Structured portfolio analysis under SharpeOmega ratio

This paper deals with performance measurement of financial structured products. For this purpose, we introduce the SharpeOmega ratio, based on put as downside risk measure. This allows to take account of the asymmetry of the return probability distribution. We provide general results about the optimization of some standard structured portfolios with respect to the SharpeOmega ratio. We determine in particular the optimal combination of risk free, stock and call/put instruments with respect to this performance measure. We show that, contrary to Sharpe ratio maximization (Goetzmann et al., 2002), the payoff of the optimal structured portfolio is not necessarily increasing and concave. We also discuss about the interest of the asset management industry to reward high Sharpe Omega ratios

Portfolio Optimization within Mixture of Distributions

The recent financial crisis has highlighted the necessity to introduce mixtures of probability distributions in order to improve the estimation of asset returns and in particular to better take account of risks. Since Pearson (1894), these mixtures have been intensively used in many scientific fields since they provide very convenient mathematical tools to examine various statistical data and to approximate many probability distributions. They are typically introduced to model the choice of probability distributions among a given parametric family. The coefficients of the mixture usually correspond to the relative frequencies of each possible parameter. In this framework, we examine the single-period portfolio choice model, which has been addressed in the partial equilibrium framework, by Brennan and Solanki (1981), Leland (1980) and Prigent (2006). We consider an investor who wants to maximize the expected utility of the value of his portfolio consisting of one risk-free asset and one risky asset. We provide and analyze the solution for log return with mixture distributions, in particular for the mixture Gaussian case. The optimal portfolio is characterized for arbitrary utility functions. Our results show that mixture of distributions can have significant implications on the portfolio management

Detecting Performance Persistence of Hedge Funds : A Runs-Based Analysis

In this paper, we use nonparametric runs-based tests to analyze the randomness of returns and the persistence of relative returns of hedge funds. Runs tests are implemented on a universe of hedge extracted from HFR database over the period spanning January 2000 to December 2012. Our findings suggest that i) For about 80% of the funds, we fail to reject the null of randomness of returns, ii) A similar ...gure is found out when focusing on relative returns, iii) Hedge funds that do present clustering in their relative returns are mainly found within Event Driven and Relative Value strategies, iv) For relative returns, results vary with the benchmark nature (hedge or traditional). The paper also emphasizes that runs tests may be a useful tool for investors in their fund' s selection process

Structured portfolio analysis under SharpeOmega ratio

This paper deals with performance measurement of financial structured products. For this purpose, we introduce the SharpeOmega ratio, based on put as downside risk measure. This allows to take account of the asymmetry of the return probability distribution. We provide general results about the optimization of some standard structured portfolios with respect to the SharpeOmega ratio. We determine in particular the optimal combination of risk free, stock and call/put instruments with respect to this performance measure. We show that, contrary to Sharpe ratio maximization (Goetzmann et al., 2002), the payoff of the optimal structured portfolio is not necessarily increasing and concave. We also discuss about the interest of the asset management industry to reward high Sharpe Omega ratios.Structured portfolio, Performance measure, SharpeOmega ratio.

Cytométrie et ses applications en immunologie clinique / Cytometry and its clinical applications in immunology

