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

Experimental evidence of localized oscillations in the photosensitive chlorine dioxide-iodine-malonic acid reaction

The interaction between Hopf and Turing modes has been the subject of active research in recent years. We present here experimental evidence of the existence of mixed Turing-Hopf modes in a two-dimensional system. Using the photosensitive chlorine dioxide-iodine-malonic acid reaction (CDIMA) and external constant background illumination as a control parameter, standing spots oscillating in amplitude and with hexagonal ordering were observed. Numerical simulations in the Lengyel-Epstein model for the CDIMA reaction confirmed the results

Nanoporous Carbon Synthesis: An Old Story with Exciting New Chapters

Activated carbons are key materials in technological applications of multidisciplinary fields (e.g. adsorption, separation, and catalytic processes). The extensive use of these materials results from the combination of a well-developed pore network (micropores or micro + mesopores) along with the presence of heteroatoms (e.g. oxygen, nitrogen, and sulfur). The large scale production of nanoporous carbons is a well-established process since the first patents date from the beginning of the twentieth century. Conventional activation methodologies are divided between physical, using steam or CO2, and chemical, being KOH, ZnCl2, and H3PO4 the most commonly reported oxidizing agents. Due to the panoply of operational parameters that can be changed or added in the production of activated carbons, there is still room for R&D. In this chapter, both conventional and innovative synthetic processes are reviewed to offer an up-to-date picture regarding raw materials, carbonization step, activation process, and other approaches. Conventional activation of gels and chars obtained by novel approaches (i.e. sol-gel method, hydrothermal carbonization (HTC), and acid-mediated carbonization) and more innovative strategies (i.e. variations of HTC process, carbonization of organic salts and ionothermal approaches) are addressed. Textural, surface chemistry and morphological properties of the derived porous carbons were reviewed and critically rationalized

Elliptic curves of large rank and small conductor

For r=6,7,...,11 we find an elliptic curve E/Q of rank at least r and the smallest conductor known, improving on the previous records by factors ranging from 1.0136 (for r=6) to over 100 (for r=10 and r=11). We describe our search methods, and tabulate, for each r=5,6,...,11, the five curves of lowest conductor, and (except for r=11) also the five of lowest absolute discriminant, that we found.Comment: 16 pages, including tables and one .eps figure; to appear in the Proceedings of ANTS-6 (June 2004, Burlington, VT). Revised somewhat after comments by J.Silverman on the previous draft, and again to get the correct page break

Victimization and peer and parents attachment: The mediating effect of regulatory emotional self-efficacy

Studies of the Spanish adolescent population has concluded that victimization is related to lack of emotional regulation and impulse control. Therefore, if a victim is unable to recognize, understand and regulate their emotions, this can result in rejection by their peers. A cross-sectional study was conducted to examine regulatory emotional self-efficacy as a possible mediator in the association between peer and parents attachment and victimization. Adolescents (n = 563) completed Regulatory Emotional Self-Efficacy, Inventory of Parents and Peer Attachment and Kid at School questionnaires. Structural equation models (SEMs) were used to predict a latent variable of victimization with parents and peer attachment, emphasizing the mediating role of regulatory emotional self-efficacy, as comprised by a positive and a negative aspect. Results showed that peer attachment had an indirect negative effect, through perceived self-efficacy, in managing a positive effect in victimization, while father attachment had an indirect negative affect, through perceived self-efficacy, in managing a negative affect in victimization, and Mother attachment had no statistically significant indirect effect in victimization. This study suggests that the roles of parents and peers, and also between mothers and fathers, are different in relation to the perception of victimization of adolescents. Findings provide relevant information regarding implications for prevention and intervention in victimization

Popular matchings with two-sided preferences and one-sided ties

We are given a bipartite graph $G = (A \cup B, E)$ where each vertex has a preference list ranking its neighbors: in particular, every $a \in A$ ranks its neighbors in a strict order of preference, whereas the preference lists of $b \in B$ may contain ties. A matching $M$ is popular if there is no matching $M'$ such that the number of vertices that prefer $M'$ to $M$ exceeds the number of vertices that prefer $M$ to~$M'$. We show that the problem of deciding whether $G$ admits a popular matching or not is NP-hard. This is the case even when every $b \in B$ either has a strict preference list or puts all its neighbors into a single tie. In contrast, we show that the problem becomes polynomially solvable in the case when each $b \in B$ puts all its neighbors into a single tie. That is, all neighbors of $b$ are tied in $b$'s list and $b$ desires to be matched to any of them. Our main result is an $O(n^2)$ algorithm (where $n = |A \cup B|$) for the popular matching problem in this model. Note that this model is quite different from the model where vertices in $B$ have no preferences and do not care whether they are matched or not.Comment: A shortened version of this paper has appeared at ICALP 201

Developing an index for forest productivity mapping - A case study for maritime pine production regulation in Portugal

Productivity is very dependent on the environmental and biotic factors present at the site where the forest species of interest is present. Forest site productivity is usually assessed using empirical models applied to inventory data providing discrete predictions. While the use of GIS-based models enables building a site productivity distribution map. Therefore, the aim of this study was to derive a productivity index using multivariate statistics and coupled GIS-geostatistics to obtain a forest productivity map. To that end, a study area vastly covered by naturally regenerated forests of maritime pine in central Portugal was used. First, a productivity index (PI) was built based on Factorial Correspondence Analysis (FCA) by incorporating a classical site index for the species and region (Sh25 - height index model) and GIS-derived environmental variables (slope and aspect). After, the PI map was obtained by multi-Gaussian kriging and used as a GIS layer to evaluate maritime pine areas by productivity class (e.g., low, intermediate and high). In the end, the area control method was applied to assess the size and the number of compartments to establish by productivity class. The management compartments of equal productivity were digitized as GIS layer and organized in a temporal progression of stands’ age regularly available for cutting each year during a 50-year schedule. The methodological approach developed in this study proved that can be used to build forest productivity maps which are crucial tools to support forest production regulation.A produtividade florestal depende dos fatores ambientais e bióticos da estação onde a espécie florestal se encontra. A produtividade da estação florestal é geralmente avaliada com modelos empíricos aplicados a dados de inventário fornecendo previsões discretas. Enquanto o uso de modelos num SIG permite a construção de mapas de distribuição de produtividade da estação. Assim, o objetivo deste estudo foi desenvolver um índice de produtividade utilizando estatística multivariada e geoestatística acopladas ao SIG para obter um mapa de produtividade florestal. Para o efeito, selecionou-se uma área de estudo com floresta de regeneração natural de pinheiro bravo no centro de Portugal. Primeiramente, o índice de produtividade (PI) foi construído usando a Análise Fatorial das Correspondências (FCA) com um índice de qualidade de estação para a espécie e região (Sh25- modelo de índice de altura) e variáveis ambientais (declive e exposição). Depois, o mapa PI foi obtido por Krigagem multi-Gaussiana e usado como camada SIG para avaliar as áreas da espécie por classe de produtividade (p.e., baixa, intermedia e alta). No final, o método de controle da área foi aplicado para determinar o tamanho e o número de parcelas a serem estabelecidas por classe de produtividade. As parcelas de igual produtividade foram digitalizadas em SIG e organizadas segundo uma progressão de idades disponíveis regularmente para abate anual ao longo de 50 anos. A abordagem metodológica desenvolvida neste estudo provou ser útil na construção de mapas de produtividade florestal que são instrumentos fundamentais para apoiar a regulação da produção florestal.info:eu-repo/semantics/publishedVersio