Portfolio selection problems in practice: a comparison between linear and quadratic optimization models

Several portfolio selection models take into account practical limitations on the number of assets to include and on their weights in the portfolio. We present here a study of the Limited Asset Markowitz (LAM), of the Limited Asset Mean Absolute Deviation (LAMAD) and of the Limited Asset Conditional Value-at-Risk (LACVaR) models, where the assets are limited with the introduction of quantity and cardinality constraints. We propose a completely new approach for solving the LAM model, based on reformulation as a Standard Quadratic Program and on some recent theoretical results. With this approach we obtain optimal solutions both for some well-known financial data sets used by several other authors, and for some unsolved large size portfolio problems. We also test our method on five new data sets involving real-world capital market indices from major stock markets. Our computational experience shows that, rather unexpectedly, it is easier to solve the quadratic LAM model with our algorithm, than to solve the linear LACVaR and LAMAD models with CPLEX, one of the best commercial codes for mixed integer linear programming (MILP) problems. Finally, on the new data sets we have also compared, using out-of-sample analysis, the performance of the portfolios obtained by the Limited Asset models with the performance provided by the unconstrained models and with that of the official capital market indices

Jet production in charged current deep inelastic e⁺p scatteringat HERA

The production rates and substructure of jets have been studied in charged current deep inelastic e⁺p scattering for Q² > 200 GeV² with the ZEUS detector at HERA using an integrated luminosity of 110.5 pb⁻¹. Inclusive jet cross sections are presented for jets with transverse energies E_{T}^{jet} > 5 GeV. Measurements of the mean subjet multiplicity, 〈n_{sbj}〉, of the inclusive jet sample are presented. Predictions based on parton-shower Monte Carlo models and next-to-leading-order QCD calculations are compared to the measurements. The value of α_{s} (M_{z}), determined from 〈n_{sbj}〉 at y_{cut} = 10⁻² for jets with 25 < E_{T}^{jet} < 119 GeV, is α_{s} (M_{z}) = 0.1202 ± 0.0052 (stat.)_{-0.0019}^{+0.0060} (syst.)_{-0.0053}^{+0.0065} (th.). The mean subjet multiplicity as a function of Q² is found to be consistent with that measured in NC DIS

Multijet production in neutral current deep inelastic scattering at HERA and determination of α_{s}

Multijet production rates in neutral current deep inelastic scattering have been measured in the range of exchanged boson virtualities 10 5 GeV and –1 < η_{LAB}^{jet} < 2.5. Next-to-leading-order QCD calculations describe the data well. The value of the strong coupling constant α_{s} (M_{z}), determined from the ratio of the trijet to dijet cross sections, is α_{s} (M_{z}) = 0.1179 ± 0.0013 (stat.)_{-0.0046}^{+0.0028}(exp.)_{-0.0046}^{+0.0028}(th.)

Ascending central canal dilation and progressive ependymal disruption in a contusion model of rodent chronic spinal cord injury

<p>Abstract</p> <p>Background</p> <p>Chronic spinal cord injury (SCI) can lead to an insidious decline in motor and sensory function in individuals even years after the initial injury and is accompanied by a slow and progressive cytoarchitectural destruction. At present, no pathological mechanisms satisfactorily explain the ongoing degeneration.</p> <p>Methods</p> <p>Adult female Sprague-Dawley rats were anesthetized laminectomized at T10 and received spinal cord contusion injuries with a force of 250 kilodynes using an Infinite Horizon Impactor. Animals were randomly distributed into 5 groups and killed 1 (n = 4), 28 (n = 4), 120 (n = 4), 450 (n = 5), or 540 (n = 5) days after injury. Morphometric and immunohistochemical studies were then performed on 1 mm block sections, 6 mm cranial and 6 mm caudal to the lesion epicenter. The SPSS 11.5 t test was used to determine differences between quantitative measures.</p> <p>Results</p> <p>Here, we document the first report of an ascending central canal dilation and progressive ependymal disruption cranial to the epicenter of injury in a contusion model of chronic SCI, which was characterized by extensive dural fibrosis and intraparenchymal cystic cavitation. Expansion of the central canal lumen beyond a critical diameter corresponded with ependymal cell ciliary loss, an empirically predictable thinning of the ependymal region, and a decrease in cell proliferation in the ependymal region. Large, aneurysmal dilations of the central canal were accompanied by disruptions in the ependymal layer, periependymal edema and gliosis, and destruction of the adjacent neuropil.</p> <p>Conclusion</p> <p>Cells of the ependymal region play an important role in CSF homeostasis, cellular signaling and wound repair in the spinal cord. The possible effects of this ascending pathology on ependymal function are discussed. Our studies suggest central canal dilation and ependymal region disruption as steps in the pathogenesis of chronic SCI, identify central canal dilation as a marker of chronic SCI and provide novel targets for therapeutic intervention.</p

