The main practical problems that are faced by portfolio optimisation under the Markowitz model are (i) its lower out-of-sample performance than the naive $1/n$ rule, (ii) the resulting asset weights with extreme values, and (iii) the high sensitivity of those asset weights to small changes in the data. In this study, we aim to overcome these problems by using a computation method that shifts the smaller eigenvalues of the covariance matrix to the space that houses the eigenvalue spectrum of a random matrix. We evaluate this new method using a rolling sample approach. We obtain portfolios that show both more stable asset weights and better performance than the $1/n$ rule. We expect that this new computation method will be extended to several problems in portfolio management, thereby improving their consistency and performance.

This paper analyzes classical and quantum physical systems from an optimal control perspective. Specifically, we explore whether their associated dynamics can correspond to an open- or closed-loop feedback evolution of a control problem. Firstly, for the classical regime, when it is viewed in terms of the theory of canonical transformations, we find that a closed-loop feedback problem can describe it. Secondly, for a quantum physical system, if one realizes that the Heisenberg commutation relations themselves can be considered constraints in a non-commutative space, then the momentum must depend on the position of any generic wave function. That implies the existence of a closed-loop strategy for the quantum case. Thus, closed-loop feedback is a natural phenomenon in the physical world. By way of completeness, we briefly review control theory and the classical mechanics of constrained systems and analyze some examples at the classical and quantum levels.

We explore some consequences of modifying the usual Heisenberg commutation relations of two simple systems: first, the one-dimensional quantum system given by the infinite square-well potential, and second, the case of a gas of N non-interacting particles in a box of volume V, which permit obtaining analytical solutions. We analyse two possible cases of modified Heisenberg commutation relations: one with a linear and non-linear dependence on the position and another with a linear and quadratic dependence on the momentum. We determine the eigenfunctions, probability densities, and energy eigenvalues for the one-dimensional square well for both deformation cases. For linear and non-linear x deformation dependence, the wave functions and energy levels change substantially when the weight factor associated with the modification term increases. Here, the energy levels are rescaled homogeneously. Instead, for linear and quadratic momentum p deformation dependence, the changes in the energy spectrum depend on the energy level. However, the probability densities are the same as those without any modification. For the non-interacting gas, the position deformation implies that the ideal gas state equation is modified, acquiring the form of a virial expansion in the volume, whereas the internal energy is unchanged. Instead, the ideal gas state equation remains unchanged at the lowest order in $\beta$ for the momentum modification case. However, the temperature modifies the internal energy at the lowest order in $\beta$. Thus, this study indicates that gravity could generate forces on particles by modifying the Heisenberg commutation relations. Therefore, gravitation could be the cause of the other three forces of nature.

This paper explores the implications of modifying the canonical Heisenberg commutation relations over two simple systems, such as the free particle and the tunnel effect generated by a step-like potential. The modified commutation relations include position-dependent and momentum-dependent terms analyzed separately. For the position deformation case, the corresponding free wave functions are sinusoidal functions with a variable wave vector $k(x)$. In the momentum deformation case, the wave function has the usual sinusoidal behavior, but the energy spectrum becomes non-symmetric in terms of momentum. Tunneling probabilities depend on the deformation strength for both cases. Also, surprisingly, the quantum mechanical model generated by these modified commutation relations is related to the Black–Scholes model in finance. In fact, by taking a particular form of a linear position deformation, one can derive a Black–Scholes equation for the wave function when an external electromagnetic potential is acting on the particle. In this way, the Scholes model can be interpreted as a quantum-deformed model. Furthermore, by identifying the position coordinate x in quantum mechanics with the underlying asset S, which in finance satisfies stochastic dynamics, this analogy implies that the Black–Scholes equation becomes a quantum mechanical system defined over a random spatial geometry. If the spatial coordinate oscillates randomly about its mean value, the quantum particle’s mass would correspond to the inverse of the variance of this stochastic coordinate. Further, because this random geometry is nothing more than gravity at the microscopic level, the Black–Scholes equation becomes a possible simple model for understanding quantum gravity.