Sussex

Our general theory, which encompasses two different aggregation properties (Neuberger, 2012; Bondarenko, 2014) establishes a wide variety of new, unbiased and efficient risk premia estimators. Empirical results on meticulously-constructed daily, investable, constant-maturity  S&P500 higher-moment premia reveal significant, previously-undocumented, regime-dependent behavior. The variance premium is fully priced by Fama and French (2015) factors during the volatile regime, but has significant negative alpha in stable markets.  Also only during stable periods, a small, positive but significant third-moment premium is not fully priced by the variance and equity premia. There is no evidence for a separate fourth-moment premium.

For a given Lipschitz graph over a subspace without rank-one matrices with

reasonably small Lipschitz constant, we construct quasiconvex functions of

quadratic growth whose zero sets are exactly the Lipschitz graph by using a

translation method. The gradient of the quasiconvex function is strictly

quasi-monotone. When the graph is a smooth compact manifold, the quasiconvex

function equals the squared distance function near the graph.

The corresponding variational integrals satisfy the Palais-Smale compactness

condition under the homogeneous natural boundary condition.

We use the partial differential inclusion method to establish existence of

infinitely many weak solutions to the one-dimensional version of the

Perona-Malek anisotropic diffusion model in the theory of image processing. We

consider the homogeneous Neumann problem as the model requires.

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I present a calculation of the moduli Kahler potential for M-theory

on a G_2 manifold in a large radius approximation. The result is used to

analyze moduli dynamics and moduli stabilization in the context of the

associated four-dimensional effective theory.