Evaluating the impact of inequality constraints and parameter uncertainty on optimal portfolio choice

© 2015 Taylor & Francis. We present new analytical results for the impact of portfolio weight constraints on an investor’s optimal portfolio when parameter uncertainty is taken into account. While it is well known that parameter uncertainty and imposing weight constraints results in reduced certainty equivalent returns, in the general case, there are no analytical results. In a special case, commonly used in the funds management literature, we derive analytical expression for the certainty equivalent loss that does not depend on the risk aversion parameter. We illustrate our theoretical results using hedge fund data, from the perspective of a fund-of-fund manager. Our contribution is to formalize the framework to investigate this problem, as well as providing tractable analytical solutions that can be implemented using either simulated or asset manager returns

Heat and fluid flow in a scraped-surface heat exchanger containing a fluid with temperature-dependent viscosity

Scraped-surface heat exchangers (SSHEs) are extensively used in a wide variety of industrial settings where the continuous processing of fluids and fluid-like materials is involved. The steady non-isothermal flow of a Newtonian fluid with temperature-dependent viscosity in a narrow-gap SSHE when a constant temperature difference is imposed across the gap between the rotor and the stator is investigated. The mathematical model is formulated and the exact analytical solutions for the heat and fluid flow of a fluid with a general dependence of viscosity on temperature for a general blade shape are obtained. These solutions are then presented for the specific case of an exponential dependence of viscosity on temperature. Asymptotic methods are employed to investigate the behaviour of the solutions in several special limiting geometries and in the limits of weak and strong thermoviscosity. In particular, in the limit of strong thermoviscosity (i.e., strong heating or cooling and/or strong dependence of viscosity on temperature) the transverse and axial velocities become uniform in the bulk of the flow with boundary layers forming either just below the blade and just below the stationary upper wall or just above the blade and just above the moving lower wall. Results are presented for the most realistic case of a linear blade which illustrate the effect of varying the thermoviscosity of the fluid and the geometry of the SSHE on the flow

Spread Supersymmetry

In the multiverse the scale of SUSY breaking, \tilde{m} = F_X/M_*, may scan and environmental constraints on the dark matter density may exclude a large range of \tilde{m} from the reheating temperature after inflation down to values that yield a LSP mass of order a TeV. After selection effects, the distribution for \tilde{m} may prefer larger values. A single environmental constraint from dark matter can then lead to multi-component dark matter, including both axions and the LSP, giving a TeV-scale LSP lighter than the corresponding value for single-component LSP dark matter. If SUSY breaking is mediated to the SM sector at order X^* X, only squarks, sleptons and one Higgs doublet acquire masses of order \tilde{m}. The gravitino mass is lighter by a factor of M_*/M_Pl and the gaugino masses are suppressed by a further loop factor. This Spread SUSY spectrum has two versions; the Higgsino masses are generated in one from supergravity giving a wino LSP and in the other radiatively giving a Higgsino LSP. The environmental restriction on dark matter fixes the LSP mass to the TeV domain, so that the squark and slepton masses are order 10^3 TeV and 10^6 TeV in these two schemes. We study the spectrum, dark matter and collider signals of these two versions of Spread SUSY. The Higgs is SM-like and lighter than 145 GeV; monochromatic photons in cosmic rays arise from dark matter annihilations in the halo; exotic short charged tracks occur at the LHC, at least for the wino LSP; and there are the eventual possibilities of direct detection of dark matter and detailed exploration of the TeV-scale states at a future linear collider. Gauge coupling unification is as in minimal SUSY theories. If SUSY breaking is mediated at order X, a much less hierarchical spectrum results---similar to that of the MSSM, but with the superpartner masses 1--2 orders of magnitude larger than in natural theories.Comment: 20 pages, 5 figure

