Performance analysis and optimal selection of large mean-variance portfolios under estimation risk

We study the consistency of sample mean-variance portfolios of arbitrarily high dimension that are based on Bayesian or shrinkage estimation of the input parameters as well as weighted sampling. In an asymptotic setting where the number of assets remains comparable in magnitude to the sample size, we provide a characterization of the estimation risk by providing deterministic equivalents of the portfolio out-of-sample performance in terms of the underlying investment scenario. The previous estimates represent a means of quantifying the amount of risk underestimation and return overestimation of improved portfolio constructions beyond standard ones. Well-known for the latter, if not corrected, these deviations lead to inaccurate and overly optimistic Sharpe-based investment decisions. Our results are based on recent contributions in the field of random matrix theory. Along with the asymptotic analysis, the analytical framework allows us to find bias corrections improving on the achieved out-of-sample performance of typical portfolio constructions. Some numerical simulations validate our theoretical findings

Fermion Pairing and the Scalar Boson of the 2D Conformal Anomaly

We analyze the phenomenon of fermion pairing into an effective boson associated with anomalies and the anomalous commutators of currents bilinear in the fermion fields. In two spacetime dimensions the chiral bosonization of the Schwinger model is determined by the axial current anomaly of massless Dirac fermions. A similar bosonized description applies to the 2D conformal trace anomaly of the fermion stress tensor. For both the chiral and conformal anomalies, correlation functions involving anomalous currents, $j^{\mu}_5$ or $T^{\mu\nu}$ of massless fermions exhibit a massless boson $1/k^2$ pole, and the associated spectral functions obey a UV finite sum rule, becoming $\delta$-functions in the massless limit. In both cases the corresponding effective action of the anomaly is non-local, but may be expressed in a local form by the introduction of a new bosonic field, which becomes a bona fide propagating quantum field in its own right. In both cases this is expressed in Fock space by the anomalous Schwinger commutators of currents becoming the canonical commutation relations of the corresponding boson. The boson has a Fock space operator realization as a coherent superposition of massless fermion pairs, which saturates the intermediate state sums in quantum correlation functions of fermion currents. The Casimir energy of fermions on a finite spatial interval $[0,L]$ can also be described as a coherent scalar condensation of pairs, and the one-loop correlation function of any number $n$ of fermion stress tensors $\langle TT\dots T\rangle$ may be expressed as a combinatoric sum of $n!/2$ linear tree diagrams of the scalar boson.Comment: 58 pages, 8 figures; v2: minor revision, to appear in JHE

Baseline richness of Salticidae (Araneae) from Misiones, Argentina

The relatively poor knowledge of the spiders of Argentina provided the impetus to set up a checklist for Misiones province, and the primary focus of this study was on the jumping spiders (Salticidae) which was done with the aim of providing a baseline for future research. This checklist compiles 13 subfamilies, 66 genera and 106 known species of salticids from Misiones, which now represent almost 52% of the Argentinean salticid fauna. Distributions of species are given by ecoregion, department and locality. 21 new species records are here cited for Argentina, and full color photographs are provided for 46 salticid species.El conocimiento relativamente escaso sobre las arañas de Argentina proporcionó el impulso para establecer una lista de especies para la provincia de Misiones, y el enfoque principal de este estudio fue sobre las arañas saltadoras (Salticidae); lo cual se hizo con el objetivo de proporcionar una línea de base para futuras investigaciones. Esta lista compila 13 subfamilias, 66 géneros y 106 especies conocidas de saltícidos para Misiones, que ya representa casi el 52% de la fauna de saltícidos argentinos. Las distribuciones de las especies se dan por ecorregión, departamento y localidad. 21 nuevos registros de especies son aquí citados para Argentina, y se proporcionan fotografías a todo color de 46 especies saltícidos.Fil: Rubio, Gonzalo Daniel. Universidad Nacional de Misiones. Facultad de Ciencias Forestales. Instituto de Biologia Subtropical - Sede Puerto Iguazu; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Nordeste; Argentin