Portfolio selection problems in practice: a comparison between linear and quadratic optimization models

Several portfolio selection models take into account practical limitations on the number of assets to include and on their weights in the portfolio. We present here a study of the Limited Asset Markowitz (LAM), of the Limited Asset Mean Absolute Deviation (LAMAD) and of the Limited Asset Conditional Value-at-Risk (LACVaR) models, where the assets are limited with the introduction of quantity and cardinality constraints. We propose a completely new approach for solving the LAM model, based on reformulation as a Standard Quadratic Program and on some recent theoretical results. With this approach we obtain optimal solutions both for some well-known financial data sets used by several other authors, and for some unsolved large size portfolio problems. We also test our method on five new data sets involving real-world capital market indices from major stock markets. Our computational experience shows that, rather unexpectedly, it is easier to solve the quadratic LAM model with our algorithm, than to solve the linear LACVaR and LAMAD models with CPLEX, one of the best commercial codes for mixed integer linear programming (MILP) problems. Finally, on the new data sets we have also compared, using out-of-sample analysis, the performance of the portfolios obtained by the Limited Asset models with the performance provided by the unconstrained models and with that of the official capital market indices

Conformal algebra: R-matrix and star-triangle relation

The main purpose of this paper is the construction of the R-operator which acts in the tensor product of two infinite-dimensional representations of the conformal algebra and solves Yang-Baxter equation. We build the R-operator as a product of more elementary operators S_1, S_2 and S_3. Operators S_1 and S_3 are identified with intertwining operators of two irreducible representations of the conformal algebra and the operator S_2 is obtained from the intertwining operators S_1 and S_3 by a certain duality transformation. There are star-triangle relations for the basic building blocks S_1, S_2 and S_3 which produce all other relations for the general R-operators. In the case of the conformal algebra of n-dimensional Euclidean space we construct the R-operator for the scalar (spin part is equal to zero) representations and prove that the star-triangle relation is a well known star-triangle relation for propagators of scalar fields. In the special case of the conformal algebra of the 4-dimensional Euclidean space, the R-operator is obtained for more general class of infinite-dimensional (differential) representations with nontrivial spin parts. As a result, for the case of the 4-dimensional Euclidean space, we generalize the scalar star-triangle relation to the most general star-triangle relation for the propagators of particles with arbitrary spins.Comment: Added references and corrected typo

A prospective study of MRI biomarkers in the brain and lower limb muscles for prediction of lower limb motor recovery following stroke

The aim of this prospective observational longitudinal study was to explore and decipher the predictive value of prospective MRI biomarkers in the brain and lower limb muscles for 3-month lower limb motor recovery following stroke. In the brain, we measured the integrity of the corticospinal tract (fractional anisotropy/"FA"). In the muscles, we measured volume, fatty replacement (fat fraction analysis and proton spectroscopy) and oedema. Measurements were taken at two time points: (1) within 4 weeks of stroke (baseline measurement, clinical and imaging) and (2) 3 months following stroke (follow up measurement, clinical only). Clinical measurements consisted of assessments of functional ability and strength (Fugl-Meyer score, motor NIHSS, Functional Ambulation Category/"FAC", and muscle dynamometry). Twenty-three patients completed imaging and clinical assessments at baseline and follow-up; five patients had partial imaging assessment. The results provided some evidence that damage to the corticospinal tract would result in less motor recovery: recovery of the Fugl-Meyer score and dynamometric ankle plantarflexion, ankle dorsiflexion, and knee extension correlated positively and significantly with fractional anisotropy (0.406-0.457; p = 0.034-p = 0.016). However, fractional anisotropy demonstrated a negative correlation with recovery of the Functional Ambulation Category (-0.359, p = 0.046). For the muscle imaging, significant inverse correlation was observed between vastus lateralis fat fraction vs. NIHSS recovery (-0.401, p = 0.04), and a strong positive correlation was observed between ratio of intra- to extra-myocellular lipid concentrations and the recovery of knee flexion (0.709, p = 0.007). This study supports previous literature indicating a positive correlation between the integrity of the corticospinal tract and motor recovery post-stroke, expanding the limited available literature describing this relationship specifically for the lower limb. However, recovery of functional ambulation behaved differently to other clinical recovery markers by demonstrating an inverse relationship with corticospinal tract integrity. The study also introduces some muscle imaging biomarkers as potentially valuable in the prediction of 3-month lower limb motor recovery following stroke

Mitochondrial Apoptosis and FAK Signaling Disruption by a Novel Histone Deacetylase Inhibitor, HTPB, in Antitumor and Antimetastatic Mouse Models