Higher resources decrease fluctuating selection during host-parasite coevolution

This is the final version of the article. Available from the publisher via the DOI in this record.We still know very little about how the environment influences coevolutionary dynamics. Here, we investigated both theoretically and empirically how nutrient availability affects the relative extent of escalation of resistance and infectivity (arms race dynamic; ARD) and fluctuating selection (fluctuating selection dynamic; FSD) in experimentally coevolving populations of bacteria and viruses. By comparing interactions between clones of bacteria and viruses both within- and between-time points, we show that increasing nutrient availability resulted in coevolution shifting from FSD, with fluctuations in average infectivity and resistance ranges over time, to ARD. Our model shows that range fluctuations with lower nutrient availability can be explained both by elevated costs of resistance (a direct effect of nutrient availability), and reduced benefits of resistance when population sizes of hosts and parasites are lower (an indirect effect). Nutrient availability can therefore predictably and generally affect qualitative coevolutionary dynamics by both direct and indirect (mediated through ecological feedbacks) effects on costs of resistance.This work was funded by NERC (UK). ABu was supported by the Royal Society and ABe by a the Leverhulme Trust Early Career Fellowship

Annually resolved North Atlantic marine climate over the last millennium

This is the final version of the article. Available from Nature Publishing Group via the DOI in this record.Owing to the lack of absolutely dated oceanographic information before the modern instrumental period, there is currently significant debate as to the role played by North Atlantic Ocean dynamics in previous climate transitions (for example, Medieval Climate Anomaly-Little Ice Age, MCA-LIA). Here we present analyses of a millennial-length, annually resolved and absolutely dated marine δ(18)O archive. We interpret our record of oxygen isotope ratios from the shells of the long-lived marine bivalve Arctica islandica (δ(18)O-shell), from the North Icelandic shelf, in relation to seawater density variability and demonstrate that solar and volcanic forcing coupled with ocean circulation dynamics are key drivers of climate variability over the last millennium. During the pre-industrial period (AD 1000-1800) variability in the sub-polar North Atlantic leads changes in Northern Hemisphere surface air temperatures at multi-decadal timescales, indicating that North Atlantic Ocean dynamics played an active role in modulating the response of the atmosphere to solar and volcanic forcing.We thank the members of the RV Bjarni Sæmundsson (Cruise No. B05-2006). This work was supported by the NERC-funded ULTRA project (Grant Number NE/H023356/1), NERC-funded CLAM project; (Project No. NE/N001176/1) and EU Millennium Project (Project number 017008). This study is a contribution to the Climate Change Consortium for Wales (C3W). We thank Brian Long (Bangor University) and Dr Julia Becker (Cardiff University) for their technical support, and Dr Manfred Mudelsee for his assistance with the trend analysis. We thank Dr Jessica Tierney and an anonymous reviewer for providing the constructive comments in the reviewing process

Long-term excess mortality associated with diabetes following acute myocardial infarction: a population-based cohort study

The long-term excess risk of death associated with diabetes following acute myocardial infarction is unknown. We determined the excess risk of death associated with diabetes among patients with ST-elevation myocardial infarction (STEMI) and non-STEMI (NSTEMI) after adjustment for comorbidity, risk factors and cardiovascular treatments.Nationwide population-based cohort (STEMI n=281 259 and NSTEMI n=422 661) using data from the UK acute myocardial infarction registry, MINAP, between 1 January 2003 and 30 June 2013. Age, sex, calendar year and country-specific mortality rates for the populace of England and Wales (n=56.9 million) were matched to cases of STEMI and NSTEMI. Flexible parametric survival models were used to calculate excess mortality rate ratios (EMRR) after multivariable adjustment. This study is registered at ClinicalTrials.gov (NCT02591576).Over 1.94 million person-years follow-up including 120 568 (17.1%) patients with diabetes, there were 187 875 (26.7%) deaths. Overall, unadjusted (all cause) mortality was higher among patients with than without diabetes (35.8% vs 25.3%). After adjustment for age, sex and year of acute myocardial infarction, diabetes was associated with a 72% and 67% excess risk of death following STEMI (EMRR 1.72, 95% CI 1.66 to 1.79) and NSTEMI (1.67, 1.63 to 1.71). Diabetes remained significantly associated with substantial excess mortality despite cumulative adjustment for comorbidity (EMRR 1.52, 95% CI 1.46 to 1.58 vs 1.45, 1.42 to 1.49), risk factors (1.50, 1.44 to 1.57 vs 1.33, 1.30 to 1.36) and cardiovascular treatments (1.56, 1.49 to 1.63 vs 1.39, 1.36 to 1.43).At index acute myocardial infarction, diabetes was common and associated with significant long-term excess mortality, over and above the effects of comorbidities, risk factors and cardiovascular treatments