Portfolio Performance and Agency

The evaluation and compensation of portfolio managers is an important problem for practitioners. Optimal compensation will induce managers to expend effort to generate information and to use it appropriately in an informed portfolio choice. Our general model points the way towards analysis of optimal performance evaluation and contracting in a rich model. Optimal contracting in the model includes an important role for portfolio restrictions that are more complex than the sharing rule. The agent's compensation gives the agent approximately to benchmark return plus an incentive fee equal to a portfolio measure that is approximately the excess of return above the benchmark. This measure is often used by practitioners but is simpler than the Jensen measure and other measures commonly recommended in the academic literature. In addition to the excess return above the fixed benchmark, the manager is given some additional incentive to take a position that deviates from the benchmark to remove an incentive to tend towards being a "closet indexer." Efficient contracting involves restrictions on what portfolio strategies can be pursued, and prior communication of the information gathered

Budgeted personalized incentive approaches for smoothing congestion in resource networks

Abstract. Congestion occurs when there is competition for resources by selfish agents. In this paper, we are concerned with smoothing out congestion in a network of resources by using personalized well-timed incentives that are subject to budget constraints. To that end, we provide: (i) a mathematical formulation that computes equilibrium for the resource sharing congestion game with incentives and budget constraints; (ii) an integrated approach that scales to larger problems by exploiting the factored network structure and approximating the attained equilibrium; (iii) an iterative best response algorithm for solving the unconstrained version (no budget) of the resource sharing congestion game; and (iv) theoretical and empirical results (on an illustrative theme park problem) that demonstrate the usefulness of our approach.

Continuation-Passing C: compiling threads to events through continuations

In this paper, we introduce Continuation Passing C (CPC), a programming language for concurrent systems in which native and cooperative threads are unified and presented to the programmer as a single abstraction. The CPC compiler uses a compilation technique, based on the CPS transform, that yields efficient code and an extremely lightweight representation for contexts. We provide a proof of the correctness of our compilation scheme. We show in particular that lambda-lifting, a common compilation technique for functional languages, is also correct in an imperative language like C, under some conditions enforced by the CPC compiler. The current CPC compiler is mature enough to write substantial programs such as Hekate, a highly concurrent BitTorrent seeder. Our benchmark results show that CPC is as efficient, while using significantly less space, as the most efficient thread libraries available.Comment: Higher-Order and Symbolic Computation (2012). arXiv admin note: substantial text overlap with arXiv:1202.324

Differences in genotype and virulence among four multidrug-resistant <i>Streptococcus pneumoniae</i> isolates belonging to the PMEN1 clone

We report on the comparative genomics and characterization of the virulence phenotypes of four &lt;i&gt;S. pneumoniae&lt;/i&gt; strains that belong to the multidrug resistant clone PMEN1 (Spain&lt;sup&gt;23F&lt;/sup&gt; ST81). Strains SV35-T23 and SV36-T3 were recovered in 1996 from the nasopharynx of patients at an AIDS hospice in New York. Strain SV36-T3 expressed capsule type 3 which is unusual for this clone and represents the product of an in vivo capsular switch event. A third PMEN1 isolate - PN4595-T23 - was recovered in 1996 from the nasopharynx of a child attending day care in Portugal, and a fourth strain - ATCC700669 - was originally isolated from a patient with pneumococcal disease in Spain in 1984. We compared the genomes among four PMEN1 strains and 47 previously sequenced pneumococcal isolates for gene possession differences and allelic variations within core genes. In contrast to the 47 strains - representing a variety of clonal types - the four PMEN1 strains grouped closely together, demonstrating high genomic conservation within this lineage relative to the rest of the species. In the four PMEN1 strains allelic and gene possession differences were clustered into 18 genomic regions including the capsule, the blp bacteriocins, erythromycin resistance, the MM1-2008 prophage and multiple cell wall anchored proteins. In spite of their genomic similarity, the high resolution chinchilla model was able to detect variations in virulence properties of the PMEN1 strains highlighting how small genic or allelic variation can lead to significant changes in pathogenicity and making this set of strains ideal for the identification of novel virulence determinant

Breaking into the blackbox: Trend following, stop losses and the frequency of trading - The case of the S&P500

In this article, we compare a variety of technical trading rules in the context of investing in the S&P500 index. These rules are increasingly popular, both among retail investors and CTAs and similar investment funds. We find that a range of fairly simple rules, including the popular 200-day moving average (MA) trading rule, dominate the long-only, passive investment in the index. In particular, using the latter rule we find that popular stop-loss rules do not add value and that monthly end-of-month investment decision rules are superior to those which trade more frequently: this adds to the growing view that trading can damage your wealth. Finally, we compare the MA rule with a variety of simple fundamental metrics and find the latter far inferior to the technical rules over the last 60 years of investing