BACKGROUND: Compound targeting histone deacetylase (HDAC) represents a new era in molecular cancer therapeutics. However, effective HDAC inhibitors for the treatment of solid tumors remain to be developed. METHODOLOGY/PRINCIPAL FINDINGS: Here, we propose a novel HDAC inhibitor, N-Hydroxy-4-(4-phenylbutyryl-amino) benzamide (HTPB), as a potential chemotherapeutic drug for solid tumors. The HDAC inhibition of HTPB was confirmed using HDAC activity assay. The antiproliferative and anti-migratory mechanisms of HTPB were investigated by cell proliferation, flow cytometry, DNA ladder, caspase activity, Rho activity, F-actin polymerization, and gelatin-zymography for matrix metalloproteinases (MMPs). Mice with tumor xenograft and experimental metastasis model were used to evaluate effects on tumor growth and metastasis. Our results indicated that HTPB was a pan-HDAC inhibitor in suppressing cell viability specifically of lung cancer cells but not of the normal lung cells. Upon HTPB treatment, cell cycle arrest was induced and subsequently led to mitochondria-mediated apoptosis. HTPB disrupted F-actin dynamics via downregulating RhoA activity. Moreover, HTPB inhibited activity of MMP2 and MMP9, reduced integrin-β1/focal adhesion complex formation and decreased pericellular poly-fibronectin assemblies. Finally, intraperitoneal injection or oral administration of HTPB efficiently inhibited A549 xenograft tumor growth in vivo without side effects. HTPB delayed lung metastasis of 4T1 mouse breast cancer cells. Acetylation of histone and non-histone proteins, induction of apoptotic-related proteins and de-phosphorylation of focal adhesion kinase were confirmed in treated mice. CONCLUSIONS/SIGNIFICANCE: These results suggested that intrinsic apoptotic pathway may involve in anti-tumor growth effects of HTPB in lung cancer cells. HTPB significantly suppresses tumor metastasis partly through inhibition of integrin-β1/FAK/MMP/RhoA/F-actin pathways. We have provided convincing preclinical evidence that HTPB is a potent HDAC targeted inhibitor and is thus a promising candidate for lung cancer chemotherapy

Measurement of CP-violation asymmetries in D0 to Ks pi+ pi-

We report a measurement of time-integrated CP-violation asymmetries in the resonant substructure of the three-body decay D0 to Ks pi+ pi- using CDF II data corresponding to 6.0 invfb of integrated luminosity from Tevatron ppbar collisions at sqrt(s) = 1.96 TeV. The charm mesons used in this analysis come from D*+(2010) to D0 pi+ and D*-(2010) to D0bar pi-, where the production flavor of the charm meson is determined by the charge of the accompanying pion. We apply a Dalitz-amplitude analysis for the description of the dynamic decay structure and use two complementary approaches, namely a full Dalitz-plot fit employing the isobar model for the contributing resonances and a model-independent bin-by-bin comparison of the D0 and D0bar Dalitz plots. We find no CP-violation effects and measure an asymmetry of ACP = (-0.05 +- 0.57 (stat) +- 0.54 (syst))% for the overall integrated CP-violation asymmetry, consistent with the standard model prediction.Comment: 15 page

Measurement of the Forward-Backward Asymmetry in the B -> K(*) mu+ mu- Decay and First Observation of the Bs -> phi mu+ mu- Decay

We reconstruct the rare decays $B^+ \to K^+\mu^+\mu^-$, $B^0 \to K^{*}(892)^0\mu^+\mu^-$, and $B^0_s \to \phi(1020)\mu^+\mu^-$ in a data sample corresponding to $4.4 {\rm fb^{-1}}$ collected in $p\bar{p}$ collisions at $\sqrt{s}=1.96 {\rm TeV}$ by the CDF II detector at the Fermilab Tevatron Collider. Using $121 \pm 16$ $B^+ \to K^+\mu^+\mu^-$ and $101 \pm 12$ $B^0 \to K^{*0}\mu^+\mu^-$ decays we report the branching ratios. In addition, we report the measurement of the differential branching ratio and the muon forward-backward asymmetry in the $B^+$ and $B^0$ decay modes, and the $K^{*0}$ longitudinal polarization in the $B^0$ decay mode with respect to the squared dimuon mass. These are consistent with the theoretical prediction from the standard model, and most recent determinations from other experiments and of comparable accuracy. We also report the first observation of the $B^0_s \to \phi\mu^+\mu^- decay and measure its branching ratio${\mathcal{B}}(B^0_s \to \phi\mu^+\mu^-) = [1.44 \pm 0.33 \pm 0.46] \times 10^{-6}$using$27 \pm 6$signal events. This is currently the most rare$B^0_s$ decay observed.Comment: 7 pages, 2 figures, 3 tables. Submitted to Phys. Rev. Let

