Portfolio selection with position limits

This thesis finds long-short portfolios of call and put options on a single underlying asset and expiration, with different strike prices, so to maximize the Sharpe Ratio of portfolio returns. From analytical and numerical optimization methods we select those that can tackle the problem of high dimensionality. Combining analytical covariance estimation with quadratic constrained optimization, optimal options portfolios on the S&P 500, Nasdaq 100 and Dow Jones Industrial generate positive excess returns over the past two decades, controlling for their exposure to the underlying and accounting for the large bid-ask spreads in options’ prices. Optimal options portfolios typically entail nonzero positions in few strikes. This thesis also derives sharp lower bounds for L p -functions on the n-dimensional unit hypercube in terms of their p-ths marginal moments. Such bounds are the unique solutions of a system of constrained nonlinear integral equations depending on the marginals. For square-integrable functions, the bounds have an explicit expression in terms of the second marginals moments. This work is motivated by the dual problem in option portfolio optimisation for multiple underlyings, where the minimal stochastic discount factor satisfies marginal constraints - the prices of European options on each underlying.</p

Serum Levels of the Cancer-Testis Antigen POTEE and Its Clinical Significance in Non-Small-Cell Lung Cancer - Fig 1

<p><b>1A. Serum POTEE levels in NSCLC patients, benign disease and healthy controls.</b> Mean POTEE level was 324.38 ± 13.84 pg/ml in the NSCLC group, 156.93 ± 17.38 pg/ml in benign lung disease group, and 139.09 ± 15.8 in control group (<i>P</i><0.001). <b>1B. Serum POTEE levels in patients with NSCLC and controls.</b> Mean POTEE level was 324.38 ± 13.84 pg/ml in the NSCLC group and 139.09 ± 15.8 pg/ml in control group (<i>P</i><0.001).</p

miRNA-29c Suppresses Lung Cancer Cell Adhesion to Extracellular Matrix and Metastasis by Targeting Integrin β1 and Matrix Metalloproteinase2 (MMP2)

<div><p>Our pilot study using miRNA arrays found that miRNA-29c (miR-29c) is differentially expressed in the paired low-metastatic lung cancer cell line 95C compared to the high-metastatic lung cancer cell line 95D. Bioinformatics analysis shows that integrin β1 and matrix metalloproteinase 2 (MMP2) could be important target genes of miR-29c. Therefore, we hypothesized that miR-29c suppresses lung cancer cell adhesion to extracellular matrix (ECM) and metastasis by targeting integrin β1 and MMP2. The gain-of-function studies that raised miR-29c expression in 95D cells by using its mimics showed reductions in cell proliferation, adhesion to ECM, invasion and migration. In contrasts, loss-of-function studies that reduced miR-29c by using its inhibitor in 95C cells promoted proliferation, adhesion to ECM, invasion and migration. Furthermore, the dual-luciferase reporter assay demonstrated that miR-29c inhibited the expression of the luciferase gene containing the 3′-UTRs of integrin β1 and MMP2 mRNA. Western blotting indicated that miR-29c downregulated the expression of integrin β1 and MMP2 at the protein level. Gelatin zymography analysis further confirmed that miR-29c decreased MMP2 enzyme activity. Nude mice with xenograft models of lung cancer cells confirmed that miR-29c inhibited lung cancer metastasis in vivo, including bone and liver metastasis. Taken together, our results demonstrate that miR-29c serves as a tumor metastasis suppressor, which suppresses lung cancer cell adhesion to ECM and metastasis by directly inhibiting integrin β1 and MMP2 expression and by further reducing MMP2 enzyme activity. The results show that miR-29c may be a novel therapeutic candidate target to slow lung cancer metastasis.</p></div

Effect of miR-29c on lung cancer cell adhesion to ECM <i>in vitro</i>.

<p>(A) 95D cells transfected with miR-29c mimics adhesion to Matrigel was measured by counting as described in Materials and Methods. Representative fields of 95D 29c and 95D MiNC (magnification ×100). (B) Average adhesion cell number per random field. **<i>P</i><0.01(Student's <i>t</i>-test, n = 3). (C) miR-29c inhibits 95D cell adhesion (MTT assay). **<i>p</i><0.01(Student's <i>t</i>-test, n = 3). (D) Representative fields from 95D 29ci and 95C IhNC lung cancer cells (magnification ×100). (E) Average adhesion cell number per random field. **<i>P</i><0.01(Student's <i>t</i>-test, n = 3). (F) Suppression of miR-29c enhanced cell adhesion in 95C cells (MTT assay). **<i>p</i><0.01 (Student's <i>t</i>-test, n = 3).</p

Univariate and Multivariate Analyses of POTEE Status with Regard to PFS.

<p>CI, confidence interval; HR, hazard ratio;</p><p>*, PFS was associated with POTEE level and TNM stage.</p><p>Univariate and Multivariate Analyses of POTEE Status with Regard to PFS.</p

Kaplan-Meier survival curves in relation to serum POTEE level in patients with NSCLC.

<p>Survival curves were analyzed by Kaplan-Meier method and log-rank test. Patients with high POTEE levels had a significantly poorer survival than those with low POTEE levels (<i>P</i> = 0.021).</p

Basic Characteristics of Study Participants.

<p>Basic Characteristics of Study Participants.</p

Effect of miR-29c on lung cancer cell migration and invasion <i>in vitro</i>.

<p>(A) In a Matrigel invasion assay, miR-29c mimics transfected 95D cells vs MiNC transfected cells in a 200× light scope after crystal violet staining. (B) Matrigel invasion and transwell migration: 95D cells were counted in a light scope in four random views. **<i>p</i><0.01 (Student's <i>t</i>-test, n = 4 ). (C) In a Matrigel invasion assay, miR-29c inhibitor transfected 95C cells vs IhNC transfected cells in a 200× light scope after crystal violet staining. (D) Matrigel invasion and transwell migration: 95C cells were counted in a light scope in four random views. **<i>p</i><0.01 (Student's <i>t</i>-test, n = 4).</p

Differential expression of miR-29c in the paired high- and low-metastatic lung cancer cell lines, and the effects of miR-29c on lung cancer cell proliferation <i>in vitro</i>.

<p>(A) qRT-PCR of miR-29c in 95D and 95C cell lines. Change was calculated using 2^−ΔΔCt relative quantitative analysis; **<i>p</i><0.01 (Student's <i>t</i>-test). Experiments were repeated at least thrice (n = 3). (B) miR-29c inhibits cellular proliferation in 95D cells by MTT assay. **<i>p</i><0.01(Student's <i>t</i>-test, n = 3). (C) miR-29c inhibitor increased cellular proliferation in 95C cells by MTT assay. **<i>p</i><0.01 (Student's <i>t</i>-test, n = 3).</p

Association Between Serum POTEE Level and Efficacy.

<p>ORR, objective response rate; DCR, disease control rate; PR, partial response; PD, progression disease; SD, stable disease.</p><p>Association Between Serum POTEE Level and Efficacy.</p