Global Asset Return in Pension Funds: a dynamical risk analysis

The aim of the paper is to develop a technique for rebalancing pension fund portfolios in function of their pointwise level of risk. The performance of pension funds is often measured by their global asset returns because of the latter’s influence on periodic contributions and/or future benefits. However, in periods of market crisis attention is focused on the risk level given their social security (and not speculative) function. We describe the process of the global asset return by a multifractional Brownian motion using the function H(t) to detect high or low volatility phases. A procedure is carried out to balance the asset composition when the established local degree of risk is exceeded. The application is carried out on portfolios obtained in accordance with Italian regulations regarding investment limits.Pension Funds, risk control, multifractional Brownian motion

Coordinated actions of microRNAs with other epigenetic factors regulate skeletal muscle development and adaptation

Epigenetics plays a pivotal role in regulating gene expression in development, in response to cellular stress or in disease states, in virtually all cell types. MicroRNAs (miRNAs) are short, non-coding RNA molecules that mediate RNA silencing and regulate gene expression. miRNAs were discovered in 1993 and have been extensively studied ever since. They can be expressed in a tissue-specific manner and play a crucial role in tissue development and many biological processes. miRNAs are responsible for changes in the cell epigenome because of their ability to modulate gene expression post-transcriptionally. Recently, numerous studies have shown that miRNAs and other epigenetic factors can regulate each other or cooperate in regulating several biological processes. On the one hand, the expression of some miRNAs is silenced by DNA methylation, and histone modifications have been demonstrated to modulate miRNA expression in many cell types or disease states. On the other hand, miRNAs can directly target epigenetic factors, such as DNA methyltransferases or histone deacetylases, thus regulating chromatin structure. Moreover, several studies have reported coordinated actions between miRNAs and other epigenetic mechanisms to reinforce the regulation of gene expression. This paper reviews multiple interactions between miRNAs and epigenetic factors in skeletal muscle development and in response to stimuli or disease

Enriques and Octonionic Magic Supergravity Models

We reconsider the Enriques Calabi Yau (FHSV) model and its string derivation and argue that the Octonionic magic supergravity theory admits a string interpretation closely related to the Enriques model. The uplift to D=6 of the Octonionic magic model has 16 abelian vectors related to the rank of Type I and Heterotic strings

The END: Estimation Network Design for games under partial-decision information

Multi-agent decision problems are typically solved via distributed iterative algorithms, where the agents only communicate between themselves on a peer-to-peer network. Each agent usually maintains a copy of each decision variable, while agreement among the local copies is enforced via consensus protocols. Yet, each agent is often directly influenced by a small portion of the decision variables only: neglecting this sparsity results in redundancy, poor scalability with the network size, communication and memory overhead. To address these challenges, we develop Estimation Network Design (END), a framework for the design and analysis of distributed algorithms, generalizing several recent approaches. END algorithms can be tuned to exploit problem-specific sparsity structures, by optimally allocating copies of each variable only to a subset of agents, to improve efficiency and minimize redundancy. We illustrate the END's potential by designing new algorithms for generalised Nash equilibrium (GNE) seeking under partial-decision information, that can leverage the sparsity in cost functions, constraints and aggregation values. Finally, we test numerically our methods on a unicast rate allocation problem, revealing greatly reduced communication and memory costs.Comment: 12 pages, 3 figure

Las perspectivas de los refugiados sobre el regreso a Somalia

MSF preguntó hace poco a los refugiados somalíes en el campo de Dagahaley en Dadaab acerca de sus condiciones de vida y de lo que piensan sobre su posible regreso a Somalia en un futuro próximo. Las respuestas sugieren que las malas condiciones de vida en el campo no les llevan a querer regresar a pesar de lo extendida que está la creencia contraria

A distribution-based method to gauge market liquidity through scale invariance between investment horizons

A nonparametric method is developed to detect self-similarity among the rescaled distributions of the log-price variations over a number of time scales. The procedure allows to test the statistical significance of the scaling expo- nent that possibly characterizes each pair of time scales and to analyze the link between self-similarity and liquidity, the core assumption of the fractal mar- ket hypothesis. The method can support financial operators in the selection of the investment horizons as well as regulators in the adoption of guidelines to improve the stability of markets. The analysis performed on the S&P500 reveals a very complex, time-changing scaling structure, which confirms the link between market liquidity and self-similarity

Observations on Arithmetic Invariants and U-Duality Orbits in N =8 Supergravity

We establish a relation between time-like, light-like and space-like orbits of the non-compact E{7(7)}(R)symmetry and discrete E{7(7)}(Z) invariants. We discuss the U-duality invariant formula for the degeneracy of states d(Q) which in the approximation of large occupation numbers reproduces the Bekenstein-Hawking entropy formula for regular black holes with AdS_2 horizon. We explain why the states belonging to light-like orbits, corresponding to classical solutions of "light black holes with null singularity", decouple from the corresponding index. We also present a separate U-duality invariant formula for the class of light-like orbits specified by discrete E{7(7)}(Z) invariants. We conclude that the present study of the non-perturbative sector of the theory does not reveal any contradiction with the conjectured all-loop perturbative finiteness of D=4 N=8 supergravity

Linear convergence in time-varying generalized Nash equilibrium problems

We study generalized games with full row rank equality constraints and we provide a strikingly simple proof of strong monotonicity of the associated KKT operator. This allows us to show linear convergence to a variational equilibrium of the resulting primal-dual pseudo-gradient dynamics. Then, we propose a fully-distributed algorithm with linear convergence guarantee for aggregative games under partial-decision information. Based on these results, we establish stability properties for online GNE seeking in games with time-varying cost functions and constraints. Finally, we illustrate our findings numerically on an economic dispatch problem for peer-to-peer energy markets