Portfolio Optimization under Solvency Constraints: A Dynamical Approach

We develop portfolio optimization problems for a nonlife insurance company seeking to find the minimum capital required that simultaneously satisfies solvency and portfolio performance constraints. Motivated by standard insurance regulations, we consider solvency capital requirements based on three criteria: ruin probability, conditional Value-at-Risk, and expected policyholder deficit ratio. We propose a novel semiparametric formulation for each problem and explore the advantages of implementing this methodology over other potential approaches. When liabilities follow a Lognormal distribution, we provide sufficient conditions for convexity for each problem. Using different expected return on capital target levels, we construct efficient frontiers when portfolio assets are modeled with a special class of multivariate GARCH models. We find that the correlation between asset returns plays an important role in the behavior of the optimal capital required and the portfolio structure. The stability and out-of-sample performance of our optimal solutions are empirically tested with respect to both the solvency requirement and portfolio performance, through a double rolling window estimation exercise

Phase-Controlled Force and Magnetization Oscillations in Superconducting Ballistic Nanowires

The emergence of superconductivity-induced phase-controlled forces in the (0.01-0.1) nN range, and of magnetization oscillations, in nanowire junctions, is discussed. A giant magnetic response to applied weak magnetic fields, is predicted in the ballistic Josephson junction formed by a superconducting tip and a surface, bridged by a normal metal nanowire where Andreev states form.Comment: 5 pages, 3 figure

Tollip, an early regulator of the acute inflammatory response in the substantia nigra.

Tollip is a ubiquitously expressed protein, originally described as a modulator of the IL-1R/TLR-NF-κB signaling pathways. Although this property has been well characterized in peripheral cells, and despite some evidence of its expression in the central nervous system, the role of Tollip in neuroinflammation remains poorly understood. The present study sought to explore the implication of Tollip in inflammation in the substantia nigra pars compacta, the structure affected in Parkinson's disease. We first investigated Tollip distribution in the midbrain by immunohistochemistry. Then, we addressed TLR4-mediated response by intra-nigral injections of lipopolysaccharide (LPS), a TLR4 agonist, on inflammatory markers in Tollip knockout (KO) and wild-type (WT) mice. We report an unexpectedly high Tollip immunostaining in dopaminergic neurons of the mice brain. Second, intra-nigral injection of LPS led to increased susceptibility to neuroinflammation in Tollip KO compared to Tollip WT mice. This was demonstrated by a significant increase of tumor necrosis factor alpha (TNF-α), interleukin 1 beta (IL-1β), interleukin 6 (IL-6), and interferon gamma (IFN-γ) messenger RNA (mRNA) in the midbrain of Tollip KO mice upon LPS injection. Consistently, brain rAAV viral vector transduction with a nuclear factor kappa B (NF-κB)-inducible reporter gene confirmed increased NF-κB activation in Tollip KO mice. Lastly, Tollip KO mice displayed higher inducible NO synthase (iNOS) production, both at the messenger and protein level when compared to LPS-injected WT mice. Tollip deletion also aggravated LPS-induced oxidative and nitrosative damages, as indicated by an increase of 8-oxo-2'-deoxyguanosine and nitrotyrosine immunostaining, respectively. Altogether, these findings highlight a critical role of Tollip in the early phase of TLR4-mediated neuroinflammation. As brain inflammation is known to contribute to Parkinson's disease, Tollip may be a potential target for neuroprotection