Brane-World Gravity

The observable universe could be a 1+3-surface (the "brane") embedded in a 1+3+\textit{d}-dimensional spacetime (the "bulk"), with Standard Model particles and fields trapped on the brane while gravity is free to access the bulk. At least one of the \textit{d} extra spatial dimensions could be very large relative to the Planck scale, which lowers the fundamental gravity scale, possibly even down to the electroweak ($\sim$ TeV) level. This revolutionary picture arises in the framework of recent developments in M theory. The 1+10-dimensional M theory encompasses the known 1+9-dimensional superstring theories, and is widely considered to be a promising potential route to quantum gravity. At low energies, gravity is localized at the brane and general relativity is recovered, but at high energies gravity "leaks" into the bulk, behaving in a truly higher-dimensional way. This introduces significant changes to gravitational dynamics and perturbations, with interesting and potentially testable implications for high-energy astrophysics, black holes, and cosmology. Brane-world models offer a phenomenological way to test some of the novel predictions and corrections to general relativity that are implied by M theory. This review analyzes the geometry, dynamics and perturbations of simple brane-world models for cosmology and astrophysics, mainly focusing on warped 5-dimensional brane-worlds based on the Randall--Sundrum models. We also cover the simplest brane-world models in which 4-dimensional gravity on the brane is modified at \emph{low} energies -- the 5-dimensional Dvali--Gabadadze--Porrati models. Then we discuss co-dimension two branes in 6-dimensional models.Comment: A major update of Living Reviews in Relativity 7:7 (2004) "Brane-World Gravity", 119 pages, 28 figures, the update contains new material on RS perturbations, including full numerical solutions of gravitational waves and scalar perturbations, on DGP models, and also on 6D models. A published version in Living Reviews in Relativit

Beauty photoproduction measured using decays into muons in dijet events in ep collisions at s\sqrt{s}=318 GeV

The photoproduction of beauty quarks in events with two jets and a muon has been measured with the ZEUS detector at HERA using an integrated luminosity of 110 pb$^{- 1}$. The fraction of jets containing b quarks was extracted from the transverse momentum distribution of the muon relative to the closest jet. Differential cross sections for beauty production as a function of the transverse momentum and pseudorapidity of the muon, of the associated jet and of $x_{\gamma}^{jets}$, the fraction of the photon's momentum participating in the hard process, are compared with MC models and QCD predictions made at next-to-leading order. The latter give a good description of the data.Comment: 32 pages, 6 tables, 7 figures Table 6 and Figure 7 revised September 200

The dependence of dijet production on photon virtuality in ep collisions at HERA

The dependence of dijet production on the virtuality of the exchanged photon, Q^2, has been studied by measuring dijet cross sections in the range 0 < Q^2 < 2000 GeV^2 with the ZEUS detector at HERA using an integrated luminosity of 38.6 pb^-1. Dijet cross sections were measured for jets with transverse energy E_T^jet > 7.5 and 6.5 GeV and pseudorapidities in the photon-proton centre-of-mass frame in the range -3 < eta^jet <0. The variable xg^obs, a measure of the photon momentum entering the hard process, was used to enhance the sensitivity of the measurement to the photon structure. The Q^2 dependence of the ratio of low- to high-xg^obs events was measured. Next-to-leading-order QCD predictions were found to generally underestimate the low-xg^obs contribution relative to that at high xg^obs. Monte Carlo models based on leading-logarithmic parton-showers, using a partonic structure for the photon which falls smoothly with increasing Q^2, provide a qualitative description of the data.Comment: 35 pages, 6 eps figures, submitted to Eur.Phys.J.

Search for a narrow charmed baryonic state decaying to D^*+/- p^-/+ in ep collisions at HERA

A resonance search has been made in the D^*+/- p^-/+ invariant-mass spectrum with the ZEUS detector at HERA using an integrated luminosity of 126 pb^-1. The decay channels D^*+ -> D^0 pi^+_s -> (K^- pi^+) pi^+_s and D^*+ -> D^0 pi^+_s -> (K^- pi^+ pi^+ pi^-) pi^+_s (and the corresponding antiparticle decays) were used to identify D^*+/- mesons. No resonance structure was observed in the D^*+/- p^-/+ mass spectrum from more than 60000 reconstructed D^*+/- mesons. The results are not compatible with a report of the H1 Collaboration of a charmed pentaquark, Theta^0_c.Comment: 22 pages, 7 figures, 1 table; minor text revisions; 2 references adde