On pricing kernels, information and risk

We discuss the finding that cross-sectional characteristic based models have yielded portfolios with higher excess monthly returns but lower risk than their arbitrage pricing theory counterparts in an analysis of equity returns of stocks listed on the JSE. Under the assumption of general no-arbitrage conditions, we argue that evidence in favour of characteristic based pricing implies that information is more likely assimilated by means of nonlinear pricing kernels for the markets considered.Comment: 20 pages, 3 figures, 1 tabl

How well would modern-day oceanic property distributions be known with paleoceanographic-like observations?

Author Posting. © American Geophysical Union, 2016. This article is posted here by permission of American Geophysical Union for personal use, not for redistribution. The definitive version was published in Paleoceanography 31 (2016): 472–490, doi:10.1002/2015PA002917.Compilations of paleoceanographic observations for the deep sea now contain a few hundred points along the oceanic margins, mid-ocean ridges, and bathymetric highs, where seawater conditions are indirectly recorded in the chemistry of buried benthic foraminiferal shells. Here we design an idealized experiment to test our predictive ability to reconstruct modern-day seawater properties by considering paleoceanographic-like data. We attempt to reconstruct the known, modern-day global distributions by using a state estimation method that combines a kinematic tracer transport model with observations that have paleoceanographic characteristics. When a modern-like suite of observations (Θ, practical salinity, seawater δ18O, inline image, PO4, NO3, and O2) is used from the sparse paleolocations, the state estimate is consistent with the withheld data at all depths below 1500 m, suggesting that the observational sparsity can be overcome. Physical features, such as the interbasin gradients in deep inline image and the vertical structure of Atlantic inline image, are accurately reconstructed. The state estimation method extracts useful information from the pointwise observations to infer distributions at the largest oceanic scales (at least 10,000 km horizontally and 1500 m vertically) and outperforms a standard optimal interpolation technique even though neither dynamical constraints nor constraints from surface boundary fluxes are used. When the sparse observations are more realistically restricted to the paleoceanographic proxy observations of δ13C, δ18O, and Cd/Ca, however, the large-scale property distributions are no longer recovered coherently. At least three more water mass tracers are likely needed at the core sites in order to accurately reconstruct the large-scale property distributions of the Last Glacial Maximum.NSF Grant Numbers: 1124880, 11254222016-10-0

The Limits on Cosmological Anisotropies and Inhomogeneities from COBE Data

Assuming that the cosmological principle holds, Maartens, Ellis and Stoeger (MES) recently constructed a detailed scheme linking anisotropies in the cosmic background radiation (CMB) with anisotropies and inhomogeneities in the large scale structure of the universe and showed how to place limits on those anisotropies and inhomogeneities simply by using CMB quadrupole and octupole limits. First we indicate and discuss the connection between the covariant multipole moments of the temperature anisotropy used in the MES scheme and the quadrupole and octupole results from COBE. Then we introduce those results into the MES limit equations to obtain definite quantitative limits on the complete set of cosmological measures of anisotropy and inhomogeneity. We find that all the anisotropy measures are less than 10^{-4} in the case of those not affected by the expansion rate H, and less than 10^{-6} Mpc^{-1} in the case of those which are. These results quantitatively demonstrate that the observable universe is indeed close to Friedmann-Lemaitre-Robertson-Walker (FLRW) on the largest scales, and can be adequately modelled by an almost-FLRW model -- that is, the anisotropies and inhomogeneities characterizing the observable universe on the largest scales are not too large to be considered perturbations to FLRW.Comment: Original paper with corrections. ApJ 476 435 (1997) erratum to appear ApJ Sept 199

Global-mean marine δ13C and its uncertainty in a glacial state estimate

Author Posting. © The Author(s), 2015. This is the author's version of the work. It is posted here by permission of Elsevier for personal use, not for redistribution. The definitive version was published in Quaternary Science Reviews 125 (2015): 144-159, doi:10.1016/j.quascirev.2015.08.010.A paleo-data compilation with 492 δ13C and δ18O observations provides the opportunity to better sample the Last Glacial Maximum (LGM) and infer its global properties, such as the mean δ13C of dissolved inorganic carbon. Here, the paleocompilation is used to reconstruct a steady-state water-mass distribution for the LGM, that in turn is used to map the data onto a 3D global grid. A global-mean marine δ13C value and a self-consistent uncertainty estimate are derived using the framework of state estimation (i.e., combining a numerical model and observations). The LGM global-mean δ13C is estimated to be 0:14h±0:20h at the two standard error level, giving a glacial-to-modern change of 0:32h±0:20h. The magnitude of the error bar is attributed to the uncertain glacial ocean circulation and the lack of observational constraints in the Pacific, Indian, and Southern Oceans. Observations in the Indian and Pacific Oceans generally have 10 times the weight of an Atlantic point in the computation of the global mean. To halve the error bar, roughly four times more observations are needed, although strategic sampling may reduce this number. If dynamical constraints can be used to better characterize the LGM circulation, the error bar can also be reduced to 0:05 to 0:1h, emphasizing that knowledge of the circulation is vital to accurately map δ13CDIC in three dimensions.GG is supported by NSF grants OIA-1124880 and OCE-1357121, the WHOI Ocean and Climate Change Institute, and The Joint Initiative Awards Fund from the Andrew W. Mellon Foundation

General relativistic analysis of peculiar velocities

We give a careful general relativistic and (1+3)-covariant analysis of cosmological peculiar velocities induced by matter density perturbations in the presence of a cosmological constant. In our quasi-Newtonian approach, constraint equations arise to maintain zero shear of the non-comoving fundamental worldlines which define a Newtonian-like frame, and these lead to the (1+3)-covariant dynamical equations, including a generalized Poisson-type equation. We investigate the relation between peculiar velocity and peculiar acceleration, finding the conditions under which they are aligned. In this case we find (1+3)-covariant relativistic generalizations of well-known Newtonian results.Comment: 8 pages, LaTeX2e (iopart); minor changes, matches version accepted for publication by Classical and Quantum Gravit

Benthic foraminiferal stable carbon isotope constraints on deglacial ocean circulation and carbon-cycle changes

How does deep-ocean circulation influence atmospheric CO2 across deglacial transitions? Although biogeochemical and physical processes complicate interpretation of foraminiferal stable carbon isotope data, these complications can be addressed with expanded data compilations, multiproxy approaches, and model-data assimilation efforts.Fil: Peterson, Carlye D.. University of California Riverside; Estados UnidosFil: Gebbie, G.. Woods Hole Oceanographic Institution; Estados UnidosFil: Lisiecki, L. E.. University of California Santa Barbara; Estados UnidosFil: Lynch Stieglitz, J.. School of Earth and Atmospheric Sciences; Estados UnidosFil: Oppo, D.. Woods Hole Oceanographic Institution; Estados UnidosFil: Muglia, Juan. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Centro Nacional Patagónico. Centro para el Estudio de Sistemas Marinos; ArgentinaFil: Repschläger, Janne. Max Planck Institute for Chemistry; AlemaniaFil: Schmittner, A.. University of Oregon; Estados Unido

Physical Electronics

Contains research objectives and reports on two research projects