Aharonov-Bohm Oscillations in a One-Dimensional Wigner Crystal-Ring

We calculate the magnetic moment (`persistent current') in a strongly correlated electron system --- a Wigner crystal --- in a one-dimensional ballistic ring. The flux and temperature dependence of the persistent current in a perfect ring is shown to be essentially the same as for a system of non-interacting electrons. In contrast, by incorporating into the ring geometry a tunnel barrier that pins the Wigner crystal, the current is suppressed and its temperature dependence is drastically changed. The competition between two temperature effects --- the reduced barrier height for macroscopic tunneling and loss of quantum coherence --- may result in a sharp peak in the temperature dependence. The character of the macroscopic quantum tunneling of a Wigner crystal ring is dictated by the strength of pinning. At strong pinning the tunneling of a rigid Wigner crystal chain is highly inhomogeneous, and the persistent current has a well-defined peak at $T\sim 0.5\ \hbar s/L$ independent of the barrier height ($s$ is the sound velocity of the Wigner crystal, $L$ is the length of the ring). In the weak pinning regime, the Wigner crystal tunnels through the barrier as a whole and if $V_p>T_0$ the effect of the barrier is to suppress the current amplitude and to shift the crossover temperature from $T_0$ to $T^*\simeq \sqrt{V_{p}T_{0}}$. ($V_{p}$ is the amplitude of the pinning potential, $T_{0} =\hbar v_{F}/L ,\; v_{F}\sim \hbar/ma$ is the drift velocity of a Wigner crystal ring with lattice spacing $a$). For very weak pinning, $V_p\ll T_0$, the influence of the barrier on the persistent current of a Wigner crystal ring is negligibly small.Comment: 30 pages, RevTeX, 2 figures available on reques

Managing Performance Throughout Periods of Travel

Understanding the impact of travel on physical performance is an increasing area of interest for the strength and conditioning practitioner. Previous research surrounding the effect of travel on the physiology of an athlete has focused on sleep. Of concern to coaches and athletes are strategies to help attenuate any detrimental impact of travel on subsequent performance. The aim of this article is to provide informative practical guidelines for before, during, and after travel that can be implemented by coaches and athletes. The key coping strategies addressed include timed light exposure; managing sleep deprivation and nutritional recommendations

A transcriptome-driven analysis of epithelial brushings and bronchial biopsies to define asthma phenotypes in U-BIOPRED

RATIONALE AND OBJECTIVES: Asthma is a heterogeneous disease driven by diverse immunologic and inflammatory mechanisms. We used transcriptomic profiling of airway tissues to help define asthma phenotypes. METHODS: The transcriptome from bronchial biopsies and epithelial brushings of 107 moderate-to-severe asthmatics were annotated by gene-set variation analysis (GSVA) using 42 gene-signatures relevant to asthma, inflammation and immune function. Topological data analysis (TDA) of clinical and histological data was used to derive clusters and the nearest shrunken centroid algorithm used for signature refinement. RESULTS: 9 GSVA signatures expressed in bronchial biopsies and airway epithelial brushings distinguished two distinct asthma subtypes associated with high expression of T-helper type 2 (Th-2) cytokines and lack of corticosteroid response (Group 1 and Group 3). Group 1 had the highest submucosal eosinophils, high exhaled nitric oxide (FeNO) levels, exacerbation rates and oral corticosteroid (OCS) use whilst Group 3 patients showed the highest levels of sputum eosinophils and had a high BMI. In contrast, Group 2 and Group 4 patients had an 86% and 64% probability of having non-eosinophilic inflammation. Using machine-learning tools, we describe an inference scheme using the currently-available inflammatory biomarkers sputum eosinophilia and exhaled nitric oxide levels along with OCS use that could predict the subtypes of gene expression within bronchial biopsies and epithelial cells with good sensitivity and specificity. CONCLUSION: This analysis demonstrates the usefulness of a transcriptomic-driven approach to phenotyping that segments patients who may benefit the most from specific agents that target Th2-mediated inflammation and/or corticosteroid insensitivity

Correlation Functions and Coulomb Blockade of Interacting Fermions at Finite Temperature and Size

We present explicit expressions for the correlation functions of interacting fermions in one dimension which are valid for arbitrary system sizes and temperatures. The result applies to a number of very different strongly correlated systems, including mesoscopic quantum wires, quantum Hall edges, spin chains and quasi-one-dimensional metals. It is for example possible to calculate Coulomb blockade oscillations from our expression and determine their dependence on interaction strength and temperature. Numerical simulations show excellent agreement with the analytical results.Comment: 10 pages in revtex format including 2 embedded figures (using epsf). The latest complete postscript file is available from http://fy.chalmers.se/~eggert/papers/corrfcn.ps or by request from [email protected]

