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

Heterotic-Type II String Duality and the H-Monopole Problem

Since T-duality has been proved only perturbatively and most of the heterotic states map into solitonic, non-perturbative, type II states, the 6-dimensional string-string duality between the heterotic string and the type II string is not sufficient to prove the S-duality of the former, in terms of the known T-duality of the latter. We nevertheless show in detail that perturbative T-duality, together with the heterotic-type II duality, does imply the existence of heterotic H-monopoles, with the correct multiplicity and multiplet structure. This construction is valid at a generic point in the moduli space of heterotic toroidal compactifications.Comment: 12 pages, plain Late

Confinement and Condensates Without Fine Tuning in Supergravity Duals of Gauge Theories

We discuss a solution of the equations of motion of five-dimensional gauged type IIB supergravity that describes confining SU(N) gauge theories at large N and large 't Hooft parameter. We prove confinement by computing the Wilson loop, and we show that our solution is generic, independent of most of the details of the theory. In particular, the Einstein-frame metric near its singularity, and the condensates of scalar, composite operators are universal. Also universal is the discreteness of the glueball mass spectrum and the existence of a mass gap. The metric is also identical to a generically confining solution recently found in type 0B theory.Comment: 19 pages, Late

Model Averaging and Value-at-Risk Based Evaluation of Large Multi Asset Volatility Models for Risk Management

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. In particular, it is shown that under certain conditions portfolio returns based on an average model will be more fat-tailed than if based on an individual underlying model with the same average volatility. Evaluation of volatility models is also considered and a simple Value-at-Risk (VaR) diagnostic test is proposed for individual as well as ‘average’ models and its exact and asymptotic properties are established. The model averaging idea and the VaR diagnostic tests are illustrated by an application to portfolios of daily returns based on twenty two of Standard & Poor’s 500 industry group indices over the period January 2, 1995 to October 13, 2003, inclusive.model averaging, value-at-risk, decision based evaluation

Optimal Asset Allocation with Factor Models for Large Portfolios

This paper characterizes the asymptotic behaviour, as the number of assets gets arbitrarily large, of the portfolio weights for the class of tangency portfolios belonging to the Markowitz paradigm. It is assumed that the joint distribution of asset returns is characterized by a general factor model, with possibly heteroskedastic components. Under these conditions, we establish that a set of appealing properties, so far unnoticed, characterize traditional Markowitz portfolio trading strategies. First, we show that the tangency portfolios fully diversify the risk associated with the factor component of asset return innovations. Second, with respect to determination of the portfolio weights, the conditional distribution of the factors is of second-order importance as compared to the distribution of the factor loadings and that of the idiosyncratic components. Third, although of crucial importance in forecasting asset returns, current and lagged factors do not enter the limit portfolio returns. Our theoretical results also shed light on a number of issues discussed in the literature regarding the limiting properties of portfolio weights such as the diversifiability property and the number of dominant factors.asset allocation, large portfolios, factor models, diversification

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