17,939 research outputs found
Continuous-time mean-variance efficiency: the 80% rule
This paper studies a continuous-time market where an agent, having specified
an investment horizon and a targeted terminal mean return, seeks to minimize
the variance of the return. The optimal portfolio of such a problem is called
mean-variance efficient \`{a} la Markowitz. It is shown that, when the market
coefficients are deterministic functions of time, a mean-variance efficient
portfolio realizes the (discounted) targeted return on or before the terminal
date with a probability greater than 0.8072. This number is universal
irrespective of the market parameters, the targeted return and the length of
the investment horizon.Comment: Published at http://dx.doi.org/10.1214/105051606000000349 in the
Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute
of Mathematical Statistics (http://www.imstat.org
Rational cubic fourfolds in Hassett divisors
We prove that every Hassett's Noether-Lefschetz divisor of special cubic
fourfolds contains a union of three codimension-two subvarieties, parametrizing
rational cubic fourfolds, in the moduli space of smooth cubic fourfolds.Comment: 10 page
Classification of full exceptional collections of line bundles on three blow-ups of
A fullness conjecture of Kuznetsov says that if a smooth projective variety
admits a full exceptional collection of line bundles of length , then
any exceptional collection of line bundles of length is full. In this
paper, we show that this conjecture holds for as the blow-up of
at a point, a line, or a twisted cubic curve, i.e. any
exceptional collection of line bundles of length 6 on is full. Moreover, we
obtain an explicit classification of full exceptional collections of line
bundles on such .Comment: 28 pages. To appear in Journal of the Korean Mathematical Society, A
previous version with a different title appeared as [CGP17025] at
https://cgp.ibs.re.kr/archive/preprints/201
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