Portfolio optimization with mixture vector autoregressive models

Obtaining reliable estimates of conditional covariance matrices is an important task of heteroskedastic multivariate time series. In portfolio optimization and financial risk management, it is crucial to provide measures of uncertainty and risk as accurately as possible. We propose using mixture vector autoregressive (MVAR) models for portfolio optimization. Combining a mixture of distributions that depend on the recent history of the process, MVAR models can accommodate asymmetry, multimodality, heteroskedasticity and cross-correlation in multivariate time series data. For mixtures of Normal components, we exploit a property of the multivariate Normal distribution to obtain explicit formulas of conditional predictive distributions of returns on a portfolio of assets. After showing how the method works, we perform a comparison with other relevant multivariate time series models on real stock return data.Comment: 19 pages, 9 figures, 2 table

(De)Constructing Dimensions

We construct renormalizable, asymptotically free, four dimensional gauge theories that dynamically generate a fifth dimension.Comment: 10 pages, late

Operator Analysis for Proton Decay in SUSY SO(10) GUT Models

Non-renormalizable operators both account for the failure of down quark and charged lepton Yukawa couplings to unify and reduce the proton decay rate via dimension-five operators in minimal SUSY SU(5) GUT. We extend the analysis to SUSY SO(10) GUT models.Comment: Higgs sector clarified, two Refs adde

The asymptotic covariance matrix of the multivariate serial correlations

AbstractWe show that the entries of the asymptotic covariance matrix of the serial covariances and serial correlations of a multivariate stationary process can be expressed in terms of the autocovariances corresponding to the tensor square of its spectral density. The tensor convolution introduced in the paper may be of some interest on its own

Constraining the Littlest Higgs

Little Higgs models offer a new way to address the hierarchy problem, and give rise to a weakly-coupled Higgs sector. These theories predict the existence of new states which are necessary to cancel the quadratic divergences of the Standard Model. The simplest version of these models, the Littlest Higgs, is based on an $SU(5)/SO(5)$ non-linear sigma model and predicts that four new gauge bosons, a weak isosinglet quark, $t'$, with $Q=2/3$, as well as an isotriplet scalar field exist at the TeV scale. We consider the contributions of these new states to precision electroweak observables, and examine their production at the Tevatron. We thoroughly explore the parameter space of this model and find that small regions are allowed by the precision data where the model parameters take on their natural values. These regions are, however, excluded by the Tevatron data. Combined, the direct and indirect effects of these new states constrain the `decay constant' f\gsim 3.5 TeV and m_{t'}\gsim 7 TeV. These bounds imply that significant fine-tuning be present in order for this model to resolve the hierarchy problem.Comment: 31 pgs, 26 figures; bound on t' mass fixed to mt'>2f, conclusions unchange

A flexible polymer chain in a critical solvent: Coil or globule?

We study the behavior of a flexible polymer chain in the presence of a low-molecular weight solvent in the vicinity of a liquid-gas critical point within the framework of a self-consistent field theory. The total free energy of the dilute polymer solution is expressed as a function of the radius of gyration of the polymer and the average solvent number density within the gyration volume at the level of the mean-field approximation. Varying the strength of attraction between polymer and solvent we show that two qualitatively different regimes occur at the liquid-gas critical point. In case of weak polymer-solvent interactions the polymer chain is in a globular state. On the contrary, in case of strong polymer-solvent interactions the polymer chain attains an expanded conformation. We discuss the influence of the critical solvent density fluctuations on the polymer conformation. The reported effect could be used to excert control on the polymer conformation by changing the thermodynamic state of the solvent. It could also be helpful to estimate the solvent density within the gyration volume of the polymer for drug delivery and molecular imprinting applications

Cell sources for articular cartilage repair strategies: shifting from mono-cultures to co-cultures

The repair of articular cartilage is challenging due to the sparse native cell population combined with the avascular and aneural nature of the tissue. In recent years cartilage tissue engineering has shown great promise. As with all tissue engineering strategies, the possible therapeutic outcome is intimately linked with the used combination of cells, growth factors and biomaterials. However, the optimal combination has remained a controversial topic and no consensus has been reached. In consequence, much effort has been dedicated to further design, investigate and optimize cartilage repair strategies. Specifically, various research groups have performed intensive investigations attempting to identify the single most optimal cell source for articular cartilage repair strategies. However, recent findings indicate that not the heavily investigated mono cell source, but the less studied combinations of cell sources in co-culture might be more attractive for cartilage repair strategies. This review will give a comprehensive overview on the cell sources that have been investigated for articular cartilage repair strategies. In particular, the advantages and disadvantages of investigated cell sources are comprehensively discussed with emphasis on the potential of co-cultures in which benefits are combined while the disadvantages of single cell sources for cartilage repair are mitigated

Comparison of 1/mQ^2 Corrections in Mesons and Baryons

We extend our relativistic quark model to the study of the decay Lambda_b -> Lambda_c ell nu and verify that the model satisfies the heavy-quark symmetry constraints at order 1/mQ^2. We isolate a strong dependence on a parameter which measures the relative distortion in the light-quark wave functions of the Lambda_b and Lambda_c. This parameter and the 1/mQ^2 corrections turn out to be small. The dependence on a corresponding parameter in the meson case leads to large 1/mQ^2 corrections.Comment: 9 pages, LaTeX, 3 self-contained LaTeX figures in separate fil

Yukawa terms in noncommutative SO(10) and E6 GUTs

We propose a method for constructing Yukawa terms for noncommutative SO(10) and E6 GUTs, when these GUTs are formulated within the enveloping-algebra formalism. The most general noncommutative Yukawa term that we propose contains, at first order in thetamunu, the most general BRS invariant Yukawa contribution whose only dimensionful parameter is the noncommutativity parameter. This noncommutative Yukawa interaction is thus renormalisable at first order in thetamunu.Comment: 14 pages, no figure