Risk and Utility in Portfolio Optimization

Modern portfolio theory(MPT) addresses the problem of determining the optimum allocation of investment resources among a set of candidate assets. In the original mean-variance approach of Markowitz, volatility is taken as a proxy for risk, conflating uncertainty with risk. There have been many subsequent attempts to alleviate that weakness which, typically, combine utility and risk. We present here a modification of MPT based on the inclusion of separate risk and utility criteria. We define risk as the probability of failure to meet a pre-established investment goal. We define utility as the expectation of a utility function with positive and decreasing marginal value as a function of yield. The emphasis throughout is on long investment horizons for which risk-free assets do not exist. Analytic results are presented for a Gaussian probability distribution. Risk-utility relations are explored via empirical stock-price data, and an illustrative portfolio is optimized using the empirical data.Comment: 10 pages, 1 figure, presented at 2002 Conference on Econophysics in Bali Indonesi

Experimental evidence of thermal fluctuations on the X-ray absorption near-edge structure at the aluminum K-edge

After a review of temperature-dependent experimental x-ray absorption near-edge structure (XANES) and related theoretical developments, we present the Al K-edge XANES spectra of corundum and beryl for temperature ranging from 300K to 930K. These experimental results provide a first evidence of the role of thermal fluctuation in XANES at the Al K-edge especially in the pre-edge region. The study is carried out by polarized XANES measurements of single crystals. For any orientation of the sample with respect to the x-ray beam, the pre-edge peak grows and shifts to lower energy with temperature. In addition temperature induces modifications in the position and intensities of the main XANES features. First-principles DFT calculations are performed for both compounds. They show that the pre-edge peak originates from forbidden 1s to 3s transitions induced by vibrations. Three existing theoretical models are used to take vibrations into account in the absorption cross section calculations: i) an average of the XANES spectra over the thermal displacements of the absorbing atom around its equilibrium position, ii) a method based on the crude Born-Oppenheimer approximation where only the initial state is averaged over thermal displacements, iii) a convolution of the spectra obtained for the atoms at the equilibrium positions with an approximate phonon spectral function. The theoretical spectra so obtained permit to qualitatively understand the origin of the spectral modifications induced by temperature. However the correct treatment of thermal fluctuation in XANES spectroscopy requires more sophisticated theoretical tools

The Coupled Electronic-Ionic Monte Carlo Simulation Method

Quantum Monte Carlo (QMC) methods such as Variational Monte Carlo, Diffusion Monte Carlo or Path Integral Monte Carlo are the most accurate and general methods for computing total electronic energies. We will review methods we have developed to perform QMC for the electrons coupled to a classical Monte Carlo simulation of the ions. In this method, one estimates the Born-Oppenheimer energy E(Z) where Z represents the ionic degrees of freedom. That estimate of the energy is used in a Metropolis simulation of the ionic degrees of freedom. Important aspects of this method are how to deal with the noise, which QMC method and which trial function to use, how to deal with generalized boundary conditions on the wave function so as to reduce the finite size effects. We discuss some advantages of the CEIMC method concerning how the quantum effects of the ionic degrees of freedom can be included and how the boundary conditions can be integrated over. Using these methods, we have performed simulations of liquid H2 and metallic H on a parallel computer.Comment: 27 pages, 10 figure

Spherical Needlets for CMB Data Analysis

We discuss Spherical Needlets and their properties. Needlets are a form of spherical wavelets which do not rely on any kind of tangent plane approximation and enjoy good localization properties in both pixel and harmonic space; moreover needlets coefficients are asymptotically uncorrelated at any fixed angular distance, which makes their use in statistical procedures very promising. In view of these properties, we believe needlets may turn out to be especially useful in the analysis of Cosmic Microwave Background (CMB) data on the incomplete sky, as well as of other cosmological observations. As a final advantage, we stress that the implementation of needlets is computationally very convenient and may rely completely on standard data analysis packages such as HEALPix.Comment: 7 pages, 7 figure

Probing polarization states of primordial gravitational waves with CMB anisotropies

We discuss the polarization signature of primordial gravitational waves imprinted in cosmic microwave background (CMB) anisotropies. The high-energy physics motivated by superstring theory or M-theory generically yield parity violating terms, which may produce a circularly polarized gravitational wave background (GWB) during inflation. In contrast to the standard prediction of inflation with un-polarized GWB, circularly polarized GWB generates non-vanishing TB and EB-mode power spectra of CMB anisotropies. We evaluate the TB and EB-mode power spectra taking into account the secondary effects and investigate the dependence of cosmological parameters. We then discuss current constraints on the circularly polarized GWB from large angular scales (l < 16) of the three year WMAP data. Prospects for future CMB experiments are also investigated based on a Monte Carlo analysis of parameter estimation, showing that the circular polarization degree, varepsilon, which is the asymmetry of the tensor power spectra between right- and left-handed modes normalized by the total amplitude, can be measured down to |varepsilon| 0.35(r/0.05)^{-0.6}.Comment: 28 pages, 9 figures, Accepted for publication in JCA

Comparison of V-4 and V-5 Exercise/Oxygen Prebreathe Protocols to Support Extravehicular Activity in Microgravity

The Prebreathe Reduction Program (PRP) used exercise during oxygen prebreathe to reduce necessary prebreathe time prior to depressurizing to work in a 4.3 psi suit during extravehicular activity (EVA). Initial testing produced a two-hour protocol incorporating ergometry exercise and a 30 min cycle of depress/repress to 10.2 psi where subjects breathed 26.5% oxygen/balance nitrogen (Phase II - 10 min at 75% peak oxygen consumption [VO2 peak] followed by 40 min intermittent light exercise [ILE] [approx. 5.8 mL-per kilogram- per minute], then 50 min of rest). The Phase II protocol (0/45 DCS) was approved for operations and has been used on 40 EVAs, providing significant time savings compared to the standard 4 h resting oxygen prebreathe. The Phase V effort focused on performing all light in-suit exercise. Two oxygen prebreathe protocols were tested sequentially: V-4) 160 min prebreathe with 150 min of continuous ILE. The entire protocol was completed at 14.7 psi. All exercise involved upper body effort. Exercise continued until decompression. V-5) 160 min prebreathe with 140 min of ILE - first 40 min at 14.7 psi, then 30 min at 10.2 psi (breathing 26.5% oxygen) after a 20 min depress, simulating a suit donning period. Subjects were then repressed to 14.7 psi and performed another 50 min of lower body ILE, followed by 50 min rest before decompression. The V-4 protocol was rejected with 3 DCS/6 person-exposures. Initial V-5 testing has produced 0 DCS/11 person-exposures (ongoing trials). The difference in DCS rate was significant (Fisher Exact p=0.029). The observations of DCS were significantly lower in early V-5 trials than in V-4 trials. Additional studies are required to evaluate the relative contribution of the variables in exercise distribution, the 10.2 psi depress/repress component, pre-decompression rest, or possible variation in total oxygen consumption

Quantum Monte Carlo calculation of Compton profiles of solid lithium

Recent high resolution Compton scattering experiments in lithium have shown significant discrepancies with conventional band theoretical results. We present a pseudopotential quantum Monte Carlo study of electron-electron and electron-ion correlation effects on the momentum distribution of lithium. We compute the correlation correction to the valence Compton profiles obtained within Kohn-Sham density functional theory in the local density approximation and determine that electronic correlation does not account for the discrepancy with the experimental results. Our calculations lead do different conclusions than recent GW studies and indicate that other effects (thermal disorder, core-valence separation etc.) must be invoked to explain the discrepancy with experiments.Comment: submitted to Phys. Rev.