Persistent current in a one-dimensional ring of fractionally charged "exclusons''

The Aharonov-Bohm effect in a one-dimensional (1D) ring containing a gas of fractionally charged excitations is considered. It is shown that the low temperature behavior of the system is identical to that of free electrons with (integer) charge $e$. This is a direct consequence of the fact that the total charge in the ring is quantized in units of the electron charge. Anomalous oscillations of the persistent current amplitude with temperature are predicted to occur as a direct manifistation of the fractional nature of the quasiparticle charge. A 1D conducting ring with gate induced periodical potential is discussed as a possible set-up for an experimental observation of the predicted phenomenon.Comment: 4 pages, RevTex, uuencoded figure

Extracellular Hsp72 concentration relates to a minimum endogenous criteria during acute exercise-heat exposure

Extracellular heat-shock protein 72 (eHsp72) concentration increases during exercise-heat stress when conditions elicit physiological strain. Differences in severity of environmental and exercise stimuli have elicited varied response to stress. The present study aimed to quantify the extent of increased eHsp72 with increased exogenous heat stress, and determine related endogenous markers of strain in an exercise-heat model. Ten males cycled for 90 min at 50% O2peak in three conditions (TEMP, 20°C/63% RH; HOT, 30.2°C/51%RH; VHOT, 40.0°C/37%RH). Plasma was analysed for eHsp72 pre, immediately post and 24-h post each trial utilising a commercially available ELISA. Increased eHsp72 concentration was observed post VHOT trial (+172.4%) (P<0.05), but not TEMP (-1.9%) or HOT (+25.7%) conditions. eHsp72 returned to baseline values within 24hrs in all conditions. Changes were observed in rectal temperature (Trec), rate of Trec increase, area under the curve for Trec of 38.5°C and 39.0°C, duration Trec ≥ 38.5°C and ≥ 39.0°C, and change in muscle temperature, between VHOT, and TEMP and HOT, but not between TEMP and HOT. Each condition also elicited significantly increasing physiological strain, described by sweat rate, heart rate, physiological strain index, rating of perceived exertion and thermal sensation. Stepwise multiple regression reported rate of Trec increase and change in Trec to be predictors of increased eHsp72 concentration. Data suggests eHsp72 concentration increases once systemic temperature and sympathetic activity exceeds a minimum endogenous criteria elicited during VHOT conditions and is likely to be modulated by large, rapid changes in core temperature

Endomicroscopic and transcriptomic analysis of impaired barrier function and malabsorption in environmental enteropathy

Introduction: Environmental enteropathy (EE) is associated with growth failure, micronutrient malabsorption and impaired responses to oral vaccines. We set out to define cellular mechanisms of impaired barrier function in EE and explore protective mechanisms. Methods: We studied 49 adults with environmental enteropathy in Lusaka, Zambia using confocal laser endomicroscopy (CLE); histology, immunohistochemistry and mRNA sequencing of small intestinal biopsies; and correlated these with plasma lipopolysaccharide (LPS) and a zinc uptake test. Results: CLE images (median 134 for each study) showed virtually ubiquitous small intestinal damage. Epithelial defects, imaged by histology and claudin 4 immunostaining, were predominantly seen at the tips of villi and corresponded with leakage imaged in vivo by CLE. In multivariate analysis, circulating log-transformed LPS was correlated with cell shedding events (β = 0.83; P = 0.035) and with serum glucagon-like peptide-2 (β = -0.13; P = 0.007). Zinc uptake from a test dose of 25mg was attenuated in 30/47 (64%) individuals and in multivariate analysis was reduced by HIV, but positively correlated with GLP-2 (β = 2.72; P = 0.03). There was a U-shaped relationship between circulating LPS and villus surface area. Transcriptomic analysis identified 23 differentially expressed genes in severe enteropathy, including protective peptides and proteins. Conclusions: Confocal endomicroscopy, claudin 4 immunostaining and histology identify epithelial defects which are probably sites of bacterial translocation, in the presence of which increased epithelial surface area increases the burden of translocation. GLP 2 and other protective peptides may play an important role in mucosal protection in EE