Different downside risk approaches in portfolio optimisation

Variance is commonly used as risk measure in portfolio optimisation to find the trade-off between the risk and return. Investors wish to minimise the risk at the given level of return.However, the mean-variance model has been criticised because of its limitations. The meanvariance model strictly relies on the assumptions that the assets returns are normally distributed and investor has quadratic utility function. This model will become inadequate when these assumptions are violated. Besides, variance not only penalises the downside deviation but also the upside deviation. Variance does not match investor’s perception towards risk because upside deviation is desirable for investors. Therefore, downside risk measures such as semi-variance, below target risk and conditional value at risk have been proposed to overcome the deficiencies of variance as risk measure. These downside risk measures have better theoretical properties than variance because they are not restricted to normal distribution and quadratic utility function. The downside risk measures focus on return below a specified target return which better match investor’s perception towards risk. The objective of this paper is to compare the optimal portfolio composition and performance using variance, semivariance,below target risk and conditional value at risk as risk measure

Correcting cross-media instrument metamerism for reflectance estimation in multispectral imaging

Author name used in this publication: John H. Xin2010-2011 > Academic research: refereed > Publication in refereed journalVersion of RecordPublishe

3,5-Bis(4-hy­droxy­phen­yl)-4H-1,2,4-triazol-4-amine monohydrate

The triazole ring in the title compound, C14H12N4O2·H2O, makes dihedral angles of 36.9 (1) and 37.3 (1)° with the two benzene rings. Each hy­droxy group is a hydrogen-bond donor to a two-coordinate N atom of an adjacent mol­ecule; these O—H⋯N hydrogen bonds generate a layer parallel to the ab plane. Adjacent layers are linked by N—-H⋯O and Owater—H⋯O hydrogen bonds into a three-dimensional network

Digital technology to facilitate Proactive Assessment of Obesity Risk during Infancy (ProAsk): a feasibility study

OBJECTIVE: To assess the feasibility and acceptability of using digital technology for Proactive Assessment of Obesity Risk during Infancy (ProAsk) with the UK health visitors (HVs) and parents. DESIGN: Multicentre, pre- and post-intervention feasibility study with process evaluation. SETTING: Rural and urban deprived settings, UK community care. PARTICIPANTS: 66 parents of infants and 22 HVs. INTERVENTION: ProAsk was delivered on a tablet device. It comprises a validated risk prediction tool to quantify overweight risk status and a therapeutic wheel detailing motivational strategies for preventive parental behaviour. Parents were encouraged to agree goals for behaviour change with HVs who received motivational interviewing training. OUTCOME MEASURES: We assessed recruitment, response and attrition rates. Demographic details were collected, and overweight risk status. The proposed primary outcome measure was weight-for-age z-score. The proposed secondary outcomes were parenting self-efficacy, maternal feeding style, infant diet and exposure to physical activity/sedentary behaviour. Qualitative interviews ascertained the acceptability of study processes and intervention fidelity. RESULTS: HVs screened 324/589 infants for inclusion in the study and 66/226 (29%) eligible infants were recruited. Assessment of overweight risk was completed on 53 infants and 40% of these were identified as above population risk. Weight-for-age z-score (SD) between the infants at population risk and those above population risk differed significantly at baseline (-0.67 SD vs 0.32 SD). HVs were able to collect data and calculate overweight risk for the infants. Protocol adherence and intervention fidelity was a challenge. HVs and parents found the information provided in the therapeutic wheel appropriate and acceptable. CONCLUSION: Study recruitment and protocol adherence were problematic. ProAsk was acceptable to most parents and HVs, but intervention fidelity was low. There was limited evidence to support the feasibility of implementing ProAsk without significant additional resources. A future study could evaluate ProAsk as a HV-supported, parent-led intervention. TRIAL REGISTRATION NUMBER: NCT02314494 (Feasibility Study Results).This work was supported by the Medical Research Council – Public Health Intervention Development Scheme, grant number PHIND 01/14-15

Spinons and triplons in spatially anisotropic frustrated antiferromagnets

The search for elementary excitations with fractional quantum numbers is a central challenge in modern condensed matter physics. We explore the possibility in a realistic model for several materials, the spin-1/2 spatially anisotropic frustrated Heisenberg antiferromagnet in two dimensions. By restricting the Hilbert space to that expressed by exact eigenstates of the Heisenberg chain, we derive an effective Schr\"odinger equation valid in the weak interchain-coupling regime. The dynamical spin correlations from this approach agree quantitatively with inelastic neutron measurements on the triangular antiferromagnet Cs_2CuCl_4. The spectral features in such antiferromagnets can be attributed to two types of excitations: descendents of one-dimensional spinons of individual chains, and coherently propagating "triplon" bound states of spinon pairs. We argue that triplons are generic features of spatially anisotropic frustrated antiferromagnets, and arise because the bound spinon pair lowers its kinetic energy by propagating between chains.Comment: 16 pages, 6 figure

Genome-wide characterization of simple sequence repeats in cucumber (Cucumis sativus L.)

