Sparse and stable Markowitz portfolios

We consider the problem of portfolio selection within the classical Markowitz mean-variance framework, reformulated as a constrained least-squares regression problem. We propose to add to the objective function a penalty proportional to the sum of the absolute values of the portfolio weights. This penalty regularizes (stabilizes) the optimization problem, encourages sparse portfolios (i.e. portfolios with only few active positions), and allows to account for transaction costs. Our approach recovers as special cases the no-short-positions portfolios, but does allow for short positions in limited number. We implement this methodology on two benchmark data sets constructed by Fama and French. Using only a modest amount of training data, we construct portfolios whose out-of-sample performance, as measured by Sharpe ratio, is consistently and significantly better than that of the naive evenly-weighted portfolio which constitutes, as shown in recent literature, a very tough benchmark.Comment: Better emphasis of main result, new abstract, new examples and figures. New appendix with full details of algorithm. 17 pages, 6 figure

A tale of two "canyon" systems; Gollum & Whittard

Within the framework of the EC FP6 HERMES project, Ghent University organised a joint geophysical and biological research cruise to the Gollum and Whittard Canyon system with R/V Belgica from 23rd to 29th of June 2006. The aim was to study the local ecosystems and their drivers. In combining and integrating various scientific disciplines, it is aimed to get a complete picture on how biodiversity, biological processes and physical factors are linked to each other and how they can control the various ecosystems along the European Margin.During this campaign, special attention was given to the upper slope configuration of the Gollum channel heads, fitting in a framework of multibeam bathymetry ........(Beyer et al., 2003), seismic profiling and TOBI side-scan sonar data ....................(Wheeler et al., 2003) collected during previous campaigns. The main Gollum channel system is characterised by several deeply incised canyons with numerous slide scars on their flanks. Their pathways seem to be influenced by a structural control, creating a bayonet-shaped course. Upstream of this structural feature, the channel floor deposits are characterized by thick acoustically transparent units suggesting ponded turbidites or mass-wasting deposits. A long piston core, acquired with R/V Marion Dufresne in 2001 (MD01-2464), however, only yields a small number of fine-grained turbidites in a muddy hemipelagic host sediment. This suggests that this system has known a relatively low activity during Quaternary times. The high-resolution single-channel sparker geophysical survey on the Whittard canyon system was originally designed to better document its morphology and structure and to assist finding suitable places for biological sampling. During this survey, a set of enigmatic mound-like structures were found in water depths of 300 to 500m, very much alike the coral banks observed in the Porcupine basin, recently drilled by IODP expedition 307 ......................(IODP 307 Expedition Scientists, 2005; De Mol et al., 2002). They are closely associated to a downslope gully of the Whittard canyon and some levee (or even drift) deposits. The presence of coral banks in this canyon location would be a perfect example of the HERMES ecosystem hotspots. However, only few profiles were acquired and no detailed bathymetric data was available at the time of the campaign. Further investigations within the HERMES community will be conducted in order to verify this potentially interesting observation

An evolutionary stage model of outsourcing and competence destruction : a Triad comparison of the consumer electronics industry

Outsourcing has gained much prominence in managerial practice and academic discussions in the last two decades or so. Yet, we still do not understand the full implications of outsourcing strategy for corporate performance. Traditionally outsourcing across borders is explained as a cost-cutting exercise, but more recently the core competency argument states that outsourcing also leads to an increased focus, thereby improving effectiveness. However, no general explanation has so far been provided for how outsourcing could lead to deterioration in a firm‟s competence base. We longitudinally analyze three cases of major consumer electronics manufacturers, Emerson Radio from the U.S., Japan‟s Sony and Philips from the Netherlands to understand the dynamic process related to their sourcing strategies. We develop an evolutionary stage model that relates outsourcing to competence development inside the firm and shows that a vicious cycle may emerge. Thus it is appropriate to look not only at how outsourcing is influenced by an organization‟s current set of competences, but also how it alters that set over time. The four stages of the model are offshore sourcing, phasing out, increasing dependence on foreign suppliers, and finally industry exit or outsourcing reduction. The evolutionary stage model helps managers understand for which activities and under which conditions outsourcing across borders is not a viable option. Results suggest that each of these firms had faced a loss of manufacturing competitiveness in its home country, to which it responded by offshoring and then outsourcing production. When a loss of competences occurred, some outsourcing decisions were reversed

Radiocarbon Chronologies and Extinction Dynamics of the Late Quaternary Mammalian Megafauna of the Taimyr Peninsula, Russian Federation

