A Closed-Form Solution of the Multi-Period Portfolio Choice Problem for a Quadratic Utility Function

In the present paper, we derive a closed-form solution of the multi-period portfolio choice problem for a quadratic utility function with and without a riskless asset. All results are derived under weak conditions on the asset returns. No assumption on the correlation structure between different time points is needed and no assumption on the distribution is imposed. All expressions are presented in terms of the conditional mean vectors and the conditional covariance matrices. If the multivariate process of the asset returns is independent it is shown that in the case without a riskless asset the solution is presented as a sequence of optimal portfolio weights obtained by solving the single-period Markowitz optimization problem. The process dynamics are included only in the shape parameter of the utility function. If a riskless asset is present then the multi-period optimal portfolio weights are proportional to the single-period solutions multiplied by time-varying constants which are depending on the process dynamics. Remarkably, in the case of a portfolio selection with the tangency portfolio the multi-period solution coincides with the sequence of the simple-period solutions. Finally, we compare the suggested strategies with existing multi-period portfolio allocation methods for real data.Comment: 38 pages, 9 figures, 3 tables, changes: VAR(1)-CCC-GARCH(1,1) process dynamics and the analysis of increasing horizon are included in the simulation study, under revision in Annals of Operations Researc

Are European equity markets efficient? New evidence from fractal analysis

We report an empirical analysis of long-range dependence in the returns of eight stock market indices, using the Rescaled Range Analysis (RRA) to estimate the Hurst exponent. Monte Carlo and bootstrap simulations are used to construct critical values for the null hypothesis of no long-range dependence. The issue of disentangling short-range and long-range dependence is examined. Pre-filtering by fitting a (short-range) autoregressive model eliminates part of the long-range dependence when the latter is present, while failure to pre-filter leaves open the possibility of conflating short-range and long-range dependence. There is a strong evidence of long-range dependence for the small central European Czech stock market index PX-glob, and a weaker evidence for two smaller western European stock market indices, MSE (Spain) and SWX (Switzerland). There is little or no evidence of long-range dependence for the other five indices, including those with the largest capitalizations among those considered, DJIA (US) and FTSE350 (UK). These results are generally consistent with prior expectations concerning the relative efficiency of the stock markets examined

GenePRIMP: a gene prediction improvement pipeline for prokaryotic genomes

We present 'gene prediction improvement pipeline' (GenePRIMP; http://geneprimp.jgi-psf.org/), a computational process that performs evidence-based evaluation of gene models in prokaryotic genomes and reports anomalies including inconsistent start sites, missed genes and split genes. We found that manual curation of gene models using the anomaly reports generated by GenePRIMP improved their quality, and demonstrate the applicability of GenePRIMP in improving finishing quality and comparing different genome-sequencing and annotation technologies

Integrated psychological treatment for substance use and co-morbid anxiety or depression vs. treatment for substance use alone. A systematic review of the published literature

<p>Abstract</p> <p>Background</p> <p>There is an increasing consensus in favour of integrated treatment of substance use disorders and co-morbid conditions, such as depression or anxiety. However, up till now no systematic reviews have been published.</p> <p>Methods</p> <p>Based on a systematic search of MedLine and PsychInfo, 9 trials of integrated treatment for depression or anxiety plus substance use disorder were identified. Where possible, meta-analyses were carried out, using random effects models.</p> <p>Results</p> <p>Meta-analyses were carried out for integrated treatment for depression and substance use disorders on a number of outcomes. No meta-analysis could be carried out for integrated treatment for anxiety and substance use disorders, due to multivariate reporting of outcomes in original articles. Integrated treatment for depression and substance abuse produced significant effects on percent days abstinent at follow-up. Differences in retention and symptoms were non-significant, but favoured the experimental condition. For studies of integrated treatment for co-morbid anxiety disorders and substance use disorders, no meta-analysis could be carried out. Several studies of integrated treatment for anxiety and substance use disorders reported that patients assigned to substance use treatment only fared better.</p> <p>Conclusion</p> <p>Psychotherapeutic treatment for co-morbid depression and substance use disorders is a promising approach, but is not sufficiently empirically supported at this point. Psychotherapeutic treatment for co-morbid anxiety and substance use disorders is not empirically supported. There is a need for more trials to replicate the findings from studies of integrated treatment for depression and substance use disorders, and for the development of new treatment options for co-morbid anxiety and substance use disorders.</p

