Mean semi-deviation from a target and robust portfolio choice under distribution and mean return ambiguity

Cataloged from PDF version of article.We consider the problem of optimal portfolio choice using the lower partial moments risk measure for a market consisting of n risky assets and a riskless asset. For when the mean return vector and variance/covariance matrix of the risky assets are specified without specifying a return distribution, we derive distributionally robust portfolio rules. We then address potential uncertainty (ambiguity) in the mean return vector as well, in addition to distribution ambiguity, and derive a closed-form portfolio rule for when the uncertainty in the return vector is modelled via an ellipsoidal uncertainty set. Our result also indicates a choice criterion for the radius of ambiguity of the ellipsoid. Using the adjustable robustness paradigm we extend the single-period results to multiple periods, and derive closed-form dynamic portfolio policies which mimic closely the single-period policy. © 2013 Elsevier B.V. All rights reserved

Robust portfolio choice with CVaR and VaR under distribution and mean return ambiguity

Cataloged from PDF version of article.We consider the problem of optimal portfolio choice using the Conditional Value-at-Risk (CVaR) and Value-at-Risk (VaR) measures for a market consisting of n risky assets and a riskless asset and where short positions are allowed. When the distribution of returns of risky assets is unknown but the mean return vector and variance/covariance matrix of the risky assets are fixed, we derive the distributionally robust portfolio rules. Then, we address uncertainty (ambiguity) in the mean return vector in addition to distribution ambiguity, and derive the optimal portfolio rules when the uncertainty in the return vector is modeled via an ellipsoidal uncertainty set. In the presence of a riskless asset, the robust CVaR and VaR measures, coupled with a minimum mean return constraint, yield simple, mean-variance efficient optimal portfolio rules. In a market without the riskless asset, we obtain a closed-form portfolio rule that generalizes earlier results, without a minimum mean return restriction

Production and optical properties of liquid scintillator for the JSNS2^{2} experiment

The JSNS$^{2}$ (J-PARC Sterile Neutrino Search at J-PARC Spallation Neutron Source) experiment will search for neutrino oscillations over a 24 m short baseline at J-PARC. The JSNS$^{2}$ inner detector will be filled with 17 tons of gadolinium-loaded liquid scintillator (LS) with an additional 31 tons of unloaded LS in the intermediate $\gamma$-catcher and outer veto volumes. JSNS$^{2}$ has chosen Linear Alkyl Benzene (LAB) as an organic solvent because of its chemical properties. The unloaded LS was produced at a refurbished facility, originally used for scintillator production by the RENO experiment. JSNS$^{2}$ plans to use ISO tanks for the storage and transportation of the LS. In this paper, we describe the LS production, and present measurements of its optical properties and long term stability. Our measurements show that storing the LS in ISO tanks does not result in degradation of its optical properties.Comment: 7 pages, 4 figures

Jet production in charged current deep inelastic e⁺p scatteringat HERA

The production rates and substructure of jets have been studied in charged current deep inelastic e⁺p scattering for Q² > 200 GeV² with the ZEUS detector at HERA using an integrated luminosity of 110.5 pb⁻¹. Inclusive jet cross sections are presented for jets with transverse energies E_{T}^{jet} > 5 GeV. Measurements of the mean subjet multiplicity, 〈n_{sbj}〉, of the inclusive jet sample are presented. Predictions based on parton-shower Monte Carlo models and next-to-leading-order QCD calculations are compared to the measurements. The value of α_{s} (M_{z}), determined from 〈n_{sbj}〉 at y_{cut} = 10⁻² for jets with 25 < E_{T}^{jet} < 119 GeV, is α_{s} (M_{z}) = 0.1202 ± 0.0052 (stat.)_{-0.0019}^{+0.0060} (syst.)_{-0.0053}^{+0.0065} (th.). The mean subjet multiplicity as a function of Q² is found to be consistent with that measured in NC DIS

Experimental study of the atmospheric neutrino backgrounds for proton decay to positron and neutral pion searches in water Cherenkov detectors

The atmospheric neutrino background for proton decay to positron and neutral pion in ring imaging water Cherenkov detectors is studied with an artificial accelerator neutrino beam for the first time. In total, about 314,000 neutrino events corresponding to about 10 megaton-years of atmospheric neutrino interactions were collected by a 1,000 ton water Cherenkov detector (KT). The KT charged-current single neutral pion production data are well reproduced by simulation programs of neutrino and secondary hadronic interactions used in the Super-Kamiokande (SK) proton decay search. The obtained proton to positron and neutral pion background rate by the KT data for SK from the atmospheric neutrinos whose energies are below 3 GeV is about two per megaton-year. This result is also relevant to possible future, megaton-scale water Cherenkov detectors.Comment: 13 pages, 16 figure

Indications of Neutrino Oscillation in a 250 km Long-baseline Experiment

The K2K experiment observes indications of neutrino oscillation: a reduction of $\nu_\mu$ flux together with a distortion of the energy spectrum. Fifty-six beam neutrino events are observed in Super-Kamiokande (SK), 250 km from the neutrino production point, with an expectation of $80.1^{+6.2}_{-5.4}$. Twenty-nine one ring $\mu$-like events are used to reconstruct the neutrino energy spectrum, which is better matched to the expected spectrum with neutrino oscillation than without. The probability that the observed flux at SK is explained by statistical fluctuation without neutrino oscillation is less than 1%.Comment: 5 pages, 3 figures embedded, LaTeX with RevTeX style, accepted for publication in PRL on December 13, 200

Dissociation of virtual photons in events with a leading proton at HERA

The ZEUS detector has been used to study dissociation of virtual photons in events with a leading proton, gamma^* p -> X p, in e^+p collisions at HERA. The data cover photon virtualities in two ranges, 0.03<Q^2<0.60 GeV^2 and 2<Q^2<100 GeV^2, with M_X>1.5 GeV, where M_X is the mass of the hadronic final state, X. Events were required to have a leading proton, detected in the ZEUS leading proton spectrometer, carrying at least 90% of the incoming proton energy. The cross section is presented as a function of t, the squared four-momentum transfer at the proton vertex, Phi, the azimuthal angle between the positron scattering plane and the proton scattering plane, and Q^2. The data are presented in terms of the diffractive structure function, F_2^D(3). A next-to-leading-order QCD fit to the higher-Q^2 data set and to previously published diffractive charm production data is presented

D* Production in Deep Inelastic Scattering at HERA

This paper presents measurements of D^{*\pm} production in deep inelastic scattering from collisions between 27.5 GeV positrons and 820 GeV protons. The data have been taken with the ZEUS detector at HERA. The decay channel $D^{*+}\to (D^0 \to K^- \pi^+) \pi^+$ (+ c.c.) has been used in the study. The $e^+p$ cross section for inclusive D^{*\pm} production with $5<Q^2<100 GeV^2$ and $y<0.7$ is 5.3 \pms 1.0 \pms 0.8 nb in the kinematic region {$1.3<p_T(D^{*\pm})<9.0$ GeV and $| \eta(D^{*\pm}) |<1.5$}. Differential cross sections as functions of p_T(D^{*\pm}), $\eta(D^{*\pm}), W$ and $Q^2$ are compared with next-to-leading order QCD calculations based on the photon-gluon fusion production mechanism. After an extrapolation of the cross section to the full kinematic region in p_T(D^{*\pm}) and $\eta$(D^{*\pm}), the charm contribution $F_2^{c\bar{c}}(x,Q^2)$ to the proton structure function is determined for Bjorken $x$ between 2 $\cdot$ 10$^{-4}$ and 5 $\cdot$ 10$^{-3}$.Comment: 17 pages including 4 figure