The Holographic RG flow to conformal and non-conformal theory

We review some aspects of the AdS supergravity description of RG flows. The case of a flow to an IR CFT can be rigorously studied within the framework of supergravity. Here we discuss various central charges of the conformal theory (included the usually neglected ones) and we compare them with QFT expectations. The case of flows to non-conformal theories is more problematic in that one usually encounters a naked singularity. We mainly focus on the flow to an IR N=1 super Yang-Mills theory. We discuss the properties of the solution and we briefly comment on the fate of the singularity. We also compare the supergravity results with the expectations of an N=1 SYM at strong coupling.Comment: LaTex,13 pages, 3 embedded eps figures, minor changes.Contribution to the proceedings of the TMR Conference on Quantum Aspects of Gauge Theories, Supersymmetry and Unification, Paris, 1-7 September 199

Optimal Asset Allocation with Factor Models for Large Portfolios

An electronic version of the paper may be downloaded • from the SSRN website: www.SSRN.com • from the RePEc website: www.RePEc.org • from the CESifo website: Twww.CESifo-group.org/wp

N=6 Supergravity on AdS5AdS_5 and the SU(2,2/3)SU(2,2/3) Superconformal Correspondence

It is argued that N=6 supergravity on $AdS_5$, with gauge group $SU(3)\times U(1)$ corresponds, at the classical level, to a subsector of the ``chiral'' primary operators of N=4 Yang-Mills theories. This projection involves a ``duality transformation'' of N=4 Yang-Mills theory and therefore can be valid if the coupling is at a self-dual point, or for those amplitudes that do not depend on the coupling constant.Comment: 9 pages, late

Model Averaging in Risk Management with an Application to Futures Markets

This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio management. Evaluation of volatility models is then considered and a simple Value-at-Risk (VaR) diagnostic test is proposed for individual as well as ‘average ’ models. The asymptotic as well as the exact finite-sample distribution of the test statistic, dealing with the possibility of parameter uncertainty, are established. The model averaging idea and the VaR diagnostic tests are illustrated by an application to portfolios of daily returns on six currencies, four equity indices, four ten year government bonds and four commodities over the period 1991-2007. The empirical evidence supports the use of ‘thick’ model averaging strategies over single models or Bayesian type model averaging procedures

Pseudo-Maximum Likelihood Estimation of ARCH(8) Models

Strong consistency and asymptotic normality of the Gaussian pseudo-maximumlikelihood estimate of the parameters in a wide class of ARCH(8) processesare established. We require the ARCH weights to decay at least hyperbolically,with a faster rate needed for the central limit theorem than for the law of largenumbers. Various rates are illustrated in examples of particular parameteriza-tions in which our conditions are shown to be satisfied.ARCH(8,)models, pseudo-maximum likelihoodestimation, asymptotic inference

Novel Local CFT and Exact Results on Perturbations of N=4 Super Yang Mills from AdS Dynamics

We find new, local, non-supersymmetric conformal field theories obtained by relevant deformations of the N=4 super Yang Mills theory in the large $N$ limit. We contruct interpolating supergravity solutions that naturally represent the flow from the N=4 super Yang Mills UV theory to these non-supersymmetric IR fixed points. We also study the linearization around the N=4 superconformal point of N=1 supersymmetric, marginal deformations. We show that they give rise to N=1 superconformal fixed points, as expected from field-theoretical arguments.Comment: Version accepted by JHE