Regularizing Portfolio Optimization

The optimization of large portfolios displays an inherent instability to estimation error. This poses a fundamental problem, because solutions that are not stable under sample fluctuations may look optimal for a given sample, but are, in effect, very far from optimal with respect to the average risk. In this paper, we approach the problem from the point of view of statistical learning theory. The occurrence of the instability is intimately related to over-fitting which can be avoided using known regularization methods. We show how regularized portfolio optimization with the expected shortfall as a risk measure is related to support vector regression. The budget constraint dictates a modification. We present the resulting optimization problem and discuss the solution. The L2 norm of the weight vector is used as a regularizer, which corresponds to a diversification "pressure". This means that diversification, besides counteracting downward fluctuations in some assets by upward fluctuations in others, is also crucial because it improves the stability of the solution. The approach we provide here allows for the simultaneous treatment of optimization and diversification in one framework that enables the investor to trade-off between the two, depending on the size of the available data set

Multivariate risks and depth-trimmed regions

We describe a general framework for measuring risks, where the risk measure takes values in an abstract cone. It is shown that this approach naturally includes the classical risk measures and set-valued risk measures and yields a natural definition of vector-valued risk measures. Several main constructions of risk measures are described in this abstract axiomatic framework. It is shown that the concept of depth-trimmed (or central) regions from the multivariate statistics is closely related to the definition of risk measures. In particular, the halfspace trimming corresponds to the Value-at-Risk, while the zonoid trimming yields the expected shortfall. In the abstract framework, it is shown how to establish a both-ways correspondence between risk measures and depth-trimmed regions. It is also demonstrated how the lattice structure of the space of risk values influences this relationship.Comment: 26 pages. Substantially revised version with a number of new results adde

Dynamic interplay between tumour, stroma and immune system can drive or prevent tumour progression

In the tumour microenvironment, cancer cells directly interact with both the immune system and the stroma. It is firmly established that the immune system, historically believed to be a major part of the body's defence against tumour progression, can be reprogrammed by tumour cells to be ineffective, inactivated, or even acquire tumour promoting phenotypes. Likewise, stromal cells and extracellular matrix can also have pro-and anti-tumour properties. However, there is strong evidence that the stroma and immune system also directly interact, therefore creating a tripartite interaction that exists between cancer cells, immune cells and tumour stroma. This interaction contributes to the maintenance of a chronically inflamed tumour microenvironment with pro-tumorigenic immune phenotypes and facilitated metastatic dissemination. A comprehensive understanding of cancer in the context of dynamical interactions of the immune system and the tumour stroma is therefore required to truly understand the progression toward and past malignancy.Comment: 36 pages, 4 figures, 1 tabl

Analytic Representation of Finite Quantum Systems

A transform between functions in R and functions in Zd is used to define the analogue of number and coherent states in the context of finite d-dimensional quantum systems. The coherent states are used to define an analytic representation in terms of theta functions. All states are represented by entire functions with growth of order 2, which have exactly d zeros in each cell. The analytic function of a state is constructed from its zeros. Results about the completeness of finite sets of coherent states within a cell are derived

Prevention of venous thrombosis and thrombophlebitis in long-haul flights with pycnogenol.

