Robust Optimization of the Equity Momentum Strategy

Quadratic optimization for asset portfolios often leads to error maximization, with optimizers zooming in on large errors in the predicted inputs, that is, expected returns and risks. The consequence in most cases is a poor real-time performance. In this paper we show how to improve real-time performance of the popular equity momentum strategy with robust optimization in an empirical application involving 1500-2500 US stocks over the period 1963-2006. We also show that popular procedures like Bayes-Stein estimated expected returns, shrinking the covariance matrix and adding weight constraints fail in such a practical cas

Relation between cytokines and routine laboratory data in children with septic shock and purpura

Objective To establish the relation between routine laboratory data (lactate, fibrinogen, CRP) and cytokines (TNF,IL-1 and-6) and to estimate their prognostic value in pediatric patients with severe infectious purpura on admission. Design Prospective study. Setting Pediatric intensive care unit (PICU). Patients 17 children aged 5–172 months (median 46) were hospitalized in our PICU in 1989–90 with severe infectious purpura.Neisseria meningitidis was isolated in 15 children andHaemophilus influenzae in two. The patients were divided into 3 groups: non-shock, shock and severe shock leading to death. Shock was defined by standard criteria. Measurements Arterial blood was sampled for lactate, CRP, fibrinogen, TNF, and IL-1 and-6 on admission. The PRISM (pediatric risk of morality)-score was recorded. Methods Statistical analysis was performed with the Student'st-test using the logarithmic values of the cytokine concentration, and Spearman correlation analysis. Results According to the shock criteria, 9 patients were in shock of whom 4 did not survive. Significant differences existed between the 3 groups concerning lactate, TNF, and IL-6. Fibrinogen, CRP, IL-1, and PRISM-score discriminated only between survivors and non-survivors. A highly significant correlation existed between cytokines, the PRISM-score and lactate (TNF:r=0.69, IL-1:r=0.56, IL-6:r=0.65, PRISM:r=0.65). A significant inverse correlation existed between cytokines and CRP (TNF:r=−0.55, IL-1:r=−0.64, and IL-6:r=−0.56), and IL-6 and fibrinogen (r=−0.65). Conclusion These results show a significant correlation between cytokines and lactate, and lactate, TNF and IL-6 are closely associated with the severity of septic shock with purpura in children

SKY1 is involved in cisplatin-induced cell kill in Saccharomyces cerevisiae, and inactivation of its human homologue, SRPK1, induces cisplatin resistance in a human ovarian carcinoma cell line

The therapeutic potential of cisplatin, one of the most active and widely used anticancer drugs, is severely limited by the occurrence of cellular resistance. In this study, using budding yeast Saccharomyces cerevisiae as a model organism to identify novel drug resistance genes, we found that disruption of the yeast gene SKY1 (serine/arginine-rich protein-specific kinase from budding yeast) by either transposon insertion or one-step gene replacement conferred cellular resistance to cisplatin. Heterologous expression of the human SKY1 homologue SRPK1 (serine/arginine-rich protein-specific kinase) in SKY1 deletion mutant yeast cells restored cisplatin sensitivity, suggesting that SRPK1 is a cisplatin sensitivity gene, the inactivation of which could lead to cisplatin resistance. Subsequently, we investigated the role of SRPK1 in cisplatin sensitivity and resistance in human ovarian carcinoma A2780 cells using antisense oligodeoxynucleotides. Treatment of A2780 cells with antisense oligodeoxynucleotides directed against the translation initiation site of SRPK1 led to down-regulation of SRPK1 protein and conferred a 4-fold resistance to cisplatin. The human SRPK1 gene has not been associated with drug resistance before. Our new findings strongly suggest that SRPK1 is involved in cisplatin-induced cell kill and indicate that SRPK1 might potentially be of importance for studying clinical drug resistance

RNA expression of breast cancer resistance protein, lung resistance-related protein, multidrug resistance-associated proteins 1 and 2, and multidrug resistance gene 1 in breast cancer: correlation with chemotherapeutic response

PURPOSE: The aim of this study was to investigate whether expression of particular drug resistance genes in primary operable breast cancer correlates with response to first-line chemotherapy in advanced disease. EXPERIMENTAL DESIGN: We determined mRNA levels of BCRP, LRP, MRP1, MRP2, and MDR1 in 59 primary breast tumor specimens of patients who

Numbat nirvana: the conservation ecology of the endangered numbat Myrmecobius fasciatus (Marsupialia: Myrmecobiidae) reintroduced to Scotia and Yookamurra Sanctuaries, Australia

