Tracking error with minimum guarantee constraints

In recent years the popularity of indexing has greatly increased in financial markets and many different families of products have been introduced. Often these products also have a minimum guarantee in the form of a minimum rate of return at specified dates or a minimum level of wealth at the end of the horizon. Period of declining stock market returns together with low interest rate levels on Treasury bonds make it more difficult to meet these liabilities. We formulate a dynamic asset allocation problem which takes into account the conflicting objectives of a minimum guaranteed return and of an upside capture of the risky asset returns. To combine these goals we formulate a double tracking error problem using asymmetric tracking error measures in the multistage stochastic programming framework.Minimum guarantee, benchmark, tracking error, dynamic asset allocation, scenario

Combining stochastic programming and optimal control to solve multistage stochastic optimization problems

In this contribution we propose an approach to solve a multistage stochastic programming problem which allows us to obtain a time and nodal decomposition of the original problem. This double decomposition is achieved applying a discrete time optimal control formulation to the original stochastic programming problem in arborescent form. Combining the arborescent formulation of the problem with the point of view of the optimal control theory naturally gives as a first result the time decomposability of the optimality conditions, which can be organized according to the terminology and structure of a discrete time optimal control problem into the systems of equation for the state and adjoint variables dynamics and the optimality conditions for the generalized Hamiltonian. Moreover these conditions, due to the arborescent formulation of the stochastic programming problem, further decompose with respect to the nodes in the event tree. The optimal solution is obtained by solving small decomposed subproblems and using a mean valued fixed-point iterative scheme to combine them. To enhance the convergence we suggest an optimization step where the weights are chosen in an optimal way at each iteration.Stochastic programming, discrete time control problem, decomposition methods, iterative scheme

Tracking Error: a multistage portfolio model

We study multistage tracking error problems. Different tracking error measures, commonly used in static models, are discussed as well as some problems which arise when we move from static to dynamic models. We are interested in dynamically replicating a benchmark using only a small subset of assets, considering transaction costs due to rebalancing and introducing a liquidity component in the portfolio. We formulate and solve a multistage tracking error model in a stochastic programming framework. We numerically test our model by dynamically replicating the MSCI Euro index. We consider an increasing number of scenarios and assets and show the superior performance of the dynamically optimized tracking portfolio over static strategies.

Time and nodal decomposition with implicit non-anticipativity constraints in dynamic portfolio optimization

We propose a decomposition method for the solution of a dynamic portfolio optimization problem which fits the formulation of a multistage stochastic programming problem. The method allows to obtain time and nodal decomposition of the problem in its arborescent formulation applying a discrete version of Pontryagin Maximum Principle. The solution of the decomposed problems is coordinated through a fixed- point weighted iterative scheme. The introduction of an optimization step in the choice of the weights at each iteration allows to solve the original problem in a very efficient way.Stochastic programming, Discrete time optimal control problem, Iterative scheme, Portfolio optimization

Hybridization and extensive mitochondrial introgression among fire salamanders in peninsular Italy

Discordance between mitochondrial and nuclear patterns of population genetic structure is providing key insights into the eco-evolutionary dynamics between and within species, and their assessment is highly relevant to biodiversity monitoring practices based on DNA barcoding approaches. Here, we investigate the population genetic structure of the fire salamander Salamandra salamandra in peninsular Italy. Both mitochondrial and nuclear markers clearly identified two main population groups. However, nuclear and mitochondrial zones of geographic transition between groups were located 600 km from one another. Recent population declines in central Italy partially erased the genetic imprints of past hybridization dynamics. However, the overall pattern of genetic variation, together with morphological and fossil data, suggest that a rampant mitochondrial introgression triggered the observed mitonuclear discordance, following a post-glacial secondary contact between lineages. Our results clearly show the major role played by reticulate evolution in shaping the structure of Salamandra salamandra populations and, together with similar findings in other regions of the species’ range, contribute to identify the fire salamander as a particularly intriguing case to investigate the complexity of mechanisms triggering patterns of mitonuclear discordance in animals

Climate change promotes hybridisation between deeply divergent species

Rare hybridisations between deeply divergent animal species have been reported for decades in a wide range of taxa, but have often remained unexplained, mainly considered chance events and reported as anecdotal. Here, we combine field observations with long-term data concerning natural hybridisations, climate, land-use, and field-validated species distribution models for two deeply divergent and naturally sympatric toad species in Europe (Bufo bufo and Bufotes viridis species groups). We show that climate warming and seasonal extreme temperatures are conspiring to set the scene for these maladaptive hybridisations, by differentially affecting life-history traits of both species. Our results identify and provide evidence of an ultimate cause for such events, and reveal that the potential influence of climate change on interspecific hybridisations goes far beyond closely related species. Furthermore, climate projections suggest that the chances for these events will steadily increase in the near future

