The merit of high-frequency data in portfolio allocation

This paper addresses the open debate about the usefulness of high-frequency (HF) data in large-scale portfolio allocation. Daily covariances are estimated based on HF data of the S&P 500 universe employing a blocked realized kernel estimator. We propose forecasting covariance matrices using a multi-scale spectral decomposition where volatilities, correlation eigenvalues and eigenvectors evolve on different frequencies. In an extensive out-of-sample forecasting study, we show that the proposed approach yields less risky and more diversified portfolio allocations as prevailing methods employing daily data. These performance gains hold over longer horizons than previous studies have shown

The Crystal Structure of the Human Co-Chaperone P58IPK

P58IPK is one of the endoplasmic reticulum- (ER-) localised DnaJ (ERdj) proteins which interact with the chaperone BiP, the mammalian ER ortholog of Hsp70, and are thought to contribute to the specificity and regulation of its diverse functions. P58IPK, expression of which is upregulated in response to ER stress, has been suggested to act as a co-chaperone, binding un- or misfolded proteins and delivering them to BiP. In order to give further insights into the functions of P58IPK, and the regulation of BiP by ERdj proteins, we have determined the crystal structure of human P58IPK to 3.0 Å resolution using a combination of molecular replacement and single wavelength anomalous diffraction. The structure shows the human P58IPK monomer to have a very elongated overall shape. In addition to the conserved J domain, P58IPK contains nine N-terminal tetratricopeptide repeat motifs, divided into three subdomains of three motifs each. The J domain is attached to the C-terminal end via a flexible linker, and the structure shows the conserved Hsp70-binding histidine-proline-aspartate (HPD) motif to be situated on the very edge of the elongated protein, 100 Å from the putative binding site for unfolded protein substrates. The residues that comprise the surface surrounding the HPD motif are highly conserved in P58IPK from other organisms but more varied between the human ERdj proteins, supporting the view that their regulation of different BiP functions is facilitated by differences in BiP-binding