Specific Evolution of F1-Like ATPases in Mycoplasmas

F1F0 ATPases have been identified in most bacteria, including mycoplasmas which have very small genomes associated with a host-dependent lifestyle. In addition to the typical operon of eight genes encoding genuine F1F0 ATPase (Type 1), we identified related clusters of seven genes in many mycoplasma species. Four of the encoded proteins have predicted structures similar to the α, β, γ and ε subunits of F1 ATPases and could form an F1-like ATPase. The other three proteins display no similarity to any other known proteins. Two of these proteins are probably located in the membrane, as they have three and twelve predicted transmembrane helices. Phylogenomic studies identified two types of F1-like ATPase clusters, Type 2 and Type 3, characterized by a rapid evolution of sequences with the conservation of structural features. Clusters encoding Type 2 and Type 3 ATPases were assumed to originate from the Hominis group of mycoplasmas. We suggest that Type 3 ATPase clusters may spread to other phylogenetic groups by horizontal gene transfer between mycoplasmas in the same host, based on phylogeny and genomic context. Functional analyses in the ruminant pathogen Mycoplasma mycoides subsp. mycoides showed that the Type 3 cluster genes were organized into an operon. Proteomic analyses demonstrated that the seven encoded proteins were produced during growth in axenic media. Mutagenesis and complementation studies demonstrated an association of the Type 3 cluster with a major ATPase activity of membrane fractions. Thus, despite their tendency toward genome reduction, mycoplasmas have evolved and exchanged specific F1-like ATPases with no known equivalent in other bacteria. We propose a model, in which the F1-like structure is associated with a hypothetical X0 sector located in the membrane of mycoplasma cells

Life on Arginine for Mycoplasma hominis: Clues from Its Minimal Genome and Comparison with Other Human Urogenital Mycoplasmas

Mycoplasma hominis is an opportunistic human mycoplasma. Two other pathogenic human species, M. genitalium and Ureaplasma parvum, reside within the same natural niche as M. hominis: the urogenital tract. These three species have overlapping, but distinct, pathogenic roles. They have minimal genomes and, thus, reduced metabolic capabilities characterized by distinct energy-generating pathways. Analysis of the M. hominis PG21 genome sequence revealed that it is the second smallest genome among self-replicating free living organisms (665,445 bp, 537 coding sequences (CDSs)). Five clusters of genes were predicted to have undergone horizontal gene transfer (HGT) between M. hominis and the phylogenetically distant U. parvum species. We reconstructed M. hominis metabolic pathways from the predicted genes, with particular emphasis on energy-generating pathways. The Embden–Meyerhoff–Parnas pathway was incomplete, with a single enzyme absent. We identified the three proteins constituting the arginine dihydrolase pathway. This pathway was found essential to promote growth in vivo. The predicted presence of dimethylarginine dimethylaminohydrolase suggested that arginine catabolism is more complex than initially described. This enzyme may have been acquired by HGT from non-mollicute bacteria. Comparison of the three minimal mollicute genomes showed that 247 CDSs were common to all three genomes, whereas 220 CDSs were specific to M. hominis, 172 CDSs were specific to M. genitalium, and 280 CDSs were specific to U. parvum. Within these species-specific genes, two major sets of genes could be identified: one including genes involved in various energy-generating pathways, depending on the energy source used (glucose, urea, or arginine) and another involved in cytadherence and virulence. Therefore, a minimal mycoplasma cell, not including cytadherence and virulence-related genes, could be envisaged containing a core genome (247 genes), plus a set of genes required for providing energy. For M. hominis, this set would include 247+9 genes, resulting in a theoretical minimal genome of 256 genes

Capture-Avoiding and Hygienic Program Transformations

Program transformations in terms of abstract syntax trees compromise referential integrity by introducing variable capture. Variable capture occurs when in the generated program a variable declaration accidentally shadows the intended target of a variable reference. Existing transformation systems either do not guarantee the avoidance of variable capture or impair the implementation of transformations. We present an algorithm called name-fix that automatically eliminates variable capture from a generated program by systematically renaming variables. name-fix is guided by a graph representation of the binding structure of a program, and requires name-resolution algorithms for the source language and the target language of a transformation. name-fix is generic and works for arbitrary transformations in any transformation system that supports origin tracking for names. We verify the correctness of name-fix and identify an interesting class of transformations for which name-fix provides hygiene. We demonstrate the applicability of name-fix for implementing capture-avoiding substitution, inlining, lambda lifting, and compilers for two domain-specific languages

Type IV Pili of Acidithiobacillus ferrooxidans Are Necessary for Sliding, Twitching Motility, and Adherence

We used conventional methods to investigate the mechanism by which Acidithiobacillus ferrooxidans colonizes a solid surface by assessing pili-mediated sliding, twitching motility, and adherence. A. ferrooxidans slided to form circular oxidized zones around each colony. This suggested that slide motility occurs through pili or flagella, though A. ferrooxidans strains ATCC 19859 and ATCC 23270 lack flagella. The results of reverse transcription-PCR demonstrated that the putative major pili gene of A. ferrooxidans strains ATCC 19859, ATCC 23270, and BY3 genes were transcribed. Culture of A. ferrooxidans between silicone gel and glass led to the production of type IV pili and the formation of rough twitching motility zones. When the bacteria were grown on lean ore cubes, pyrite was colonized readily by A. ferrooxidans and there is a correlation between pilus expression and strong attachment. However, non-pili bacteria attached minimally to the mineral surface. The results show a correlation between these functions and pilus expression