described. A combination of 14 character states were identified that serve to identify larvae of A. planipennis. Our results support the segregation of Agrilus larvae into two informal assemblages based on characters of the mouthparts, prothorax, and abdomen: the A. viridis and A. ater assemblages, with A. planipennis being more similar to the former. Additional evidence is provided in favor of excluding A. planipennis from the subgenus Uragrilus

Anti-Pluricanonical Systems On Q-Fano Threefolds

We investigate birationality of the anti-pluricanonical map $\phi_{-m}$, the rational map defined by the anti-pluricanonical system $|-mK|$, on $\mathbb{Q}$-Fano threefolds.Comment: 18 page

The nonperturbative propagator and vertex in massless quenched QED_d

It is well known how multiplicative renormalizability of the fermion propagator, through its Schwinger-Dyson equation, imposes restrictions on the 3-point fermion-boson vertex in massless quenched quantum electrodynamics in 4-dimensions (QED$_4$). Moreover, perturbation theory serves as an excellent guide for possible nonperturbative constructions of Green functions. We extend these ideas to arbitrary dimensions $d$. The constraint of multiplicative renormalizability of the fermion propagator is generalized to a Landau-Khalatnikov-Fradkin transformation law in $d$-dimensions and it naturally leads to a constraint on the fermion-boson vertex. We verify that this constraint is satisfied in perturbation theory at the one loop level in 3-dimensions. Based upon one loop perturbative calculation of the vertex, we find additional restrictions on its possible nonperturbative forms in arbitrary dimensions.Comment: 13 pages, no figures, latex (uses IOP style files

Self‐consistent modeling of the large‐scale distortions in the geomagnetic field during the 24–27 September 1998 major magnetic storm

Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/94715/1/jgra17531.pd

New limits on dark--matter WIMPs from the Heidelberg--Moscow experiment

New results after 0.69 kg yr of measurement with an enriched 76Ge detector of the Heidelberg--Moscow experiment with an active mass of 2.758 kg are presented. An energy threshold of 9 keV and a background level of 0.042 counts/(kg d keV) in the energy region between 15 keV and 40 keV was reached.The derived limits on the WIMP--nucleon cross section are the most stringent limits on spin--independent interactions obtained to date by using essentially raw data without background subtraction.Comment: 8 pages (latex) including 5 postscript figures and 2 tables. To appear in Phys. Rev. D, 15. December 199

DISTO data on Kpp

The data from the DISTO Collaboration on the exclusive pp -> p K+ Lambda production acquired at T_p = 2.85 GeV have been re-analysed in order to search for a deeply bound K- pp (= X) state, to be formed in the binary process pp -> K+ X. The preliminary spectra of the DeltaM_{K+} missing-mass and of the M_{p Lambda} invariant-mass show, for large transverse-momenta of protons and kaons, a distinct broad peak with a mass M_X = 2265 +- 2 MeV/c^2 and a width Gamma_X = 118 +- 8 MeV/c^2.Comment: 8 pages, 4 figures. Talk presented at the "10th International Conference on Hypernuclear and Strange Particle Physics" (HYP-X), Tokai, Ibaraki, Japan, September 14th-18th, 2009. To appear in the proceeding

Indication of a deeply bound compact K-pp state formed in the pp -> p Lambda K+ reaction at 2.85 GeV

We have analyzed data of the DISTO experiment on the exclusive pp -> p Lambda K+ reaction at 2.85 GeV to search for a strongly bound compact K-pp (= X) state to be formed in the pp -> K+ + X reaction. The observed spectra of the K+ missing-mass and the p Lambda invariant-mass with high transverse momenta of p and K+ revealed a broad distinct peak with a mass M_X = 2265 +- 2 (stat) +- 5 (syst) MeV/c2 and a width Gamma_X = 118 +- 8 (stat) +- 10 (syst) MeV.Comment: 4 pages, 4 figure

The class of the locus of intermediate Jacobians of cubic threefolds

We study the locus of intermediate Jacobians of cubic threefolds within the moduli space of complex principally polarized abelian fivefolds, and its generalization to arbitrary genus - the locus of abelian varieties with a singular odd two-torsion point on the theta divisor. Assuming that this locus has expected codimension (which we show to be true for genus up to 5), we compute the class of this locus, and of is closure in the perfect cone toroidal compactification, in the Chow, homology, and the tautological ring. We work out the cases of genus up to 5 in detail, obtaining explicit expressions for the classes of the closures of the locus of products of an elliptic curve and a hyperelliptic genus 3 curve, in moduli of principally polarized abelian fourfolds, and of the locus of intermediate Jacobians in genus 5. In the course of our computation we also deal with various intersections of boundary divisors of a level toroidal compactification, which is of independent interest in understanding the cohomology and Chow rings of the moduli spaces.Comment: v2: new section 9 on the geometry of the boundary of the locus of intermediate Jacobians of cubic threefolds. Final version to appear in Invent. Mat

Limits on the Majorana neutrino mass in the 0.1 eV range

The Heidelberg-Moscow experiment gives the most stringent limit on the Majorana neutrino mass. After 24 kg yr of data with pulse shape measurements, we set a lower limit on the half-life of the neutrinoless double beta decay in 76Ge of T_1/2 > 5.7 * 10^{25} yr at 90% C.L., thus excluding an effective Majorana neutrino mass greater than 0.2 eV. This allows to set strong constraints on degenerate neutrino mass models.Comment: 6 pages (latex) including 3 postscript figures and 2 table