National audienceLa cytométrie (cyto = cellule ; métrie = mesure) consiste en l'analyse objective, quantitative et multiparamétrique des cellules. Elle utilise la fluorescence, des moyens fluidiques, optiques et le soutien informatique pour le traitement des signaux ou des images. Ses performances sont exceptionnelles (analyse 4, 6, 8, à très grande vitesse (de 500 à 10 000 cellules par seconde). La cytométrie en image est très utilisée en recherche. En analyse médicale, la cytométrie en flux est de plus en plus utilisées, pour le typage des leucémies, la numération des très nombreux sous-types cellulaires par exemple pour le suivi du SIDA ou des traitements immunosuppresseurs et greffes. De plus, l'état d'activation, de maturation et de prolifération des cellules peuvent être mesurés. La haute précision et large utilisation de la cytométrie en routine a déjà permis de décrire des nouveaux sous-types cellulaires tels que les lymphocytes T gamma delta, muqueux, les cellules TNK, les lymphocytes régulateurs dont l'action est ciblée au sein de la cellule immune. Des proliférations monoclonales de signification indéterminées mais potentiellement évolutives ont été observées. Les désordres prolifératifs et des hétéroploidies peuvent être rapidement analysés. D'autres applications en cancérologie et microbiologie sont en cours de développement. En conclusion, l'apport majeur de la cytométrie est de pouvoir aborder les populations cellulaires dans leur grande diversité et complexité. Il serait en effet ridicule de limiter ces systèmes à des ensembles homogènes et uniformes. La « sociologie » des populations cellulaires est un nouveau champ encore à défricher. ================================================== Cytometry (cyto = cell; metry = measuring) consist in an objective, quantitative et multiparametric analysis of cells. It is based on fluorescence, fluidic and optical tools with the help of signal or image computer treatment. It is a high performance system allowing simultaneously analysis 4, 6, 8 or more parameters, at very high speed from 500 to 10 000 cells per second). Image cytometry is largely used in research. In medical analysis, Flow-cytometry is more and more used for leukaemia typing, lymphocyte counting, among them HIV monitoring or immunological treatments follow-up. Identification of numerous cell subtypes and their activation, maturation or proliferation status is now possible. Its high precision and wide use have lead to the description of new cell subtypes (e.g. gamma delta, mucosal, T.NK or regulatory T cells...) that have targeted activity. Recently, oligoclonal clonopathies of undetermined significance but with risks for pathological development have been described. Proliferative or heteroploidy disorders can also be evaluated. Applications in solid tumor and microbiology are under development. In conclusion, the major point of cytometry is to bring tools to approach cell populations in their diversity and complexity. It would be ridiculous to consider them as homogeneous, uniform systems. In other words, cell « sociology » is a wide new field that remains to be explored

Duopole en prix et allocation de capacité sur deux marchés

Nous étudions l'incidence de contraintes de capacité dans un modèle de concurrence oligopolistique en prix sur deux marchés. Pour des capacités de production données, Levitan et Shubik (1972) ont identifié un équilibre en stratégies mixtes dans le cas d'un duopole formé de deux firmes qui se concurrencent en prix sur un seul marché. Supposons que ces deux firmes décident de s'installer sur deux marchés, elles doivent alors répartir leurs capacités entre ces marchés. Chaque firme répartit sa capacité totale et fixe alors son prix sur chaque marché. Une des stratégies offertes pour la firme dans ce nouveau contexte concurrentiel est de suivre l'allocation de capacité et la politique de prix d'équilibre sur un seul marché identifiées par Levitan et Shubik. Nous montrons que cette allocation ne constitue pas un équilibre lorsqu'elle est répliquée sur deux marchés

