16 papers
"Nonlinear" covariance matrix and portfolio theory for non-Gaussian multivariate distributions
D. Sornette, P. Simonetti, J. V. Andersen
This paper offers a precise analytical characterization of the distribution of returns for a portfolio constituted of assets whose returns are described by an arbitrary joint multi…
Minimizing volatility increases large risks
D. Sornette, J. V. Andersen, P. Simonetti
We introduce a faithful representation of the heavy tail multivariate distribution of asset returns, as parsimonous as the Gaussian framework. Using calculation techniques of funct…
Multiparameter Integrable QFT's with N bosons
Hubert Saleur, Prospero Simonetti
We introduce a new family of integrable theories with bosons and freely adjustable mass parameters. These theories restrict in particular limits to the ``generalized supers…
Boundary flows in minimal models
F. Lesage, H. Saleur, P. Simonetti
We discuss in this paper the behaviour of minimal models of conformal theory perturbed by the operator at the boundary. Using the RSOS restriction of the sine-Gordon model…
Tunneling in quantum wires II: A new line of IR fixed points
F. Lesage, H. Saleur, P. Simonetti
In a previous paper, we showed that the problem of tunneling in quantum wires was integrable in the isotropic case . In the present work, we continue the exploration of the…
Tunneling in quantum wires I: Exact solution of the spin isotropic case
F. Lesage, H. Saleur, P. Simonetti
We show that the problem of impurity tunneling in a Luttinger liquid of electrons with spin is solvable in the spin isotropic case (, arbitrary). The resulting integra…