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

Covalent binding studies on the 14C-labeled antitumour compound 2,5-bis(1-aziridinyl)-1,4-benzoquinone. Involvement of semiquinone radical in binding to DNA, and binding to proteins and bacterial macromolecules in situ

2,5-Bis(1-aziridinyl)-1,4-benzoquinone (BABQ) is a compound from which several antitumour drugs are derived, such as Trenimone, Carboquone and Diaziquone (AZQ). The mechanism of DNA binding of BABQ was studied using 14C-labeled BABQ and is in agreement with reduction of the quinone moiety and protonation of the aziridine ring, followed by ring opening and alkylation. The one-electron reduced (semiquinone) form of BABQ alkylates DNA more efficiently than two-electron reduced or non reduced BABQ. Covalent binding to polynucleotides did not unambiguously reveal preference for binding to specific DNA bases. Attempts to elucidate further the molecular structure of DNA adducts by isolation of modified nucleosides from enzymatic digests of reacted DNA failed because of instability of the DNA adducts. The mechanism of covalent binding to protein (bovine serum albumin, BSA) appeared to be completely different from that of covalent binding to DNA. Binding of BABQ to BSA was not enhanced by reduction of the compound and was pH dependent in a way that is opposite to that of DNA alkylation. Glutathione inhibits binding of BABQ to BSA and forms adducts with BABQ in a similar pH dependence as the protein binding. The aziridine group therefore does not seem to be involved in the alkylation of BSA. Incubation of intact E. coli cells, which endogenously reduce BABQ, resulted in binding to both DNA and RNA, but also appreciable protein binding was observed

Melamine in sojaschilfers, oorzaak van verschillen tussen laboratoria

In november 2008 is door het bedrijfsleven in een tweetal partijen diervoedergrondstoffen (sojaschilfers/-meel) melamine aangetroffen op niveaus tussen 40 en 800 mg/kg. Naar aanleiding hiervan heeft de VWA aan RIKILT verzocht om deze monsters (genomen door het bedrijfsleven) te analyseren op melamine en daarnaast, ten behoeve van de risicobeoordeling, op de hydrolyseproducten ammeline, ammelide en cyanuurzuu

Imaging dielectric relaxation in nanostructured polymers by frequency modulation electrostatic force microscopy

We have developed a method for imaging the temperature-frequency dependence of the dynamics of nanostructured polymer films with spatial resolution. This method provides images with dielectric compositional contrast well decoupled from topography. Using frequency-modulation electrostatic-force-microscopy, we probe the local frequency-dependent (0.1–100 Hz) dielectric response through measurement of the amplitude and phase of the force gradient in response to an oscillating applied electric field. When the phase is imaged at fixed frequency, it reveals the spatial variation in dielectric losses, i.e., the spatial variation in molecular/dipolar dynamics, with 40 nm lateral resolution. This is demonstrated by using as a model system; a phase separated polystyrene/polyvinyl-acetate (PVAc) blend. We show that nanoscale dynamic domains of PVAc are clearly identifiable in phase images as those which light-up in a band of temperature, reflecting the variations in the molecular/dipolar dynamics approaching the glass transition temperature of PVAc

Human keratinocyte sensitivity towards inflammatory cytokines varies with culture time

Proliferating keratinocyte cultures have been reported to synthesize higher concentrations of prostaglandin (PG) E than confluent ones. As interleukin-1 (IL-1) stimulates keratinocyte PGE synthesis we investigated whether the degree of confluency of the keratinocyte culture modified the response of the cells to IL-1. It was found that IL-1α (100 U/ml) stimulated PGE2 synthesis by proliferating (7 days in culture) but not differentiating (14 days in culture) keratinocytes. Similar effects were observed using tumour necrosis factor-α. Both arachidonic acid (AA) and the calcium ionophore A23187 stimulated PGE2 synthesis by 7 and 14 day cultures although the increase was greatest when 7 day cultures were used. Our data indicate that there is a specific down-regulation of the mechanism(s) by which some inflammatory cytokines stimulate keratinocyte eicosanoid synthesis as cultured keratinocytes begin to differentiate

Limited effect of patient and disease characteristics on compliance with hospital antimicrobial guidelines

Objective: Physicians frequently deviate from guidelines that promote prudent use of antimicrobials. We explored to what extent patient and disease characteristics were associated with compliance with guideline recommendations for three common infections. Methods: In a 1-year prospective observational study, 1,125 antimicrobial prescriptions were analysed for compliance with university hospital guidelines. Results: Compliance varied significantly between and within the groups of infections studied. Compliance was much higher for lower respiratory tract infections (LRTIs; 79%) than for sepsis (53%) and urinary tract infections (UTIs; 40%). Only predisposing illnesses and active malignancies were associated with more compliant prescribing, whereas alcohol/ intravenous drug abuse and serum creatinine levels > 130 mu mol/l were associated with less compliant prescribing. Availability of culture results had no impact on compliance with guidelines for sepsis but was associated with more compliance in UTIs and less in LRTIs. Narrowing initial broad-spectrum antimicrobial therapy to cultured pathogens was seldom practised. Most noncompliant prescribing concerned a too broad spectrum of activity when compared with guideline-recommended therapy. Conclusion: Patient characteristics had only a limited impact on compliant prescribing for a variety of reasons. Physicians seemed to practise defensive prescribing behaviour, favouring treatment success in current patients over loss of effectiveness due to resistance in future patients

Dynamic nitrogen deposition thresholds during forest stand development in a Douglas fir forest analysed with two nitrogen models SMART2 and MERLIN

In contrast to the classical critical load (CL) concept, based on long-term steady-state conditions, a dynamic deposition threshold (DDT) is introduced. This DDT takes into account all relevant dynamic aspects of vegetation development/forest growth, mineralisation, immobilisation and denitrification, depending on the successional stage of the forest. DDT values for nitrogen were determined for a Douglas fir rotation by two process-based nitrogen models SMART2 and MERLIN using three different criteria for critical nitrogen leaching. During most of the rotation time, the predicted DDT values were higher than the corresponding traditional CL. SMART2 and MERLIN predicted a maximum DDT of 4.9 and 4.6 kmol N per ha per year (69 and 64 kg N per ha per year, respectively), when accepting a critical N leaching level of 1.73 kmol N per ha per year related to impacts on ground water quality. This is due mainly to relatively high tree uptake during the first 50 years of a forest rotation, compared to a long-term estim