Sélection des nœuds dans les réseaux de capteurs sans fil avec récolte d'énergie

RÉSUMÉ L’utilisation des réseaux de capteurs sans fil avec récolte d’énergie est une technologie de communication sans fil émergente avec une large variété d’applications telles que la surveillance de l’environnement. Maximiser le nombre d’échantillons prélevés par le collecteur de données à partir des capteurs est une approche clé afin de minimiser les incertitudes de mesure pour ces applications. Le système considéré dans le présent mémoire considère le problème de sélection des noeuds dans les réseaux de capteurs sans fil avec récolte d’énergie afin de maximiser le nombre de capteurs sélectionnés dans un scénario de liaison montante sujet aux contraintes de satisfaction d’un seuil de rapport signal sur bruit requis à la réception. Ce réseau se compose d’un ensemble de capteurs récolteurs d’énergie et un collecteur de données non-récolteur d’énergie, équipé de plusieurs antennes et responsable de la réception des données transmises par les capteurs. En utilisant un récepteur par forçage à zéro (ZF), le collecteur de données sélectionne le plus grand nombre de noeuds possible pouvant transmettre afin de maximiser la quantité reçue de l’information, tout en satisfaisant leurs contraintes de qualité de service (QoS) en terme de rapport signal-sur-bruit. Le problème est formulé comme un programme non linéaire en nombres entiers. On a également prouvé la NP-difficulté du problème. Bien que le nombre optimal de capteurs sélectionnés peut être obtenu par la recherche exhaustive, il est difficile de mettre en oeuvre cette approche dans la pratique en raison de sa complexité prohibitive. Ainsi, deux algorithmes heuristiques et efficaces en termes de complexité et performance sont proposés pour résoudre ce problème. Les résultats des simulations montrent les bonnes performances des algorithmes proposés et illustrent leur capacité d’adaptation et d’efficacité dans le contexte de la récolte d’énergie. Une étude d’équité est également réalisée afin d’évaluer l’équité des algorithmes développés et d’améliorer leurs performances sur ce niveau. Les résultats numériques montrent l’efficacité des améliorations d’équité proposées. Mots clés : récolte d’énergie, sélection des noeuds, réseaux de capteurs sans fil, récepteur « zero-forcing », NP-difficulté, équité.----------ABSTRACT The use of energy harvesting wireless sensor networks is an emerging wireless communication technology with a wide range of applications such as environment monitoring. Maximizing the number of samples collected by the sink from sensors is a key approach in order to minimize uncertainties for those applications. The considered system in this work consists of an uplink scenario with energy harvesting sensors communicating with a non-energy harvesting sink, equipped with multiple antennas, receiving data forwarded by the sensors. Using a zero-forcing (ZF) receiver, the data collector (i.e., sink) selects the largest possible set of transmitting sensor nodes to maximize the received quantity of information, while satisfying their signal-to-noise ratio quality of service (QoS) constraints. This work presents efficient and simple energy harvesting node selection algorithms in energy harvesting wireless sensor networks in order to maximize the number of selected sensors. The problem formulated as an integer non-linear program, is proved to be NP-hard. Although the optimal number of sensors can be found by exhaustive search, it is difficult to implement this approach in practice due to its prohibitive complexity. Thus, two low complexity and efficient heuristic algorithms are proposed to perform node selection decisions. Simulation results show the performance of the proposed algorithms and illustrate their adaptability and efficiency in the energy harvesting context. A fairness study is also performed in order to evaluate the fairness of the developed algorithms and improve their performances in this context. The numerical results show the efficiency of the proposed fairness improvements. Index Terms: energy harvesting (EH), node selection, wireless sensor networks, zero-forcing (ZF) receiver, NP-hardness, fairness

Genetic differentiation and gene flow between the Tunisian ovine breeds Barbarine and Western thin tail using random amplified polymorphic DNA-polymerase chain reaction (RAPD-PCR) analysis

Sheep is an important livestock species of Tunisia. They contribute greatly to the food safety of the country and in the livelihood of a large number of small and marginal farmers and landless labourers engaged in sheep rearing. In this study, random amplified polymorphic DNA-polymerase chain reaction (RAPD-PCR) analysis was used to assess the genetic difference and gene flow among two Tunisian sheep breeds (the Barbarine and the Western thin tail). A total of 62 bands were detected with an average of 7.75 bands per primer. The unweighted pair-group method with arithmetic average (UPGMA) and principal component analysis (PCA) showed a clear differentiation between the two studied breeds. Genetic differentiation coefficient (Gst) over all loci was 0.1922, the fixation index [Fst by Analysis of molecular variance (AMOVA)] was 0.308 (P<0.001), and the gene flow value (Nm) was 1.3102. It is clear from this study that Barbarine and Western thin tail breeds are completely distinct and that they show high and significant genetic differentiation. However, the level of gene migration between them is quite high and may lead eventually to the loss of breed’s purity.Key words: Sheep, genetic differentiation, gene flow, RAPD-PCR