This paper presents 75 new radiocarbon dates based on late Quaternary mammal remains recovered from eastern Taimyr Peninsula and adjacent parts of the northern Siberian lowlands, Russian Federation, including specimens of woolly mammoth (Mammuthus primigenius), steppe bison (Bison priscus), muskox (Ovibos moschatus), moose (Alces alces), reindeer (Rangifer tarandus), horse (Equus caballus) and wolf (Canis lupus). New evidence permits reanalysis of megafaunal extinction dynamics in the Asian high Arctic periphery. Increasingly, radiometric records of individual species show evidence of a gap at or near the Pleistocene/Holocene boundary (PHB). In the past, the PHB gap was regarded as significant only when actually terminal, i.e., when it marked the apparent ‘‘last’’ occurrence of a species (e.g., current ‘‘last’’ occurrence date for woolly mammoth in mainland Eurasia is 9600 yr BP). However, for high Arctic populations of horses and muskoxen the gap marks an interruption rather than extinction, because their radiocarbon records resume, nearly simultaneously, much later in the Holocene. Taphonomic effects, ΔC14 flux, and biased sampling are unlikely explanations for these hiatuses. A possible explanation is that the gap is the signature of an event, of unknown nature, that prompted the nearly simultaneous crash of many megafaunal populations in the high Arctic and possibly elsewhere in Eurasia.

Sedimentological study of cold-water coral mounds on Pen Duick Escarpment (Gulf of Cadiz): preliminary results of the MD169 cruise

Cold-water corals are widely distributed along the Moroccan margin in the Northeast Atlantic Ocean. Within the Gulf of Cadiz mud volcanoes, submarine ridges and steep fault escarpments occur, which favour the settlement of scleractinians and build up coral mounds. One of these sites is the Pen Duick Escarpment, situated in the El Arraiche mud volcano field, 35 km offshore the city of Larache. Pen Duick Escarpment is a 6 km long, SSE-NNW oriented, 80 to 125 m high wall with a southwest-facing slope of 8 to 12°. Up to now, 15 coral mounds were recognized on top of the escarpment with an average estimated elevation of 15 m. Although cold-water corals are a common feature on the adjacent cliffs, mud volcanoes and seafloor, no actual living coral has been observed.This study is based upon three on-mound gravity cores (Alpha, Beta and Gamma mound) acquired by R/V Marion Dufresne in 2008 (MD169). Each mound was cored at least twice to recover both a core for biogeochemical and microbial studies, and another core for sedimentological purposes, in order to link both processes. The sedimentological cores were analysed using different techniques (medical CT scanning, XRF, U/Th dating, stable isotopes, grain-size analysis) in order to obtain a holistic view on the build-up of a mound. The coring, together with present-day seabed observations, revealed the architectural importance of open coral rubble plates in the role of mound building. These graveyards act not only as sediment trap but also as microhabitat for a wide range of benthic organisms

Has increased clinical experience with methotrexate reduced the direct costs of medical management of ectopic pregnancy compared to surgery?

<p>Abstract</p> <p>Background</p> <p>There is a debate about the cost-efficiency of methotrexate for the management of ectopic pregnancy (EP), especially for patients presenting with serum human chorionic gonadotrophin levels of >1500 IU/L. We hypothesised that further experience with methotrexate, and increased use of guideline-based protocols, has reduced the direct costs of management with methotrexate.</p> <p>Methods</p> <p>We conducted a retrospective cost analysis on women treated for EP in a large UK teaching hospital to (1) investigate whether the cost of medical management is less expensive than surgical management for those patients eligible for both treatments and (2) to compare the cost of medical management for women with hCG concentrations 1500–3000 IU/L against those with similar hCG concentrations that elected for surgery. Three distinct treatment groups were identified: (1) those who had initial medical management with methotrexate, (2) those who were eligible for initial medical management but chose surgery (‘elected’ surgery) and (3) those who initially ‘required’ surgery and did not meet the eligibility criteria for methotrexate. We calculated the costs from the point of view of the National Health Service (NHS) in the UK. We summarised the cost per study group using the mean, standard deviation, median and range and, to account for the skewed nature of the data, we calculated 95% confidence intervals for differential costs using the nonparametric bootstrap method.</p> <p>Results</p> <p>Methotrexate was £1179 (CI 819–1550) per patient cheaper than surgery but there were no significant savings with methotrexate in women with hCG >1500 IU/L due to treatment failures.</p> <p>Conclusions</p> <p>Our data support an ongoing unmet economic need for better medical treatments for EP with hCG >1500 IU/L.</p