Which portfolio is better? A discussion of several possible comparison criteria

During the last few years, there has been an interest in comparing simple or heuristic procedures for portfolio selection, such as the naive, equal weights, portfolio choice, against more "sophisticated" portfolio choices, and in explaining why, in some cases, the heuristic choice seems to outperform the sophisticated choice. We believe that some of these results may be due to the comparison criterion used. It is the purpose of this note to analyze some ways of comparing the performance of portfolios. We begin by analyzing each criterion proposed on the market line, in which there is only one random return. Several possible comparisons between optimal portfolios and the naive portfolio are possible and easy to establish. Afterwards, we study the case in which there is no risk free asset. In this way, we believe some basic theoretical questions regarding why some portfolios may seem to outperform others can be clarified

Quantum systems in Markovian environments

In this work, we develop a mathematical framework to model a quantum system whose Hamiltonian may depend on the state of changing environment, that evolves according to a Markovian process. When the environment changes its state, the quantum system may suffer a shock that produces an instantaneous transition among its states. The model that we propose can be readily adapted to more general settings.\\ To avoid collateral analytical issues, we consider the case of quantum systems with finite dimensional state space, in which case the observables are described by Hermitian matrices. We show how to average over the environment to predict the expected values of observables

On Poisson-Dirichlet problems with polynomial data

In this note we provide a probabilistic proof that Poisson and/or Dirichlet problems in an ellipsoid in Rd, that have polynomial data, also have polynomial solutions. Our proofs use basic stochastic calculus. The existing proofs are based on famous lemma by E. Fisher which we do not use, and present a simple martingale proof of it as well