Evolutionary and demographic correlates of Pleistocene coastline changes in the Sicilian wall lizard Podarcis wagleriana

Aim Emergence of coastal lowlands during Pleistocene ice ages might have provided conditions for glacial expansions (demographic and spatial), rather than contraction, of coastal populations of temperate species. Here, we tested these predictions in the insular endemic Sicilian wall lizard Podarcis wagleriana. Location Sicily and neighbouring islands. Methods We sampled 179 individuals from 45 localities across the whole range of P. wagleriana. We investigated demographic and spatial variations through time using Bayesian coalescent models (Bayesian phylogeographic reconstruction, Extended Bayesian Skyline plots, Isolation‐with‐migration models) based on multilocus DNA sequence data. We used species distribution modelling to reconstruct present and past habitat suitability. Results We found two main lineages distributed in the east and west portions of the current species range and a third lineage restricted to a small area in the north of Sicily. Multiple lines of evidence from palaeogeographic (shorelines), palaeoclimatic (species distribution models), and multilocus genetic data (demographic and spatial Bayesian reconstructions) indicate that these lineages originated in distinct refugia, located in the north‐western and south‐eastern coastal lowlands, during Middle Pleistocene interglacial phases, and came into secondary contact following demographic and spatial expansions during the last glacial phase. Main conclusions This scenario of interglacial contraction and glacial expansion is in sharp contrast with patterns commonly observed in temperate species on the continent but parallels recent findings on other Mediterranean island endemics. Such a reverse expansion–contraction (EC) dynamic has been likely associated with glacial increases of climatically suitable coastal lowlands, suggesting this might be a general pattern in Mediterranean island species and also in other coastal regions strongly affected by glacial marine regressions during glacial episodes. This study provides explicit predictions and some methodological recommendations for testing the reverse EC model in other region and taxa

A UAV-Based Dye-Tracking Technique to Measure Surface Velocities over Tidal Channels and Salt Marshes

An accurate description of hydrodynamic processes in coastal wetlands is needed to improve their management and conservation. As a consequence, higher knowledge of the connected morphological and ecologic processes is achievable. However, it is very costly to collect spatially distributed values of flow velocities over tidal channels and intertidal areas by means of in situ sensors. Also, when deploying sensors, humans perturb the ecosystem, which takes time to recover. In this study, a new low-cost unmanned aerial vehicle (UAV)-based method to measure surface velocities is proposed and validated. The study area is a salt marsh system on the southeast coast of Little Sapelo Island, Georgia, USA. Two unmanned aerial vehicles were used in the survey. A first UAV released a fluorescent dye tracer on marshes and tidal creeks, while a second one tracked its movement by collecting RGB images. Flow direction and magnitude were calculated from the images using a newly developed algorithm. A comparison with velocities measured with an acoustic Doppler current profiler confirmed the effectiveness of the method. Our results indicate that the calculated flow field is affected by vegetation, marsh morphology, and marsh width. In particular, a non-negligible velocity component perpendicular to the creek axes is detected both in ebb and in flood. Our technique proves to be an effective, non-intrusive, low-cost way to survey the two-dimensional hydrodynamics on salt marsh environments at a km scale. Collected data would be beneficial for calibrating and validating numerical models with accurate water flux information

No more time to stay ‘single’ in the detection of Anisakis pegreffii, A. simplex (s. s.) and hybridization events between them: a multi-marker nuclear genotyping approach

A multi-marker nuclear genotyping approach was performed on larval and adult specimens of Anisakis spp. (N = 689) collected from fish and cetaceans in allopatric and sympatric areas of the two species Anisakis pegreffii and Anisakis simplex (s. s.), in order to: (1) identify specimens belonging to the parental taxa by using nuclear markers (allozymes loci) and sequence analysis of a new diagnostic nuclear DNA locus (i.e. partial sequence of the EF1 α−1 nDNA region) and (2) recognize hybrid categories. According to the Bayesian clustering algorithms, based on those markers, most of the individuals (N = 678) were identified as the parental species [i.e. A. pegreffii or A. simplex (s. s.)], whereas a smaller portion (N = 11) were recognized as F1 hybrids. Discordant results were obtained when using the polymerase chain reaction–restriction fragment length polymorphisms (PCR–RFLPs) of the internal transcribed spacer (ITS) ribosomal DNA (rDNA) on the same specimens, which indicated the occurrence of a large number of ‘hybrids’ both in sympatry and allopatry. These findings raise the question of possible misidentification of specimens belonging to the two parental Anisakis and their hybrid categories derived from the application of that single marker (i.e. PCR–RFLPs analysis of the ITS of rDNA). Finally, Bayesian clustering, using allozymes and EF1 α−1 nDNA markers, has demonstrated that hybridization between A. pegreffii and A. simplex (s. s.) is a contemporary phenomenon in sympatric areas, while no introgressive hybridization takes place between the two species

