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

Entanglement Entropy, Conformal Invariance and the Critical Behavior of the Anisotropic Spin-S Heisenberg Chains: A DMRG study

Using the density-matrix renormalization-group, we investigate the critical behavior of the anisotropic Heisenberg chains with spins up to $S=9/2$. We show that through the relations arising from the conformal invariance and the DMRG technique it is possible to obtain accurate finite-size estimates of the conformal anomaly $c$, the sound velocity $v_{s}$, the anomalous dimension $x_{bulk}$, and the surface exponent $x_{s}$ of the anisotropic spin-$S$ Heisenberg chains with relatively good accuracy without fitting parameters. Our results indicate that the entanglement entrop $S(L,l_{A},S)$ of the spin-$S$ Heisenberg chains satisfies the relation $S(L,l_{A},S)-S(L,l_{A},S-1)=1/(2S+1)$ for $S>3/2$ in the thermodynamic limit.Comment: 7 pages, 3 figs., 3 tables, to appear in PRB. Added new results for s>1/

Book vs. fair value accounting in banking and intertemporal smoothing

The aim of this paper is to examine the pros and cons of book and fair value accounting from the perspective of the theory of banking. We consider the implications of the two accounting methods in an overlapping generations environment. As observed by Allen and Gale(1997), in an overlapping generation model, banks have a role as intergenerational connectors as they allow for intertemporal smoothing. Our main result is that when dividends depend on profits, book value ex ante dominates fair value, as it provides better intertemporal smoothing. This is in contrast with the standard view that states that, fair value yields a better allocation as it reflects the real opportunity cost of assets. Banking regulation play an important role by providing the right incentives for banks to smooth intertemporal consumption whereas market discipline improves intratemporal efficiency.Banking, shocks, insurance, intertemporal, Overlapping Generations Equilibrium

Entanglement Entropy of the Low-Lying Excited States and Critical Properties of an Exactly Solvable Two-Leg Spin Ladder with Three-Spin Interactions

In this work, we investigate an exactly solvable two-leg spin ladder with three-spin interactions. We obtain analytically the finite-size corrections of the low-lying energies and determine the central charge as well as the scaling dimensions. The model considered in this work has the same universality class of critical behavior of the XX chain with central charge c=1. By using the correlation matrix method, we also study the finite-size corrections of the Renyi entropy of the ground state and of the excited states. Our results are in agreement with the predictions of the conformal field theory.Comment: 10 pages, 6 figures, 2 table

Preventive health care and payment systems to providers

Prevention has been a main issue of recent policy orientations in health care. This renews the interest on how different organizational designs and the definition of payment schemes to providers may affect the incentives to provide preventive health care. We present, both the normative and the positive analyses of the change from independent providers to integrated services. We show the evaluation of that change to depend on the particular way payment to providers is done. We focus on the externality resulting from referral decisions from primary to acute care providers. This makes our analysis complementary to most works in the literature allowing to address in a more direct way the issue of preventive health care.Preventive health care, payment systems to providers

Combining interactive GIS tools and expert knowledge in validation of tree species models

Poster presented at XIII Congreso Forestal Mundial. FAO, Buenos Aires (Argentina). 18-25 Oct 200