Dynamic Portfolio Selection by Augmenting the Asset Space

We present a novel approach to dynamic portfolio selection that is no more difficult to implement than the static Markowitz model. The idea is to expand the asset space to include simple (mechanically) managed portfolios and compute the optimal static portfolio in this extended asset space. The intuition is that a static choice among managed portfolios is equivalent to a dynamic strategy. We consider managed portfolios of two types: "conditional" and "timing" portfolios. Conditional portfolios are constructed along the lines of Hansen and Richard (1987). For each variable that affects the distribution of returns and for each basis asset, we include a portfolio that invests in the basis asset an amount proportional to the level of the conditioning variable. Timing portfolios invest in each basis asset for a single period and therefore mimic strategies that buy and sell the asset through time. We apply our method to a problem of dynamic asset allocation across stocks, bonds, and cash using the predictive ability of four conditioning variables.

Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns

We propose a novel approach to optimizing portfolios with large numbers of assets. We model directly the portfolio weight in each asset as a function of the asset's characteristics. The coefficients of this function are found by optimizing the investor's average utility of the portfolio's return over the sample period. Our approach is computationally simple, easily modified and extended, produces sensible portfolio weights, and offers robust performance in and out of sample. In contrast, the traditional approach of first modeling the joint distribution of returns and then solving for the corresponding optimal portfolio weights is not only difficult to implement for a large number of assets but also yields notoriously noisy and unstable results. Our approach also provides a new test of the portfolio choice implications of equilibrium asset pricing models. We present an empirical implementation for the universe of all stocks in the CRSP-Compustat dataset, exploiting the size, value, and momentum anomalies.

A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability

We present a simulation-based method for solving discrete-time portfolio choice problems involving non-standard preferences, a large number of assets with arbitrary return distribution, and, most importantly, a large number of state variables with potentially path-dependent or non-stationary dynamics. The method is flexible enough to accommodate intermediate consumption, portfolio constraints, parameter and model uncertainty, and learning. We first establish the properties of the method for the portfolio choice between a stock index and cash when the stock returns are either iid or predictable by the dividend yield. We then explore the problem of an investor who takes into account the predictability of returns but is uncertain about the parameters of the data generating process. The investor chooses the portfolio anticipating that future data realizations will contain useful information to learn about the true parameter values.

Spatial entanglement of paired photons generated in cold atomic ensembles

Cold atomic ensembles can mediate the generation of entanglement between pairs of photons. Photons with specific directions of propagation are detected, and the entanglement can reside in any of the degrees of freedom that describe the whole quantum state of the photons: polarization, spatial shape or frequency. We show that the direction of propagation of the generated photons determines the spatial quantum state of the photons and therefore, the amount of entanglement generated. When photons generated in different directions are combined, this spatial distinguishing information can degrade the quantum purity of the polarization or frequency entanglement.Comment: 5 pages, 4 figures. Submitted to Phys. Rev. A.; one figure (Fig. 3) was added, typos and labels in figure 2 were correcte

Alien Registration- Eaton, Clara Christine W. (Lewiston, Androscoggin County)

https://digitalmaine.com/alien_docs/29364/thumbnail.jp

Scattering of a Klein-Gordon particle by a Woods-Saxon potential

We solve the Klein-Gordon equation in the presence of a spatially one-dimensional Woods-Saxon potential. The scattering solutions are obtained in terms of hypergeometric functions and the condition for the existence of transmission resonances is derived. It is shown how the zero-reflection condition depends on the shape of the potential.Comment: 10 pages, Revtex. To appear in Phys. Rev.

Letters betweenClara Firth and W. J. Kerr

Letters concerning a position in the department of shorthand and typewriting at Utah Agricultural College

Photochemistry of Anoxic Abiotic Habitable Planet Atmospheres: Impact of New H2_2O Cross-Sections

We present a study of the photochemistry of abiotic habitable planets with anoxic CO$_2$-N$_2$ atmospheres. Such worlds are representative of early Earth, Mars and Venus, and analogous exoplanets. H$_2$O photodissociation controls the atmospheric photochemistry of these worlds through production of reactive OH, which dominates the removal of atmospheric trace gases. The near-UV (NUV; $>200$ nm) absorption cross-sections of H$_2$O play an outsized role in OH production; these cross-sections were heretofore unmeasured at habitable temperatures ($<373$ K). We present the first measurements of NUV H$_2$O absorption at $292$ K, and show it to absorb orders of magnitude more than previously assumed. To explore the implications of these new cross-sections, we employ a photochemical model; we first intercompare it with two others and resolve past literature disagreement. The enhanced OH production due to these higher cross-sections leads to efficient recombination of CO and O$_2$, suppressing both by orders of magnitude relative to past predictions and eliminating the low-outgassing "false positive" scenario for O$_2$ as a biosignature around solar-type stars. Enhanced [OH] increases rainout of reductants to the surface, relevant to prebiotic chemistry, and may also suppress CH$_4$ and H$_2$; the latter depends on whether burial of reductants is inhibited on the underlying planet, as is argued for abiotic worlds. While we focus on CO$_2$-rich worlds, our results are relevant to anoxic planets in general. Overall, our work advances the state-of-the-art of photochemical models by providing crucial new H$_2$O cross-sections and resolving past disagreement in the literature, and suggests that detection of spectrally active trace gases like CO in rocky exoplanet atmospheres may be more challenging than previously considered.Comment: Manuscript (this version) accepted to ApJ. Cross-section data available at https://github.com/sukritranjan/ranjanschwietermanharman2020. Feedback continues to be solicite