Évacuation des eaux usées dans la ville de l’ occident musulman médiéval d’ après les sources malikites

من خلالكتب الفقه، استنتجنا أن فقهاء المالكيةكانوا قليلي العناية بمسائل المياه الصالحة للشراب، فيما تركزت عنايتهم على مدى طهارة المياه أو نجاستها. وعند صرف المياه، ميز الفقهاء بين صنفين أساسيين: مياه الأمطار والمياه المستعملة. ولصرف هذا الصنف الأخير من المياه في الطريق، أوجبوا استخدام قنوات استعمل المسلمون قنوات عارية في المدينة بالغرب الإسلامي الوسيط. واستعملوا أيضا قنوات مغطاة. إلا أن هذا الصنف من القنوات كان قليل العمق وقليل الاتساع. لهذا السبب وغيره، كان كثير الانسداد، وهو ما ساهم في الالتجاء إلى استعمال البالوعات. من هذا الجانب، أمكن لنا الحديث عن قطيعة بين العهد الإسلامي والعهد الرومانيBasing on jurisprudence books, we deduced that Malikite Jurisprudents did not have big interest in the issue of drinkable water. They on the other hand, focalized on the extent of purity or impurity of water. To drain water, they distinguished between two essential sorts: rainwater and waste water. To drain this latter in the street, they imposed the use of canals. Muslims, especially the western medieval ones, used uncovered canals in the town and also covered ones. Still this type was not deep and wide enough. For this reason and many others, it constantly gets blocked. This urged them to use cesspools. From this perspective, we can speak about alienation and breaking between the Islamic and Roman era.Observamos a través de los libros de fiqh que los alfaquíes malikíes dieron poca importancia a las cuestiones de las aguas potables. En cambio, su atención se centró más bien en la pureza o la impureza del agua. En cuanto a la evacuación de las aguas, los alfaquíes distinguieron entre dos clases principales de aguas: las pluviales y las residuales. Y con respecto a las residuales y su desagüe en la vía pública, exigieron el uso de alcantarillas. Los musulmanes, especialmente los medievales occidentales, utilizan canales descubiertos en la ciudad y también cubiertos. Sin embargo este tipo no era profundo ni lo suficientemente amplio; por esta razón y muchas otras, constantemente se bloqueaba, lo que les instó a utilizar cloacas. De esta forma, podemos hablar de una ruptura entre los períodos musulmán y romano

A HIERARCHICAL IMPLEMENTATION OF HADAMARD TRANSFORM USING RVC-CAL DATAFLOW PROGRAMMING AND DYNAMIC PARTIAL RECONFIGURATION

International audienceThis paper presents an efficient design method used to implement a hierarchical architecture of Hadamard transform module. The proposed design method is based on the use of RVCCAL dataflow approach and dynamic partial reconfiguration technique (DPR). The DPR technique allows reconfiguring a part of the FPGA area with different functionalities at runtime. It is a promising solution to increase performance in the system. RVC-CAL is a specific language for writing dataflow models which is introduced by MPEG-RVC video standard. RVC-CAL description is composed of a set of interconnected blocks (actors). Several dataflow models of the same application can be used in the design process. In this work, the hierarchical architecture of Hadamard module is composed of three levels. And each one contains a set of blocks. The DPR is applied between these blocks to switch from level to another. To achieve this implementation, in the first, the Hadamard blocks are described in RVC-CAL language and a specific RVC-CAL tool is used to generate automatically their hardware description. Then, the DPR design flow is applied. In our design method, we use xilinx tools and Virtex-5 FPGA board. To evaluate our implementation, we compare its with two other architectures in terms of area occupation, power consumption and execution time