Multiperiod portfolio optimization with multiple risky assets and general transaction costs

We analyze the optimal portfolio policy for a multiperiod mean-variance investor facing multiple risky assets in the presence of general transaction costs. For proportional transaction costs, we give a closed-form expression for a no-trade region, shaped as a multi-dimensional parallelogram, and show how the optimal portfolio policy can be efficiently computed for many risky assets by solving a single quadratic program. For market impact costs, we show that at each period it is optimal to trade to the boundary of a state-dependent rebalancing region. Finally, we show empirically that the losses associated with ignoring transaction costs and behaving myopically may be large

Vascular Smooth Muscle-Specific Progerin Expression Accelerates Atherosclerosis and Death in a Mouse Model of Hutchinson-Gilford Progeria Syndrome

Background: Progerin, an aberrant protein that accumulates with age, causes the rare genetic disease Hutchinson-Gilford progeria syndrome (HGPS). Patients who have HGPS exhibit ubiquitous progerin expression, accelerated aging and atherosclerosis, and die in their early teens, mainly of myocardial infarction or stroke. The mechanisms underlying progerin-induced atherosclerosis remain unexplored, in part, because of the lack of appropriate animal models. Methods: We generated an atherosclerosis-prone model of HGPS by crossing apolipoprotein E-deficient (Apoe(-/-)) mice with Lmna(G609G/G609G) mice ubiquitously expressing progerin. To induce progerin expression specifically in macrophages or vascular smooth muscle cells (VSMCs), we crossed Apoe(-/-)Lmna(LCS/LCS) mice with LysMCre and SM22Cre mice, respectively. Progerin expression was evaluated by polymerase chain reaction and immunofluorescence. Cardiovascular alterations were determined by immunofluorescence and histology in male mice fed normal chow or a high-fat diet. In vivo low-density lipoprotein retention was assessed by intravenous injection of fluorescently labeled human low-density lipoprotein. Cardiac electric defects were evaluated by electrocardiography. Results:Apoe(-/-)Lmna(G609G/G609G) mice with ubiquitous progerin expression exhibited a premature aging phenotype that included failure to thrive and shortened survival. In addition, high-fat diet-fed Apoe(-/-)Lmna(G609G/G609G) mice developed a severe vascular pathology, including medial VSMC loss and lipid retention, adventitial fibrosis, and accelerated atherosclerosis, thus resembling most aspects of cardiovascular disease observed in patients with HGPS. The same vascular alterations were also observed in Apoe(-/-)Lmna(LCS/LCS)SM22Cre mice expressing progerin specifically in VSMCs, but not in Apoe(-/-)Lmna(LCS/LCS)LysMCre mice with macrophage-specific progerin expression. Moreover, Apoe(-/-)Lmna(LCS/LCS)SM22Cre mice had a shortened lifespan despite the lack of any overt aging phenotype. Aortas of ubiquitously and VSMC-specific progerin-expressing mice exhibited increased retention of fluorescently labeled human low-density lipoprotein, and atheromata in both models showed vulnerable plaque features. Immunohistopathological examination indicated that Apoe(-/-)Lmna(LCS/LCS)SM22Cre mice, unlike Apoe(-/-)Lmna(G609G/G609G) mice, die of atherosclerosis-related causes. Conclusions: We have generated the first mouse model of progerin-induced atherosclerosis acceleration, and demonstrate that restricting progerin expression to VSMCs is sufficient to accelerate atherosclerosis, trigger plaque vulnerability, and reduce lifespan. Our results identify progerin-induced VSMC death as a major factor triggering atherosclerosis and premature death in HGPS.Work in Dr Andres' laboratory is supported by grants from the Spanish Ministerio de Economia, Industria y Competitividad (MEIC) (SAF2016-79490-R) and the Instituto de Salud Carlos III (AC16/00091, AC17/00067) with co-funding from the Fondo Europeo de Desarrollo Regional (FEDER, ``Una manera de hacer Europa´´), the Progeria Research Foundation (Established Investigator Award 2014-52), and the Fundacio Marato TV3 (122/C/2015). The MEIC supported Dr Hamczyk (´´Formacion de Personal Investigador´´ predoctoral contract BES-2011-043938) and Dr Villa-Bellosta (´´Juan de la Cierva´´ JCI-2011-09663 postdoctoral contract). The Instituto Universitario de Oncologia is supported by Obra Social Cajastur. The Centro Nacional de Investigaciones Cardiovasculares Carlos III (CNIC) is supported by the MEIC and the Pro-CNIC Foundation, and is a Severo Ochoa Center of Excellence (award SEV-2015-0505).S

A decomposition procedure based on approximate Newton directions.

Abstract. The efficient solution of large-scale linear and nonlinear optimization problems may require exploiting any special structure in them in an efficient manner. We describe and analyze some cases in which this special structure can be used with very little cost to obtain search directions from decomposed subproblems. We also study how to correct these directions using (decomposable) preconditioned conjugate gradient methods to ensure local convergence in all cases. The choice of appropriate preconditioners results in a natural manner from the structure in the problem. Finally, we conduct computational experiments to compare the resulting procedures with direct methods