Measurement of the Bottom-Strange Meson Mixing Phase in the Full CDF Data Set

We report a measurement of the bottom-strange meson mixing phase \beta_s using the time evolution of B0_s -> J/\psi (->\mu+\mu-) \phi (-> K+ K-) decays in which the quark-flavor content of the bottom-strange meson is identified at production. This measurement uses the full data set of proton-antiproton collisions at sqrt(s)= 1.96 TeV collected by the Collider Detector experiment at the Fermilab Tevatron, corresponding to 9.6 fb-1 of integrated luminosity. We report confidence regions in the two-dimensional space of \beta_s and the B0_s decay-width difference \Delta\Gamma_s, and measure \beta_s in [-\pi/2, -1.51] U [-0.06, 0.30] U [1.26, \pi/2] at the 68% confidence level, in agreement with the standard model expectation. Assuming the standard model value of \beta_s, we also determine \Delta\Gamma_s = 0.068 +- 0.026 (stat) +- 0.009 (syst) ps-1 and the mean B0_s lifetime, \tau_s = 1.528 +- 0.019 (stat) +- 0.009 (syst) ps, which are consistent and competitive with determinations by other experiments.Comment: 8 pages, 2 figures, Phys. Rev. Lett 109, 171802 (2012

Search for a New Heavy Gauge Boson Wprime with Electron + missing ET Event Signature in ppbar collisions at sqrt(s)=1.96 TeV

We present a search for a new heavy charged vector boson $W^\prime$ decaying to an electron-neutrino pair in $p\bar{p}$ collisions at a center-of-mass energy of 1.96\unit{TeV}. The data were collected with the CDF II detector and correspond to an integrated luminosity of 5.3\unit{fb}^{-1}. No significant excess above the standard model expectation is observed and we set upper limits on $\sigma\cdot{\cal B}(W^\prime\to e\nu)$. Assuming standard model couplings to fermions and the neutrino from the $W^\prime$ boson decay to be light, we exclude a $W^\prime$ boson with mass less than 1.12\unit{TeV/}c^2 at the 95\unit{%} confidence level.Comment: 7 pages, 2 figures Submitted to PR

Measurement of the inclusive and dijet cross-sections of b-jets in pp collisions at sqrt(s) = 7 TeV with the ATLAS detector

The inclusive and dijet production cross-sections have been measured for jets containing b-hadrons (b-jets) in proton-proton collisions at a centre-of-mass energy of sqrt(s) = 7 TeV, using the ATLAS detector at the LHC. The measurements use data corresponding to an integrated luminosity of 34 pb^-1. The b-jets are identified using either a lifetime-based method, where secondary decay vertices of b-hadrons in jets are reconstructed using information from the tracking detectors, or a muon-based method where the presence of a muon is used to identify semileptonic decays of b-hadrons inside jets. The inclusive b-jet cross-section is measured as a function of transverse momentum in the range 20 < pT < 400 GeV and rapidity in the range |y| < 2.1. The bbbar-dijet cross-section is measured as a function of the dijet invariant mass in the range 110 < m_jj < 760 GeV, the azimuthal angle difference between the two jets and the angular variable chi in two dijet mass regions. The results are compared with next-to-leading-order QCD predictions. Good agreement is observed between the measured cross-sections and the predictions obtained using POWHEG + Pythia. MC@NLO + Herwig shows good agreement with the measured bbbar-dijet cross-section. However, it does not reproduce the measured inclusive cross-section well, particularly for central b-jets with large transverse momenta.Comment: 10 pages plus author list (21 pages total), 8 figures, 1 table, final version published in European Physical Journal

Measurements of the properties of Lambda_c(2595), Lambda_c(2625), Sigma_c(2455), and Sigma_c(2520) baryons

We report measurements of the resonance properties of Lambda_c(2595)+ and Lambda_c(2625)+ baryons in their decays to Lambda_c+ pi+ pi- as well as Sigma_c(2455)++,0 and Sigma_c(2520)++,0 baryons in their decays to Lambda_c+ pi+/- final states. These measurements are performed using data corresponding to 5.2/fb of integrated luminosity from ppbar collisions at sqrt(s) = 1.96 TeV, collected with the CDF II detector at the Fermilab Tevatron. Exploiting the largest available charmed baryon sample, we measure masses and decay widths with uncertainties comparable to the world averages for Sigma_c states, and significantly smaller uncertainties than the world averages for excited Lambda_c+ states.Comment: added one reference and one table, changed order of figures, 17 pages, 15 figure