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This article introduces the large portfolio selection using gross-exposure constraints. It shows that with gross-exposure constraints, the empirically selected optimal portfolios based on estimated covariance matrices have similar performance to the theoretical optimal ones and there is no error accumulation effect from estimation of vast covariance matrices. This gives theoretical justification to the empirical results by Jagannathan and Ma. It also shows that the no-short-sale portfolio can be improved by allowing some short positions. The applications to portfolio selection, tracking, and improvements are also addressed. The utility of our new approach is illustrated by simulation and empirical studies on the 100 FamaFrench industrial portfolios and the 600 stocks randomly selected from Russell 3000.

A two-dimensional chiral conformal field theory can be viewed mathematically as the representation theory of its chiral algebra, a vertex operator algebra. Vertex operator algebras are especially well suited for studying logarithmic conformal field theory (in which correlation functions have logarithmic singularities arising from non-semisimple modules for the chiral algebra) because of the logarithmic tensor category theory of Huang, Lepowsky, and Zhang. In this paper, we study not-necessarily-semisimple or rigid braided tensor categories C of modules for the fixed-point vertex operator subalgebra V^G of a vertex operator (super)algebra V with finite automorphism group G. The main results are that every V^G-module in C with a unital and associative V-action is a direct sum of g-twisted V-modules for possibly several g∈G, that the category of all such twisted V-modules is a braided G-crossed (super)category, and that the G-equivariantization of this braided G-crossed (super)category is braided tensor equivalent to the original category C of V^G-modules. This generalizes results of Kirillov and Müger proved using rigidity and semisimplicity. We also apply the main results to the orbifold rationality problem: whether V^G is strongly rational if V is strongly rational. We show that V^G is indeed strongly rational if V is strongly rational, G is any finite automorphism group, and V^G is C_2-cofinite.

We prove that the algebra of singular cochains on a smooth manifold, equipped with the cup product, is equivalent to the A1 structure on the Lagrangian Floer cochain group associated to the zero section in the cotangent bundle. More generally, given embeddings with isomorphic normal bundles of a closed manifold B into manifolds Q1 and Q2, we construct a differential graded category from the singular cochains of these spaces, and prove that it is equivalent to the A1 category obtained by considering exact Lagrangian embeddings of Q1 and Q2 which intersect cleanly along B.

We study the isoperimetric structure of asymptotically flat Riemannian 3-manifolds (M, g) that are C0-asymptotic to Schwarzschild of mass m > 0. Refining an argument due to H. Bray, we obtain an effective volume comparison theorem in Schwarzschild. We use it to show that isoperimetric regions exist in (M, g) for all sufficiently large volumes, and that they are close to centered coordinate spheres. This implies that the volume-preserving stable constant mean curvature spheres constructed by G. Huisken and S.-T. Yau as well as R. Ye as perturbations of large centered coordinate spheres minimize area among all competing surfaces that enclose the same volume. This confirms a conjecture of H. Bray. Our results are consistent with the uniqueness results for volumepreserving stable constant mean curvature surfaces in initial data sets obtained by G. Huisken and S.-T. Yau and strengthened by J. Qing and G. Tian. The additional hypotheses that the surfaces be spherical and far out in the asymptotic region in their results are not necessary in our work.