Portafolio selection with skewness: a comparison of methods and a generalized two fund separation result

This contribution compares existing and newly developed techniques for geometrically representing mean-variances-kewness portfolio frontiers based on the rather widely adapted methodology of polynomial goal programming (PGP) on the one hand and the more recent approach based on the shortage function on the other hand. Moreover, we explain the working of these different methodologies in detail and provide graphical illustrations. Inspired by these illustrations, we prove a generalization of the well-known two fund separation theorem from traditionalmean-variance portfolio theory.

On simple bounds for eigenvalues of symmetric tridiagonal matrices

How much can be said about the location of the eigenvalues of a symmetric tridiagonal matrix just by looking at its diagonal entries? We use classical results on the eigenvalues of symmetric matrices to show that the diagonal entries are bounds for some of the eigenvalues regardless of the size of the off-diagonal entries. Numerical examples are given to illustrate that our arithmetic-free technique delivers useful information on the location of the eigenvalues.

A Characterization of Exact Non-atomic Market Games

Continuous exact non-atomic games are naturally associated to certain operators between Banach spaces. It thus makes sense to study games by means of the corresponding operators. We characterize non-atomic exact market games in terms of the properties of the associated operators. We also prove a separation theorem for weak compact sets of countably additive measures, which is of independent interest.

Revisiting modern portfolio theory

This paper revisits Modern Portfolio Theory and derives eleven properties of Efficient Allocations and Portfolios in the presence of leverage. With different degrees of leverage, an Efficient Portfolio is a linear combination of two portfolios that lie in different efficient frontiers - which allows for an attractive reinterpretation of the Separation Theorem. In particular a change in the investor risk-return preferences will leave the allocation between the Minimum Risk and Risk Portfolios completely unaltered - but will change the magnitudes of the tactical risk allocations within the Risk Portfolio. The paper also discusses the role of diversification in an Efficient Portfolio, emphasizing its more tactical, rather than strategic character

Essays on the selection of securities: Decision on acquisition and issuance perspectives and decision rules

This dissertation is a discourse on the capital market and its interactive framework of acquisition and issuance of financial assets that drive the economy from both sides—investors/lenders and issuers/users of capital assets. My work consists of four essays in financial economics that offer a spectrum of revisions to this significant area of study. The first essay is a delineation of the capital market over the past half a century and major developments on capital markets on issues that pertain to the investor's opportunity set and the corporation's capital-raising availability set. This chapter should have merits on two counts: (i) a comprehensive account of capital markets and return-generating assets and (ii) a backdrop against which I present my findings in Chapters 2 through 4. ^ In Chapter 2, I rework on the Markowitz-Roy-Tobin structure of the efficient frontier and of the Separation Theorem. Starting off with a 2-asset portfolio and extending the paradigm to an n-asset portfolio, I bring out the optimal choice of assets for an investor under constrained utility maximization. In this chapter, I analyze the selection and revision-theoretic construct and bring out optimum choices. The effect of a change in perceived risk or return in the mind of an investor is ascertained on the portfolio composition. ^ Chapter 3 takes a look into corporations that issue market securities. The question of how a corporation decides what kinds of securities it should issue in the marketplace to raise funds brings out the classic value invariance proposition of Modigliani and Miller and fills the gap that existed in the literature for almost half a century. I question the general validity in the classic results of Modigliani and Miller and modify the existing literature on the celebrated value invariance proposition. ^ Chapter 4 takes the Modigliani-Miller regime to its correct prescription in the presence of corporate and personal taxes. I show that Modigliani-Miller's age-old proposition needs corrections and extensions, which I derive. ^ My dissertation overall brings all of these corrections and extensions to the existing literature as my findings, showing that capital markets are in an ever-changing state of necessary revision. ^

Uniform estimates in the Poincare-Aronszajn theorem on the separation of singularities of analytic functions

We study the possibility of splitting any bounded analytic function $f$ with singularities in a closed set $E\cup F$ as a sum of two bounded analytic functions with singularities in $E$ and $F$ respectively. We obtain some results under geometric restrictions on the sets $E$ and $F$ and we provide some examples showing the sharpness of the positive results.

On the Vertex Separation of Cactus Graphs

This paper is part of a work in progress whose goal is to construct a fast, practical algorithm for the vertex separation (VS) of cactus graphs. We prove a \main theorem for cacti", a necessary and sufficient condition for the VS of a cactus graph being k. Further, we investigate the ensuing ramifications that prevent the construction of an algorithm based on that theorem only.

On the Vertex Separation of Maximal Outerplanar Graphs

We investigate the NP-complete problem Vertex Separation (VS) on Maximal Outerplanar Graphs (mops). We formulate and prove a “main theorem for mops”, a necessary and sufficient condition for the vertex separation of a mop being k. The main theorem reduces the vertex separation of mops to a special kind of stretchability, one that we call affixability, of submops.

Doehlert Design-desirability Function Multi-criteria Optimal Separation Of 17 Phenolic Compounds From Extra-virgin Olive Oil By Capillary Zone Electrophoresis.

In Brazil, the consumption of extra-virgin olive oil (EVOO) is increasing annually, but there are no experimental studies concerning the phenolic compound contents of commercial EVOO. The aim of this work was to optimise the separation of 17 phenolic compounds already detected in EVOO. A Doehlert matrix experimental design was used, evaluating the effects of pH and electrolyte concentration. Resolution, runtime and migration time relative standard deviation values were evaluated. Derringer's desirability function was used to simultaneously optimise all 37 responses. The 17 peaks were separated in 19min using a fused-silica capillary (50μm internal diameter, 72cm of effective length) with an extended light path and 101.3mmolL(-1) of boric acid electrolyte (pH 9.15, 30kV). The method was validated and applied to 15 EVOO samples found in Brazilian supermarkets.