<p>Abstract</p> <p>Background</p> <p>Cucumber, <it>Cucumis sativus </it>L. is an important vegetable crop worldwide. Until very recently, cucumber genetic and genomic resources, especially molecular markers, have been very limited, impeding progress of cucumber breeding efforts. Microsatellites are short tandemly repeated DNA sequences, which are frequently favored as genetic markers due to their high level of polymorphism and codominant inheritance. Data from previously characterized genomes has shown that these repeats vary in frequency, motif sequence, and genomic location across taxa. During the last year, the genomes of two cucumber genotypes were sequenced including the Chinese fresh market type inbred line '9930' and the North American pickling type inbred line 'Gy14'. These sequences provide a powerful tool for developing markers in a large scale. In this study, we surveyed and characterized the distribution and frequency of perfect microsatellites in 203 Mbp assembled Gy14 DNA sequences, representing 55% of its nuclear genome, and in cucumber EST sequences. Similar analyses were performed in genomic and EST data from seven other plant species, and the results were compared with those of cucumber.</p> <p>Results</p> <p>A total of 112,073 perfect repeats were detected in the Gy14 cucumber genome sequence, accounting for 0.9% of the assembled Gy14 genome, with an overall density of 551.9 SSRs/Mbp. While tetranucleotides were the most frequent microsatellites in genomic DNA sequence, dinucleotide repeats, which had more repeat units than any other SSR type, had the highest cumulative sequence length. Coding regions (ESTs) of the cucumber genome had fewer microsatellites compared to its genomic sequence, with trinucleotides predominating in EST sequences. AAG was the most frequent repeat in cucumber ESTs. Overall, AT-rich motifs prevailed in both genomic and EST data. Compared to the other species examined, cucumber genomic sequence had the highest density of SSRs (although comparable to the density of poplar, grapevine and rice), and was richest in AT dinucleotides. Using an electronic PCR strategy, we investigated the polymorphism between 9930 and Gy14 at 1,006 SSR loci, and found unexpectedly high degree of polymorphism (48.3%) between the two genotypes. The level of polymorphism seems to be positively associated with the number of repeat units in the microsatellite. The <it>in silico </it>PCR results were validated empirically in 660 of the 1,006 SSR loci. In addition, primer sequences for more than 83,000 newly-discovered cucumber microsatellites, and their exact positions in the Gy14 genome assembly were made publicly available.</p> <p>Conclusions</p> <p>The cucumber genome is rich in microsatellites; AT and AAG are the most abundant repeat motifs in genomic and EST sequences of cucumber, respectively. Considering all the species investigated, some commonalities were noted, especially within the monocot and dicot groups, although the distribution of motifs and the frequency of certain repeats were characteristic of the species examined. The large number of SSR markers developed from this study should be a significant contribution to the cucurbit research community.</p

The LRRK2 Arg1628Pro variant is a risk factor for Parkinson's disease in the Chinese population

The c.G4883C variant in the leucine-rich repeat kinase 2 (LRRK2) gene (protein effect: Arg1628Pro) has been recently proposed as a second risk factor for sporadic Parkinson's disease in the Han Chinese population (after the Gly2385Arg variant). In this paper, we analyze the Arg1628Pro variant and the associated haplotype in a large sample of 1,337 Han subjects (834 patients and 543 controls) ascertained from a single referral center in Taiwan. In our sample, the Arg1628Pro allele was more frequent among patients (3.8%) than among controls (1.8%; p = 0.004, OR 2.13, 95% CI 1.29-3.52). Sixty heterozygous and two homozygous carriers of the Arg1628Pro variant were identified among the patients, of which only one was also a carrier of the LRRK2 Gly2385Arg variant. We also show that carriers of the Arg1628Pro variant share a common, extended haplotype, suggesting a founder effect. Parkinson's disease onset age was similar in patients who carried the Arg1628Pro variant and in those who did not carry it. Our data support the contention that the Arg1628Pro variant is a second risk factor for Parkinson's disease in the Han Chinese population. Adding the estimated effects of Arg1628Pro (population attributable risk [PAR] ∼4%) and Gly2385Arg variants (PAR ∼6%) yields a total PAR of ∼10%