Multivariate Approximations to Portfolio Return Distribution

This article proposes a three-step procedure to estimate portfolio return distributions under the multivariate Gram-Charlier (MGC) distribution. The method combines quasi maximum likelihood (QML) estimation for conditional means and variances and the method of moments (MM) estimation for the rest of the density parameters, including the correlation coefficients. The procedure involves consistent estimates even under density misspecification and solves the so-called ‘curse of dimensionality’ of multivariate modelling. Furthermore, the use of a MGC distribution represents a flexible and general approximation to the true distribution of portfolio returns and accounts for all its empirical regularities. An application of such procedure is performed for a portfolio composed of three European indices as an illustration. The MM estimation of the MGC (MGC-MM) is compared with the traditional maximum likelihood of both the MGC and multivariate Student’s t (benchmark) densities. A simulation on Value-at-Risk (VaR) performance for an equally weighted portfolio at 1% and 5% confidence indicates that the MGC-MM method provides reasonable approximations to the true empirical VaR. Therefore, the procedure seems to be a useful tool for risk managers and practitioners

Pseudomonas aeruginosa Population Structure Revisited

At present there are strong indications that Pseudomonas aeruginosa exhibits an epidemic population structure; clinical isolates are indistinguishable from environmental isolates, and they do not exhibit a specific (disease) habitat selection. However, some important issues, such as the worldwide emergence of highly transmissible P. aeruginosa clones among cystic fibrosis (CF) patients and the spread and persistence of multidrug resistant (MDR) strains in hospital wards with high antibiotic pressure, remain contentious. To further investigate the population structure of P. aeruginosa, eight parameters were analyzed and combined for 328 unrelated isolates, collected over the last 125 years from 69 localities in 30 countries on five continents, from diverse clinical (human and animal) and environmental habitats. The analysed parameters were: i) O serotype, ii) Fluorescent Amplified-Fragment Length Polymorphism (FALFP) pattern, nucleotide sequences of outer membrane protein genes, iii) oprI, iv) oprL, v) oprD, vi) pyoverdine receptor gene profile (fpvA type and fpvB prevalence), and prevalence of vii) exoenzyme genes exoS and exoU and viii) group I pilin glycosyltransferase gene tfpO. These traits were combined and analysed using biological data analysis software and visualized in the form of a minimum spanning tree (MST). We revealed a network of relationships between all analyzed parameters and non-congruence between experiments. At the same time we observed several conserved clones, characterized by an almost identical data set. These observations confirm the nonclonal epidemic population structure of P. aeruginosa, a superficially clonal structure with frequent recombinations, in which occasionally highly successful epidemic clones arise. One of these clones is the renown and widespread MDR serotype O12 clone. On the other hand, we found no evidence for a widespread CF transmissible clone. All but one of the 43 analysed CF strains belonged to a ubiquitous P. aeruginosa “core lineage” and typically exhibited the exoS+/exoU− genotype and group B oprL and oprD alleles. This is to our knowledge the first report of an MST analysis conducted on a polyphasic data set

Multi-messenger observations of a binary neutron star merger

On 2017 August 17 a binary neutron star coalescence candidate (later designated GW170817) with merger time 12:41:04 UTC was observed through gravitational waves by the Advanced LIGO and Advanced Virgo detectors. The Fermi Gamma-ray Burst Monitor independently detected a gamma-ray burst (GRB 170817A) with a time delay of ~1.7 s with respect to the merger time. From the gravitational-wave signal, the source was initially localized to a sky region of 31 deg2 at a luminosity distance of 40+8-8 Mpc and with component masses consistent with neutron stars. The component masses were later measured to be in the range 0.86 to 2.26 Mo. An extensive observing campaign was launched across the electromagnetic spectrum leading to the discovery of a bright optical transient (SSS17a, now with the IAU identification of AT 2017gfo) in NGC 4993 (at ~40 Mpc) less than 11 hours after the merger by the One- Meter, Two Hemisphere (1M2H) team using the 1 m Swope Telescope. The optical transient was independently detected by multiple teams within an hour. Subsequent observations targeted the object and its environment. Early ultraviolet observations revealed a blue transient that faded within 48 hours. Optical and infrared observations showed a redward evolution over ~10 days. Following early non-detections, X-ray and radio emission were discovered at the transient’s position ~9 and ~16 days, respectively, after the merger. Both the X-ray and radio emission likely arise from a physical process that is distinct from the one that generates the UV/optical/near-infrared emission. No ultra-high-energy gamma-rays and no neutrino candidates consistent with the source were found in follow-up searches. These observations support the hypothesis that GW170817 was produced by the merger of two neutron stars in NGC4993 followed by a short gamma-ray burst (GRB 170817A) and a kilonova/macronova powered by the radioactive decay of r-process nuclei synthesized in the ejecta

Max-independent functions of Myc in Drosophila melanogaster

Myc proteins are powerful proto-oncoproteins and important promoters of growth and proliferation during normal development. They are thought to exercise their effects upon binding to their partner protein Max, and their activities are largely antagonized by complexes of Max with Mnt or an Mxd family protein. Although the biological functions of Myc, Mxd and Mnt have been intensively studied, comparatively little is known about the in vivo role of Max. Here we generate Max loss-of-function and reduction-of-function mutations in Drosophila melanogaster to address the contribution of Max to Myc-dependent growth control. We find that many biological activities of Myc do not, or only partly, require the association with Max—for example, the control of endoreplication and cell competition—and that a Myc mutant that does not interact with Max retains substantial biological activity. We further show that Myc can control RNA polymerase III independently of Max, which explains some of Myc's observed biological activities. These studies show the ability of Myc to function independently of Max in vivo and thus change the current model of Max network function

Cytomegalovirus-associated chorioretinitis after liver transplantation: case report and review of the literature

A cytomegalovirus (CMV) donor positive/recipient negative liver transplant recipient developed CMV syndrome with presumed colitis 2 weeks after discontinuing the standard 3 months of valganciclovir prophylaxis. Treatment with intravenous ganciclovir (GCV) reduced, but did not clear, CMV replication. A CMV UL97 mutation (M460V) conferring GCV resistance was identified. Reduction of immunosuppression was followed by rapidly rising lymphocyte counts as well as by clearance of CMV viremia and of clinical symptoms. However, bilateral chorioretinitis was diagnosed 2 weeks later and treated with foscarnet and cidofovir. Then, right eye vitritis occurred necessitating vitrectomy due to a partially rhegmatogeneous retinal detachment. Because chorioretinitis-vitritis after rising lymphocyte counts and clearance of CMV viremia was strongly suggestive of an immune reconstitution syndrome (IRS)-like disease, we investigated CMV-specific T-cells in the peripheral blood available during follow-up. We found strong CD8(+) but only low CD4(+) T-cell responses (4.77% vs.<0.1%) to the CMV immediate early pp72, while responses to CMV-lysate or CMV-pp65 (CD4(+) <0.01%; CD8(+)<0.01%) were low. Over 16 weeks of follow-up, pp72-specific CD8(+) responses declined, while responses to pp65 gradually increased (CD4(+) 0.16%; CD8(+) 0.76%) indicating a slowly adapting CMV-specific cellular T-cell response. Review of 12,653 published liver transplant patients identified only 14 (0.1%) reported cases of CMV-associated chorioretinitis at a median 41.7 weeks post transplant. CMV-associated opthalmologic complications late post transplantation may possibly involve 2 different entities of cytopathic retinitis and IRS-like chorioretinitis-vitritis