Beam-energy Dependence Of Charge Separation Along The Magnetic Field In Au+au Collisions At Rhic.

Local parity-odd domains are theorized to form inside a quark-gluon plasma which has been produced in high-energy heavy-ion collisions. The local parity-odd domains manifest themselves as charge separation along the magnetic field axis via the chiral magnetic effect. The experimental observation of charge separation has previously been reported for heavy-ion collisions at the top RHIC energies. In this Letter, we present the results of the beam-energy dependence of the charge correlations in Au+Au collisions at midrapidity for center-of-mass energies of 7.7, 11.5, 19.6, 27, 39, and 62.4 GeV from the STAR experiment. After background subtraction, the signal gradually reduces with decreased beam energy and tends to vanish by 7.7 GeV. This implies the dominance of hadronic interactions over partonic ones at lower collision energies.

Separation Of Glycosidic Catiomers By Twim-ms Using Co2 As A Drift Gas.

Traveling wave ion mobility mass spectrometry (TWIM-MS) is shown to be able to separate and characterize several isomeric forms of diterpene glycosides stevioside (Stv) and rebaudioside A (RebA) that are cationized by Na(+) and K(+) at different sites. Determination and characterization of these coexisting isomeric species, herein termed catiomers, arising from cationization at different and highly competitive coordinating sites, is particularly challenging for glycosides. To achieve this goal, the advantage of using CO2 as a more massive and polarizable drift gas, over N2 , was demonstrated. Post-TWIM-MS/MS experiments were used to confirm the separation. Optimization of the possible geometries and cross-sectional calculations for mobility peak assignments were also performed. Copyright © 2015 John Wiley & Sons, Ltd.

Preparative separation of flavonoids from the medicinal plant Davilla elliptica St. Hill. by high-speed counter-current chromatography

High-speed counter-current chromatography (HSCCC) is a major tool for the fast separation of natural products from plants. It was used for the preparative isolation of the flavonoid monoglucosides present in the aerial parts of the Davilla elliptica St. Hill. (Dilleniaceae). This species is used in Brazilian folk medicine for the treatment of gastric disorders. The optimum solvent system used was composed of a mixture of ethyl acetate-n-propanol-water (140:8:80, v/v/v) and led to a successful separation of quercetin-3-O-alpha-L-rhamnopyranoside and myricetin-3-O-alpha-L-rhamnopyranoside in approximately 3.0 hours with purity higher than 95%. Identification was performed by ¹H NMR, 13C NMR and HPLC-UV-DAD analyses.

DECISION TREE CLASSIFIERS FOR STAR/GALAXY SEPARATION

We study the star/galaxy classification efficiency of 13 different decision tree algorithms applied to photometric objects in the Sloan Digital Sky Survey Data Release Seven (SDSS-DR7). Each algorithm is defined by a set of parameters which, when varied, produce different final classification trees. We extensively explore the parameter space of each algorithm, using the set of 884,126 SDSS objects with spectroscopic data as the training set. The efficiency of star-galaxy separation is measured using the completeness function. We find that the Functional Tree algorithm (FT) yields the best results as measured by the mean completeness in two magnitude intervals: 14 <= r <= 21 (85.2%) and r >= 19 (82.1%). We compare the performance of the tree generated with the optimal FT configuration to the classifications provided by the SDSS parametric classifier, 2DPHOT, and Ball et al. We find that our FT classifier is comparable to or better in completeness over the full magnitude range 15 <= r <= 21, with much lower contamination than all but the Ball et al. classifier. At the faintest magnitudes (r > 19), our classifier is the only one that maintains high completeness (> 80%) while simultaneously achieving low contamination (similar to 2.5%). We also examine the SDSS parametric classifier (psfMag - modelMag) to see if the dividing line between stars and galaxies can be adjusted to improve the classifier. We find that currently stars in close pairs are often misclassified as galaxies, and suggest a new cut to improve the classifier. Finally, we apply our FT classifier to separate stars from galaxies in the full set of 69,545,326 SDSS photometric objects in the magnitude range 14 <= r <= 21.

High performance magnetic separation of gold nanoparticles for catalytic oxidation of alcohols

We present the magnetic separation approach to facilitate the recovery of gold nanoparticle (AuNP) catalysts. The use of magnetically recoverable supports for the immobilization of AuNPs instead of traditional oxides, polymers or carbon based solids guarantees facile, clean, fast and efficient separation of the catalyst at the end of the reaction cycle. Magnetic separation can be considered an environmentally benign separation approach, since it minimizes the use of auxiliary substances and energy for achieving catalyst recovery. The catalyst preparation is based on the immobilization of Au(3+) on the surface of core-shell silica-coated magnetite nanoparticles, followed by metal reduction using two different methods. AuNPs were prepared by thermal reduction in air and by hydrogen reduction at mild temperature. Interestingly, the mean particle size of the supported AuNPs was similar (ca. 5.9 nm), but the polydispersity of the samples is quite different. The catalytic activity of both catalysts in the aerobic oxidation of alcohols was investigated and a distinct selectivity for benzyl alcohol oxidation was observed.

A Goldstone theorem in thermal relativistic quantum field theory

We prove a Goldstone theorem in thermal relativistic quantum field theory, which relates spontaneous symmetry breaking to the rate of spacelike decay of the two-point function. The critical rate of fall-off coincides with that of the massless free scalar field theory. Related results and open problems are briefly discussed. (C) 2011 American Institute of Physics. [doi:10.1063/1.3526961]