The aim of this study was to evaluate the occurrence of deep venous thrombosis (DVT) and superficial vein thrombosis (SVT) and its prophylaxis with an oral anti-edema and antithrombotic agent (Pycnogenol®, Horphag, Research Management SA, Geneva, Switzerland) in long-haul flights, in subjects at moderate to high-risk of DVT and SVT. The study pre-included 244 pre-selected subjects; 211 were included (33 were excluded for several reasons due to logistic problems) and 198 completed the study; 13 subjects were lost for follow-up at the end of the flight, all for non-medical problems (i.e., for difficult connections). All subjects were scanned within 90 minutes before the flight and within 2 hours after disembarking. Subjects were supplemented with 100 mg Pycnogenol® per capsule. Treatment subjects received two capsules between 2 and 3 hours before flights with 250 mL of water; two capsules were taken 6 hours later with 250 mL of water and one capsule the next day. The control group received comparable placebo at the same intervals. The flight duration was on average 8 hours and 15 minutes (SD 55 min) (range, 7.45-12.33). In the control group there were five thrombotic events (one DVT and four superficial thromboses) while only nonthrombotic, localized phlebitis was observed in the Pycnogenol®group (5.15% vs. no events; p<0.025). The ITT (intention to treat) analysis detects 13 failures in the control group (eight lost to follow up + five thrombotic events) of 105 subjects (12.4%) vs. five failures (4.7%; all lost, no thrombotic events) in the treatment group (p<0.025). No unwanted effects were observed. In conclusion, this study indicates that Pycnogenol® treatment was effective in decreasing the number of thrombotic events (DVT and SVT) in moderate-to-high risk subjects, during long-haul flights

Mechanical behavior of the ATLAS B0 model coil

The ATLAS B0 model coil has been developed and constructed to verify the design parameters and the manufacture techniques of the Barrel Toroid coils (BT) that are under construction for the ATLAS Detector. Essential for successful operation is the mechanical behavior of the superconducting coil and its support structure. In the ATLAS magnet test facility, a magnetic mirror is used to reproduce in the model coil the electromagnetic forces of the BT coils when assembled in the final Barrel Toroid magnet system. The model coil is extensively equipped with mechanical instrumentation to monitor stresses and force levels as well as contraction during a cooling down and excitation up to nominal current. The installed set up of strain gauges, position sensors and capacitive force transducers is presented. Moreover the first mechanical results in terms of expected main stress, strain and deformation values are presented based on detailed mechanical analysis of the design. (7 refs)

Universal Ratios in the 2-D Tricritical Ising Model

We consider the universality class of the two-dimensional Tricritical Ising Model. The scaling form of the free-energy naturally leads to the definition of universal ratios of critical amplitudes which may have experimental relevance. We compute these universal ratios by a combined use of results coming from Perturbed Conformal Field Theory, Integrable Quantum Field Theory and numerical methods.Comment: 4 pages, LATEX fil

Quasiconvexity at the boundary and the nucleation of austenite

Motivated by experimental observations of H. Seiner et al., we study the nucleation of austenite in a single crystal of a CuAlNi shape-memory alloy stabilized as a single variant of martensite. In the experiments the nucleation process was induced by localized heating and it was observed that, regardless of where the localized heating was applied, the nucleation points were always located at one of the corners of the sample - a rectangular parallelepiped in the austenite. Using a simplified nonlinear elasticity model, we propose an explanation for the location of the nucleation points by showing that the martensite is a local minimizer of the energy with respect to localized variations in the interior, on faces and edges of the sample, but not at some corners, where a localized microstructure, involving austenite and a simple laminate of martensite, can lower the energy. The result for the interior, faces and edges is established by showing that the free-energy function satisfies a set of quasiconvexity conditions at the stabilized variant in the interior, faces and edges, respectively, provided the specimen is suitably cut

Single hadron response measurement and calorimeter jet energy scale uncertainty with the ATLAS detector at the LHC

The uncertainty on the calorimeter energy response to jets of particles is derived for the ATLAS experiment at the Large Hadron Collider (LHC). First, the calorimeter response to single isolated charged hadrons is measured and compared to the Monte Carlo simulation using proton-proton collisions at centre-of-mass energies of sqrt(s) = 900 GeV and 7 TeV collected during 2009 and 2010. Then, using the decay of K_s and Lambda particles, the calorimeter response to specific types of particles (positively and negatively charged pions, protons, and anti-protons) is measured and compared to the Monte Carlo predictions. Finally, the jet energy scale uncertainty is determined by propagating the response uncertainty for single charged and neutral particles to jets. The response uncertainty is 2-5% for central isolated hadrons and 1-3% for the final calorimeter jet energy scale.Comment: 24 pages plus author list (36 pages total), 23 figures, 1 table, submitted to European Physical Journal