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We define a hierarchy of Hamiltonian PDEs associated to an arbitrary tau-function in the semi-simple orbit of the Givental group action on genus expansions of Frobenius manifolds. We prove that the equations, the Hamiltonians, and the bracket are weightedhomogeneous polynomials in the derivatives of the dependent variables with respect to the space variable. In the particular case of a conformal (homogeneous) Frobenius structure, our hierarchy coincides with the Dubrovin–Zhang hierarchy that is canonically associated to the underlying Frobenius structure. Therefore, our approach allows to prove the polynomiality of the equations, Hamiltonians, and one of the Poisson brackets of these hierarchies, as conjectured by Dubrovin and Zhang.

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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.