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We deal with a stationary problem of a reaction–diffusion system with a conservation law under the Neu-mann boundary condition. It is shown that the stationary problem turns to be the Euler–Lagrange equation of an energy functional with a mass constraint. When the domain is the finite interval (0, 1), we investigate the asymptotic profile of a strictly monotone minimizer of the energy as d, the ratio of the diffusion coef-ficient of the system, tends to zero. In view of a logarithmic function in the leading term of the potential, we get to a scaling parameter κsatisfying the relation ε:=√d=√logκ/κ2. The main result shows that a sequence of minimizers converges to a Dirac mass multiplied by the total mass and that by a scaling with κthe asymptotic profile exhibits a parabola in the nonvanishing region. We also prove the existence of an unstable monotone solution when the mass is small.

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.

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We present the third in the series of papers describing Poisson properties of planar directed networks in the disk or in the annulus. In this paper we concentrate on special networks$N$_{$u,v$}in the disk that correspond to the choice of a pair ($u, v$) of Coxeter elements in the symmetric group$S$_{$n$}and the corresponding networks $N_{u,v}^\circ$ in the annulus. Boundary measurements for$N$_{$u,v$}represent elements of the Coxeter double Bruhat cell$G$^{$u,v$}⊂GL_{$n$}. The Cartan subgroup$H$acts on$G$^{$u,v$}by conjugation. The standard Poisson structure on the space of weights of$N$_{$u,v$}induces a Poisson structure on$G$^{$u,v$}, and hence on the quotient$G$^{$u,v$}/$H$, which makes the latter into the phase space for an appropriate Coxeter–Toda lattice. The boundary measurement for $N_{u,v}^\circ$ is a rational function that coincides up to a non-zero factor with the Weyl function for the boundary measurement for$N$_{$u,v$}. The corresponding Poisson bracket on the space of weights of $N_{u,v}^\circ$ induces a Poisson bracket on the certain space $ {\mathcal{R}_n} $ of rational functions, which appeared previously in the context of Toda flows.