Diversification with volatility products

Recent changes to clearing-house regulations have promoted exchange-traded products offering risk premia previously accessible only over-the-counter. Thus, as correlations increase between equity, bonds and commodities, a new strand of research questions the benefits of home-grown diversification using volatility products. First we ask: “What expected returns will induce equity and bond investors to perceive ex-ante diversification benefits from adding volatility?” We call this the optimal diversification threshold. We derive the theoretical thresholds for minimum-variance, mean-variance and Black–Litterman optimization. Empirical analysis of US and European markets shows that volatility diversification is frequently perceived to be optimal, ex-ante, but these apparent benefits are almost never realized, being eroded by high roll and transaction costs. Exchange-traded volatility only proved an effective diversifier during the banking crisis. At other times long equity and bond portfolios diversified with volatility futures have not performed as well as those without diversification, or even those diversified with commodities

Poly-ICLC, a TLR3 Agonist, Induces Transient Innate Immune Responses in Patients With Treated HIV-Infection: A Randomized Double-Blinded Placebo Controlled Trial

Objective: Toll-like receptor-3 agonist Poly-ICLC has been known to activate immune cells and induce HIV replication in pre-clinical experiments. In this study we investigated if Poly-ICLC could be used for disrupting HIV latency while simultaneously enhancing innate immune responses.Design: This was a randomized, placebo-controlled, double-blinded trial in aviremic, cART-treated HIV-infected subjects. Participants (n = 15) were randomized 3:1 to receive two consecutive daily doses of Poly-ICLC (1.4 mg subcutaneously) vs. placebo. Subjects were observed for adverse events, immune activation, and viral replication.Methods: Besides primary outcomes of safety and tolerability, several longitudinal immune parameters were evaluated including immune cell phenotype and function via flowcytometry, ELISA, and transcriptional profiling. PCR assays for plasma HIV-1 RNA, CD4+ T cell-associated HIV-1 RNA, and proviral DNA were performed to measure HIV reservoirs and latency.Results: Poly-ICLC was overall safe and well-tolerated. Poly-ICLC-related adverse events were Grade 1/2, with the exception of one Grade 3 neutropenia which was short-lived. Mild Injection site reactions were observed in nearly all participants in the Poly-ICLC arm. Transcriptional analyses revealed upregulation of innate immune pathways in PBMCs following Poly-ICLC treatment, including strong interferon signaling accompanied by transient increases in circulating IP-10 (CXCL10) levels. These responses generally peaked by 24–48 h after the first injection and returned to baseline by day 8. CD4+ T cell number and phenotype were unchanged, plasma viral control was maintained and no significant effect on HIV reservoirs was observed.Conclusions: These finding suggest that Poly-ICLC could be safely used for inducing transient innate immune responses in treated HIV+ subjects indicating promise as an adjuvant for HIV therapeutic vaccines.Trial Registration:www.ClinicalTrials.gov, identifier: NCT02071095

