Portfolio Optimization Using SPEA2 with Resampling

Proceeding of: Intelligent Data Engineering and Automated Learning – IDEAL 2011: 12th International Conference, Norwich, UK, September 7-9, 2011The subject of financial portfolio optimization under real-world constraints is a difficult problem that can be tackled using multiobjective evolutionary algorithms. One of the most problematic issues is the dependence of the results on the estimates for a set of parameters, that is, the robustness of solutions. These estimates are often inaccurate and this may result on solutions that, in theory, offered an appropriate risk/return balance and, in practice, resulted being very poor. In this paper we suggest that using a resampling mechanism may filter out the most unstable. We test this idea on real data using SPEA2 as optimization algorithm and the results show that the use of resampling increases significantly the reliability of the resulting portfolios.The authors acknowledge financial support granted by the Spanish Ministry of Science under contract TIN2008-06491-C04-03 (MSTAR) and Comunidad de Madrid (CCG10- UC3M/TIC-5029).Publicad

Bergman kernel and complex singularity exponent

We give a precise estimate of the Bergman kernel for the model domain defined by $\Omega_F=\{(z,w)\in \mathbb{C}^{n+1}:{\rm Im}w-|F(z)|^2>0\},$ where $F=(f_1,...,f_m)$ is a holomorphic map from $\mathbb{C}^n$ to $\mathbb{C}^m$, in terms of the complex singularity exponent of $F$.Comment: to appear in Science in China, a special issue dedicated to Professor Zhong Tongde's 80th birthda

HMM based scenario generation for an investment optimisation problem

This is the post-print version of the article. The official published version can be accessed from the link below - Copyright @ 2012 Springer-Verlag.The Geometric Brownian motion (GBM) is a standard method for modelling financial time series. An important criticism of this method is that the parameters of the GBM are assumed to be constants; due to this fact, important features of the time series, like extreme behaviour or volatility clustering cannot be captured. We propose an approach by which the parameters of the GBM are able to switch between regimes, more precisely they are governed by a hidden Markov chain. Thus, we model the financial time series via a hidden Markov model (HMM) with a GBM in each state. Using this approach, we generate scenarios for a financial portfolio optimisation problem in which the portfolio CVaR is minimised. Numerical results are presented.This study was funded by NET ACE at OptiRisk Systems

The distortion principle for insurance pricing: properties, identification and robustness

Distortion (Denneberg in ASTIN Bull 20(2):181–190, 1990) is a well known premium calculation principle for insurance contracts. In this paper, we study sensitivity properties of distortion functionals w.r.t. the assumptions for risk aversion as well as robustness w.r.t. ambiguity of the loss distribution. Ambiguity is measured by the Wasserstein distance. We study variances of distances for probability models and identify some worst case distributions. In addition to the direct problem we also investigate the inverse problem, that is how to identify the distortion density on the basis of observations of insurance premia

Holomorphic Functions on Bundles Over Annuli

We consider a family E_m(D,M) of holomorphic bundles constructed as follows: to any given M in GL_n(Z), we associate a "multiplicative automorphism" f of (C*)^n. Now let D be a f-invariant Stein Reinhardt domain in (C*)^n. Then E_m(D,M) is defined as the flat bundle over the annulus of modulus m>0, with fiber D, and monodromy f. We show that the function theory on E_m(D,M) depends nontrivially on the parameters m, M and D. Our main result is that E_m(D,M) is Stein if and only if m log(r(M)) <= 2 \pi^2, where r(M) denotes the max of the spectral radii of M and its inverse. As corollaries, we: -- obtain a classification result for Reinhardt domains in all dimensions; -- establish a similarity between two known counterexamples to a question of J.-P. Serre; -- suggest a potential reformulation of a disproved conjecture of Siu Y.-T

DEAR project: Lunar dust surface interactions, risk and removal investigations

The DEAR project (Dusty Environment Application Research) investigates the interaction between lunar regolith and surfaces and components relevant for lunar exploration. Based on the TUBS regolith simulant which is representative in chemistry, size and shape properties to Moon soils to study the regolith transport, adhesion and strategies for cleaning. The regolith simulant will be applied to thermal, structural, optical sensor, sealing and other astronautic systems, providing input for requirements, justification and verification. The key applications are split in human space flight regolith investigations, wrinkled surface with random movement and hardware surfaces, flat material defined movement. The paper provides an overview of the DEAR project including a discussion of the first results, in particular vibration, shock and micro-vibration on regolith bearing surfaces. The investigation shall enable better understand the regolith layers interaction and the release mechanism, as well as potential cross contamination and cleaning strategies. The research is complemented by simulation of the regolith motion as parameter surface plasma interactions. The project is funded and supported by the European Space Agency (ESA). DEAR specifically addresses the development and testing of lunar dust removal strategies on optics, mechanisms and human space flight hardware (e.g., space suits). As the Moons regolith is known to be highly abrasive, electrically chargeable, and potentially chemically reactive, lunar dust might reduce the performance of hardware, such as cameras, thermal control surfaces and solar cells. The dust can cause malfunction on seals for on/off mechanisms or space suits. Of particular interest are risk assessment, avoidance, and cleaning techniques such as the use of electric fields to remove lunar dust from surfaces. Representative dust (e.g., regolith analogues of interesting landing sites) will be used in a dedicated test setup to evaluate risks and effects of lunar dust. We describe designs and methods developed by the DEAR consortium to deal with the regolith-related issues, in particular an electrode design to deflect regolith particles, cleaning of astronautical systems with CO2, design of a robotic arm for the testing within the DEAR chamber, regolith removal via shock, and regolith interaction with cleanroom textile

