Imperfect predictability and mutual fund dynamics. How managers use predictors in changing systematic risk.

Suppose a fund manager uses predictors in changing port-folio allocations over time. How does predictability translate into portfolio decisions? To answer this question we derive a new model within the Bayesian framework, where managers are assumed to modulate the systematic risk in part by observing how the benchmark returns are related to some set of imperfect predictors, and in part on the basis of their own information set. In this portfolio allocation process, managers concern themselves with the potential benefits arising from the market timing generated by benchmark predictors and by private information. In doing this, we impose a structure on fund returns, betas, and bench-mark returns that help to analyse how managers really use predictors in changing investments over time. The main findings of our empirical work are that beta dynamics are significantly affected by economic variables, even though managers do not care about bench-mark sensitivities towards the predictors in choosing their instrument exposure, and that persistence and leverage effects play a key role as well. Conditional market timing is virtually absent, if not negative, over the period 1990-2005. However such anomalous negative timing ability is offset by the leverage effect, which in turn leads to an increase in mutual fund extra performance. JEL Classification: C11, C13, G12, G13Bayesian analysis, conditional asset pricing models, Equity mutual funds, time-varying beta

Asymptotic decay under nonlinear and noncoercive dissipative effects for electrical conduction in biological tissues

We consider a nonlinear model for electrical conduction in biological tissues. The nonlinearity appears in the interface condition prescribed on the cell membrane. The purpose of this paper is proving asymptotic convergence for large times to a periodic solution when time-periodic boundary data are assigned. The novelty here is that we allow the nonlinearity to be noncoercive. We consider both the homogenized and the non-homogenized version of the problem

The holographic non-abelian vortex

We study a fully back-reacted non-abelian vortex solution in an extension of the holographic superconductor setup. The thermodynamic properties of the vortex are computed. We show that, in some regime of parameters, the non-abelian vortex solution has a lower free energy than a competing abelian vortex solution. The solution is dual to a finite-temperature perturbed conformal field theory with a topological defect, on which operators related to the Goldstone modes of a spontaneously broken symmetry are localized. We compute numerically the retarded Green function of these operators and we find, in the classical approximation in the bulk, a gapless $\mathbb{CP}^1$ excitation on the vortex world line.Comment: 28 pages, 7 figure

Combining Parametric and Non-parametric Algorithms for a Partially Unsupervised Classification of Multitemporal Remote-Sensing Images

In this paper, we propose a classification system based on a multiple-classifier architecture, which is aimed at updating land-cover maps by using multisensor and/or multisource remote-sensing images. The proposed system is composed of an ensemble of classifiers that, once trained in a supervised way on a specific image of a given area, can be retrained in an unsupervised way to classify a new image of the considered site. In this context, two techniques are presented for the unsupervised updating of the parameters of a maximum-likelihood (ML) classifier and a radial basis function (RBF) neural-network classifier, on the basis of the distribution of the new image to be classified. Experimental results carried out on a multitemporal and multisource remote-sensing data set confirm the effectiveness of the proposed system

Using globular clusters to test gravity in the weak acceleration regime: NGC 7099

A test of Newton's law of gravity in the low acceleration regime using globular clusters is presented. New results for the core collapsed globular cluster NGC 7099 are given. The run of the gravitational potential as a function of distance is probed studying the velocity dispersion profile of the cluster, as derived from a set of 125 radial velocities with accuracy better than 1 km/s. The velocity dispersion profile is traced up to ~18 pc from the cluster center. The dispersion is found to be maximal at the center, then decrease until 10+-2 pc from the center, well inside the cluster tidal radius of 42 pc. After that the dispersion remains constant with average value 2.2+-0.3 km/s. Assuming for NGC 7099 a total V mag of M(V)=-7.43 mags and mass-to-light ratio M/L=1, the acceleration at 10 pc from the center is 1.1e-8 cm/s/s. Thus, the flattening of the velocity dispersion profile occurs for a value of the internal acceleration of gravity fully consistent with a_0=1.2e-8 cm/s/s observed in galaxies. This new result for NGC 7099 brings to 4 the clusters with velocity dispersion profile probing acceleration below a_0. All four have been found to have a flat dispersion profile at large radii where the acceleration is below a_0, mimicking qualitatively and quantitatively elliptical galaxies. Whether this indicates a failure of Newtonian dynamics in the low acceleration limit or some more conventional dynamical effect (e.g., tidal heating) is still unclear. However, the similarities emerging between very different globular clusters, as well as between globular clusters and elliptical galaxies seem to favor the first of these two possibilities.Comment: Accepted for publication in A&A Letters. Four pages in tota