Application of Two-Part Statistics for Comparison of Sequence Variant Counts

Investigation of microbial communities, particularly human associated communities, is significantly enhanced by the vast amounts of sequence data produced by high throughput sequencing technologies. However, these data create high-dimensional complex data sets that consist of a large proportion of zeros, non-negative skewed counts, and frequently, limited number of samples. These features distinguish sequence data from other forms of high-dimensional data, and are not adequately addressed by statistical approaches in common use. Ultimately, medical studies may identify targeted interventions or treatments, but lack of analytic tools for feature selection and identification of taxa responsible for differences between groups, is hindering advancement. The objective of this paper is to examine the application of a two-part statistic to identify taxa that differ between two groups. The advantages of the two-part statistic over common statistical tests applied to sequence count datasets are discussed. Results from the t-test, the Wilcoxon test, and the two-part test are compared using sequence counts from microbial ecology studies in cystic fibrosis and from cenote samples. We show superior performance of the two-part statistic for analysis of sequence data. The improved performance in microbial ecology studies was independent of study type and sequence technology used

X-ray Absorption and Reflection in Active Galactic Nuclei

X-ray spectroscopy offers an opportunity to study the complex mixture of emitting and absorbing components in the circumnuclear regions of active galactic nuclei, and to learn about the accretion process that fuels AGN and the feedback of material to their host galaxies. We describe the spectral signatures that may be studied and review the X-ray spectra and spectral variability of active galaxies, concentrating on progress from recent Chandra, XMM-Newton and Suzaku data for local type 1 AGN. We describe the evidence for absorption covering a wide range of column densities, ionization and dynamics, and discuss the growing evidence for partial-covering absorption from data at energies > 10 keV. Such absorption can also explain the observed X-ray spectral curvature and variability in AGN at lower energies and is likely an important factor in shaping the observed properties of this class of source. Consideration of self-consistent models for local AGN indicates that X-ray spectra likely comprise a combination of absorption and reflection effects from material originating within a few light days of the black hole as well as on larger scales. It is likely that AGN X-ray spectra may be strongly affected by the presence of disk-wind outflows that are expected in systems with high accretion rates, and we describe models that attempt to predict the effects of radiative transfer through such winds, and discuss the prospects for new data to test and address these ideas.Comment: Accepted for publication in the Astronomy and Astrophysics Review. 58 pages, 9 figures. V2 has fixed an error in footnote

Awareness and knowledge of HPV, cervical cancer, and vaccines in young women after first delivery in São Paulo, Brazil : a cross-sectional study

BACKGROUND: The success of HPV vaccination programs will require awareness regarding HPV associated diseases and the benefits of HPV vaccination for the general population. The aim of this study was to assess the level of awareness and knowledge of human papillomavirus (HPV) infection, cervical cancer prevention, vaccines, and factors associated with HPV awareness among young women after birth of the first child. METHODS: This analysis is part of a cross-sectional study carried out at Hospital Maternidade Leonor Mendes de Barros, a large public maternity hospital in Sao Paulo. Primiparous women (15-24 years) who gave birth in that maternity hospital were included. A questionnaire that included questions concerning knowledge of HPV, cervical cancer, and vaccines was applied. To estimate the association of HPV awareness with selected factors, prevalence ratios (PR) were estimated using a generalized linear model (GLM). RESULTS: Three hundred and one primiparous women were included; 37% of them reported that they "had ever heard about HPV", but only 19% and 7%, respectively, knew that HPV is a sexually transmitted infection (STI) and that it can cause cervical cancer. Seventy-four percent of interviewees mentioned the preventive character of vaccines and all participants affirmed that they would accept HPV vaccination after delivery. In the multivariate analysis, only increasing age (P for trend = 0.021) and previous STI (P < 0.001) were factors independently associated with HPV awareness ("had ever heard about HPV"). CONCLUSIONS: This survey indicated that knowledge about the association between HPV and cervical cancer among primiparous young women is low. Therefore, these young low-income primiparous women could benefit greatly from educational interventions to encourage primary and secondary cervical cancer prevention programs.This study was supported by a research grant from Department of Immunization, Vaccines and Biologicals, World Health Organization (ref: V20-181-13). The authors are grateful to Dr M.T. Aguado for helpful discussions. We are also grateful to Dr Corintio Mariani Neto for the unconditional support provided during field work and to nurses from Hospital Maternidade Leonor Mendes de Barros