Using Column Generation to Solve Extensions to the Markowitz Model

We introduce a solution scheme for portfolio optimization problems with cardinality constraints. Typical portfolio optimization problems are extensions of the classical Markowitz mean-variance portfolio optimization model. We solve such type of problems using a method similar to column generation. In this scheme, the original problem is restricted to a subset of the assets resulting in a master convex quadratic problem. Then the dual information of the master problem is used in a sub-problem to propose more assets to consider. We also consider other extensions to the Markowitz model to diversify the portfolio selection within the given intervals for active weights.Comment: 16 pages, 3 figures, 2 tables, 1 pseudocod

Power law tails of time correlations in a mesoscopic fluid model

In a quenched mesoscopic fluid, modelling transport processes at high densities, we perform computer simulations of the single particle energy autocorrelation function C_e(t), which is essentially a return probability. This is done to test the predictions for power law tails, obtained from mode coupling theory. We study both off and on-lattice systems in one- and two-dimensions. The predicted long time tail ~ t^{-d/2} is in excellent agreement with the results of computer simulations. We also account for finite size effects, such that smaller systems are fully covered by the present theory as well.Comment: 11 pages, 12 figure

Investigation of plane-strain flaw growth in thick-walled tanks Final report, 26 Jun. 1964 - 26 Oct. 1965

Flaw growth rates and fracture toughness data for materials used in thick walled cylindrical tank

The role of noise and initial conditions in the asymptotic solution of a bounded confidence, continuous-opinion model

We study a model for continuous-opinion dynamics under bounded confidence. In particular, we analyze the importance of the initial distribution of opinions in determining the asymptotic configuration. Thus, we sketch the structure of attractors of the dynamical system, by means of the numerical computation of the time evolution of the agents density. We show that, for a given bound of confidence, a consensus can be encouraged or prevented by certain initial conditions. Furthermore, a noisy perturbation is added to the system with the purpose of modeling the free will of the agents. As a consequence, the importance of the initial condition is partially replaced by that of the statistical distribution of the noise. Nevertheless, we still find evidence of the influence of the initial state upon the final configuration for a short range of the bound of confidence parameter

Spin-orbital excitation continuum and anomalous electron-phonon interaction in the Mott insulator LaTiO3_3

Raman scattering experiments on stoichiometric, Mott-insulating LaTiO$_3$ over a wide range of excitation energies reveal a broad electronic continuum which is featureless in the paramagnetic state, but develops a gap of $\sim 800$ cm$^{-1}$ upon cooling below the N\'eel temperature $T_N = 146$ K. In the antiferromagnetic state, the spectral weight below the gap is transferred to well-defined spectral features due to spin and orbital excitations. Low-energy phonons exhibit pronounced Fano anomalies indicative of strong interaction with the electron system for $T > T_N$, but become sharp and symmetric for $T < T_N$. The electronic continuum and the marked renormalization of the phonon lifetime by the onset of magnetic order are highly unusual for Mott insulators and indicate liquid-like correlations between spins and orbitals.Comment: to appear in Phys. Rev. Let