Ruolo del sistema Bv8/Prochineticine nel dolore da Granulocyte-Colony Stimulating Factor

Il Granulocyte-colony stimulating factor (G-CSF) è un fattore di crescita emopoietico linea-specifico, prodotto da linfociti T, monociti, fibroblasti e cellule endoteliali del midollo osseo, che agisce sia a livello midollare sui precursori staminali totipotenti inducendone la differenziazione nella linea neutrofili-granulociti sia a livello periferico sui neutrofili maturi, potenziandone le capacità citotossiche, di fagocitosi e aumentando l’espressione di molecole di adesione (Metcalf., 1993; Welte et al., 1985; Demetri et al., 1991; Bober et al., 1995). La capacità del G-CSF di modulare la granulopoiesi è utilizzata nella terapia umana infatti, il fattore granulocitario G-CSF, è tra quelli clinicamente più rilevanti ed ampiamente utilizzati nel trattamento della neutropenia derivante da radioterapia o chemioterapia (Morstyn G. et al., 1996). Sebbene il trattamento con G-CSF sia ben tollerato dai pazienti, lo sviluppo di dolore muscolo-scheletrico è il limite maggiore alla sua applicazione (Johnston E., et al., 2000; Mense S and Simons DG., 2001; Holmes F.A. et al., 2002; Green M., et al., 2003; Carvalho TT et al., 2011). Recenti dati in letteratura dimostrano inoltre, che in corso di infezioni o di infiammazione il G-CSF, è tra tutte le citochine (Stromal cell derived factor-1α Sdf1α, Interleuchina-6 IL-6, Interleuchina-10 IL-10, Granulocyte-Macrophage Colony Stimulating Factor GM-CSF) il principale regolatore positivo dell’espressione di Bv8/Prochineticina 2 (PK2) nei granulociti neutrofili circolanti e infiltranti il tessuto infiammato (Shojaei et al., 2007; Giannini et al 2009; Zhong C et al., 2009). Come già dimostrato in precedenza, Bv8/PK2 che appartiene a una nuova classe di chemochine note come Bv8/Prochineticine, gioca un ruolo determinante nel dolore infiammatorio associato ad infiltrazione granulocitaria (Giannini et al., 2009). Poiché in condizioni infiammatorie il G-CSF è il principale up-regolatore dell’espressione di Bv8/PK2 nei granulociti neutrofili circolanti e tessuto-infiltranti (Shojaei et al., 2007; Giannini et al 2009; Zhong C et al., 2009) e la sua somministrazione, sia nell’uomo sia nel topo, produce dolore (Johnston E., et al., 2000; Mense S and Simons DG., 2001; Holmes F.A. et al., 2002; Green M., et al., 2003; Carvalho TT et al., 2011), è plausibile ipotizzare che Bv8/PK2 sia il responsabile o quanto meno un importante mediatore nel dolore da G-CSF. Sulla base delle considerazioni precedenti, lo scopo del progetto di ricerca è stato di: i) valutare in modelli umani e animali se il dolore indotto dalla somministrazione di G-CSF dipende dal rilascio di Bv8/PK2; Recenti dati in letteratura hanno dimostrato, nelle colture di DRG la localizzazione funzionale del recettore G-CSFR con il recettore vanilloide TRPV1, dove l’attivazione del sistema G-CSF/G-CSFR provoca la sensitizzazione del recettore TRPV1 e la up-regolazione trascrizionale del gene trpv1 (Schweizorf et al., 2009). Nel 2006 l’unità di Ricerca di Farmacologia della Prof.ssa Lucia Negri ha dimostrato nelle colture di DRG una co-localizzazione funzionale dei recettori 1 e 2 delle Prochineticine (PKR1 e PKR2) con il recettore vanilloide TRPV1. Pertanto gli ulteriori obbiettivi dello studio sono stati di: ii) delucidare il ruolo dei Recettori 1 e 2 delle Prochineticine (PKR1 e PKR2) e del recettore vanilloide TRPV1 nella modulazione del dolore da G-CSF, mediante l’utilizzo di topi Knock-Out per i recettori PKRs e tramite l’uso di molecole antagoniste per entrambi le classi di recettori (Balboni et al., 2008; Vidal-Mosquera et al., 2011); iii) testare la capacità di molecole antagoniste dei Recettori 1 e 2 delle Prochineticine (PKR1 e PKR2) di bloccare il dolore indotto dal G-CSF (Balboni et al., 2008)