Treatment of rising damp in historical buildings: wall base ventilation

Intervention in older buildings increasingly requires extensive and objective knowledge of what one will be working with. The multifaceted aspect of work carried out on buildings tends to encompass a growing number of specialities, with marked emphasis on learning the causes of many of the problems that affect these buildings and the possible treatments that can solve them. Moisture transfer in walls of old buildings, which are in direct contact with the ground, leads to a migration of soluble salts responsible for many building pathologies.http://www.sciencedirect.com/science/article/B6V23-4H7T0H7-1/1/f5e8a4ec173c5dadf120770678facf4

Identification of plasma lipid biomarkers for prostate cancer by lipidomics and bioinformatics

Background: Lipids have critical functions in cellular energy storage, structure and signaling. Many individual lipid molecules have been associated with the evolution of prostate cancer; however, none of them has been approved to be used as a biomarker. The aim of this study is to identify lipid molecules from hundreds plasma apparent lipid species as biomarkers for diagnosis of prostate cancer. Methodology/Principal Findings: Using lipidomics, lipid profiling of 390 individual apparent lipid species was performed on 141 plasma samples from 105 patients with prostate cancer and 36 male controls. High throughput data generated from lipidomics were analyzed using bioinformatic and statistical methods. From 390 apparent lipid species, 35 species were demonstrated to have potential in differentiation of prostate cancer. Within the 35 species, 12 were identified as individual plasma lipid biomarkers for diagnosis of prostate cancer with a sensitivity above 80%, specificity above 50% and accuracy above 80%. Using top 15 of 35 potential biomarkers together increased predictive power dramatically in diagnosis of prostate cancer with a sensitivity of 93.6%, specificity of 90.1% and accuracy of 97.3%. Principal component analysis (PCA) and hierarchical clustering analysis (HCA) demonstrated that patient and control populations were visually separated by identified lipid biomarkers. RandomForest and 10-fold cross validation analyses demonstrated that the identified lipid biomarkers were able to predict unknown populations accurately, and this was not influenced by patient's age and race. Three out of 13 lipid classes, phosphatidylethanolamine (PE), ether-linked phosphatidylethanolamine (ePE) and ether-linked phosphatidylcholine (ePC) could be considered as biomarkers in diagnosis of prostate cancer. Conclusions/Significance: Using lipidomics and bioinformatic and statistical methods, we have identified a few out of hundreds plasma apparent lipid molecular species as biomarkers for diagnosis of prostate cancer with a high sensitivity, specificity and accuracy

Union of the European Phoniatricians' position statement on the exit strategy of phoniatric and laryngological services : staying safe and getting back to normal after the peak of coronavirus disease 2019 (issued on 25th May 2020)

Background The following position statement from the Union of the European Phoniatricians, updated on 25th May 2020 (superseding the previous statement issued on 21st April 2020), contains a series of recommendations for phoniatricians and ENT surgeons who provide and/or run voice, swallowing, speech and language, or paediatric audiology services. Objectives This material specifically aims to inform clinical practices in countries where clinics and operating theatres are reopening for elective work. It endeavours to present a current European view in relation to common procedures, many of which fall under the aegis of aerosol generating procedures. Conclusion As evidence continues to build, some of the recommended practices will undoubtedly evolve, but it is hoped that the updated position statement will offer clinicians precepts on safe clinical practice.Peer reviewe

Actionable perturbations of damage responses by TCL1/ATM and epigenetic lesions form the basis of T-PLL

T-cell prolymphocytic leukemia (T-PLL) is a rare and poor-prognostic mature T-cell malignancy. Here we integrated large-scale profiling data of alterations in gene expression, allelic copy number (CN), and nucleotide sequences in 111 well-characterized patients. Besides prominent signatures of T-cell activation and prevalent clonal variants, we also identify novel hot-spots for CN variability, fusion molecules, alternative transcripts, and progression-associated dynamics. The overall lesional spectrum of T-PLL is mainly annotated to axes of DNA damage responses, T-cell receptor/cytokine signaling, and histone modulation. We formulate a multi-dimensional model of T-PLL pathogenesis centered around a unique combination of TCL1 overexpression with damaging ATM aberrations as initiating core lesions. The effects imposed by TCL1 cooperate with compromised ATM toward a leukemogenic phenotype of impaired DNA damage processing. Dysfunctional ATM appears inefficient in alleviating elevated redox burdens and telomere attrition and in evoking a p53-dependent apoptotic response to genotoxic insults. As non-genotoxic strategies, synergistic combinations of p53 reactivators and deacetylase inhibitors reinstate such cell death execution.Peer reviewe