Despite a vigorous reintroduction program between 1985 and 2010, numbat populations in Western Australia are either static or declining. This study aimed to document the population ecology of numbats at two sites that are going against this trend: Scotia Sanctuary in far western New South Wales and Yookamurra Sanctuary in the riverland of South Australia. Scotia (64 659 ha) and Yookamurra (5026 ha) are conservation reserves owned and managed by the Australian Wildlife Conservancy and where numbats were reintroduced in 1999 and 1993 respectively. Both sites have large conservation-fence-protected introduced-species-free areas where there are no cats (Felis catus) or red foxes (Vulpes vulpes). Numbats were sourced from both wild and captive populations. From small founder populations, the Scotia numbats are now estimated to number 169 (113–225) with 44 at Yookamurra. Radio-collared individuals at Scotia were active between 13 and 31°C. Females had home ranges of 28.3 ± 6.8 ha and males 96.6 ± 18.2 ha, which leads to an estimated sustainable population or carrying capacity of 413–502 at Scotia. Captive-bred animals from Perth Zoo had a high mortality rate upon reintroduction at Scotia due to predation by raptors and starvation. The habitat preferences for mallee with a shrub understorey appear to be driven by availability of termites, and other reintroduced ecosystem engineers appear to have been facilitators by creating new refuge burrows for numbats. This study shows that numbats can be successfully reintroduced into areas of their former range if protected from introduced predators, and illustrates the difficulties in monitoring such cryptic species.</jats:p

Strings from Tachyons

We propose a new interpretation of the c=1 matrix model as the world-line theory of N unstable D-particles, in which the hermitian matrix is provided by the non- abelian open string tachyon. For D-particles in 1+1-d string theory, we find a direct quantitative match between the closed string emission due to a rolling tachyon and that due to a rolling eigenvalue in the matrix model. We explain the origin of the double-scaling limit, and interpret it as an extreme representative of a large equivalence class of dual theories. Finally, we define a concrete decoupling limit of unstable D-particles in IIB string theory that reduces to the c=1 matrix model, suggesting that 1+1-d string theory represents the near-horizon limit of an ultra-dense gas of IIB D-particles.Comment: 30 pages, 4 figures; v2: added references, improved discussion of Liouville boundary states, v3: small correction

Diamagnetic Persistent Currents and Spontaneous Time-Reversal Symmetry Breaking in Mesoscopic Structures

Recently, new strongly interacting phases have been uncovered in mesoscopic systems with chaotic scattering at the boundaries by two of the present authors and R. Shankar. This analysis is reliable when the dimensionless conductance of the system is large, and is nonperturbative in both disorder and interactions. The new phases are the mesoscopic analogue of spontaneous distortions of the Fermi surface induced by interactions in bulk systems and can occur in any Fermi liquid channel with angular momentum $m$. Here we show that the phase with $m$ even has a diamagnetic persistent current (seen experimentally but mysterious theoretically), while that with $m$ odd can be driven through a transition which spontaneously breaks time-reversal symmetry by increasing the coupling to dissipative leads.Comment: 4 pages, three eps figure

The Influence of an Adsorbate Layer on Adatom Diffusion and Island Nucleation: Fe on Si(111)-√3 x √3-Au

Using scanning tunneling microscopy, the influence of a thin Au layer on the diffusion of Fe adatoms and the subsequent island nucleation on a Si(111) surface is investigated. The adsorbate induces thestructure that increases the surface mobility of subsequently deposited Fe atoms, resulting in the formation well-defined nanoclusters. Surprisingly, the domain walls—inherent to the reconstruction—do not influence the surface diffusion, which demonstrates that the passivation is of much more importance for the self-assembly than the surface corrugation. Using the decoupling of the diffusion and nucleationonthe surface and the reactionwiththe surface and conventional nucleation theory, the activation energy for surface diffusionEd = 0.61 eV and the critical cluster sizei = 3 are determined, which reveal the microscopic details of the diffusion and nucleation processes

Two-dimensional superstrings and the supersymmetric matrix model

We present evidence that the supersymmetric matrix model of Marinari and Parisi represents the world-line theory of N unstable D-particles in type II superstring theory in two dimensions. This identification suggests that the matrix model gives a holographic description of superstrings in a two-dimensional black hole geometry.Comment: 22 pages, 2 figures; v2: corrected eqn 4.6; v3: corrected appendices and discussion of vacua, added ref

Fluorescent carbon dioxide indicators

Over the last decade, fluorescence has become the dominant tool in biotechnology and medical imaging. These exciting advances have been underpinned by the advances in time-resolved techniques and instrumentation, probe design, chemical / biochemical sensing, coupled with our furthered knowledge in biology. Complementary volumes 9 and 10, Advanced Concepts of Fluorescence Sensing: Small Molecule Sensing and Advanced Concepts of Fluorescence Sensing: Macromolecular Sensing, aim to summarize the current state of the art in fluorescent sensing. For this reason, Drs. Geddes and Lakowicz have invited chapters, encompassing a broad range of fluorescence sensing techniques. Some chapters deal with small molecule sensors, such as for anions, cations, and CO2, while others summarize recent advances in protein-based and macromolecular sensors. The Editors have, however, not included DNA or RNA based sensing in this volume, as this were reviewed in Volume 7 and is to be the subject of a more detailed volume in the near future