Risk and Utility in Portfolio Optimization

Modern portfolio theory(MPT) addresses the problem of determining the optimum allocation of investment resources among a set of candidate assets. In the original mean-variance approach of Markowitz, volatility is taken as a proxy for risk, conflating uncertainty with risk. There have been many subsequent attempts to alleviate that weakness which, typically, combine utility and risk. We present here a modification of MPT based on the inclusion of separate risk and utility criteria. We define risk as the probability of failure to meet a pre-established investment goal. We define utility as the expectation of a utility function with positive and decreasing marginal value as a function of yield. The emphasis throughout is on long investment horizons for which risk-free assets do not exist. Analytic results are presented for a Gaussian probability distribution. Risk-utility relations are explored via empirical stock-price data, and an illustrative portfolio is optimized using the empirical data.Comment: 10 pages, 1 figure, presented at 2002 Conference on Econophysics in Bali Indonesi

Deconstructing Blockchains: A Comprehensive Survey on Consensus, Membership and Structure

It is no exaggeration to say that since the introduction of Bitcoin, blockchains have become a disruptive technology that has shaken the world. However, the rising popularity of the paradigm has led to a flurry of proposals addressing variations and/or trying to solve problems stemming from the initial specification. This added considerable complexity to the current blockchain ecosystems, amplified by the absence of detail in many accompanying blockchain whitepapers. Through this paper, we set out to explain blockchains in a simple way, taming that complexity through the deconstruction of the blockchain into three simple, critical components common to all known systems: membership selection, consensus mechanism and structure. We propose an evaluation framework with insight into system models, desired properties and analysis criteria, using the decoupled components as criteria. We use this framework to provide clear and intuitive overviews of the design principles behind the analyzed systems and the properties achieved. We hope our effort will help clarifying the current state of blockchain proposals and provide directions to the analysis of future proposals

Structural Studies Using X-ray Absorption Spectroscopy of Intermediates Formed by Reaction of Ozone with Halogeno(dodecaphenylporphyrinato)manganese(III) Derivatives

Difference EXAFS and XANES studies at the Mn K-edge are reported which shed light on the mechanisms of activation of the title compounds by ozone. The reaction of ozone with either the chloro- or b..

Quantum Optics and Photonics

Contains reports on nine research projects.U.S. Air Force - Office of Scientific Research (Contract F49620-82-C-0091)Joint Services Electronics Program (Contract DAAG29-83-K-0003)National Science Foundation (Grant PHY82-10369)Litton Guidance and Control Syste

Acinetobacter baumannii in intensive care unit: A novel system to study clonal relationship among the isolates

<p>Abstract</p> <p>Background</p> <p>The nosocomial infections surveillance system must be strongly effective especially in highly critic areas, such as Intensive Care Units (ICU). These areas are frequently an epidemiological epicentre for transmission of multi-resistant pathogens, like <it>Acinetobacter baumannii</it>. As an epidemic outbreak occurs it is very important to confirm or exclude the genetic relationship among the isolates in a short time. There are several molecular typing systems used with this aim. The Repetitive sequence-based PCR (REP-PCR) has been recognized as an effective method and it was recently adapted to an automated format known as the DiversiLab system.</p> <p>Methods</p> <p>In the present study we have evaluated the combination of a newly introduced software package for the control of hospital infection (VIGI@ct) with the DiversiLab system. In order to evaluate the reliability of the DiversiLab its results were also compared with those obtained using f-AFLP.</p> <p>Results</p> <p>The combination of VIGI@ct and DiversiLab enabled an earlier identification of an <it>A. baumannii </it>epidemic cluster, through the confirmation of the genetic relationship among the isolates. This cluster regards 56 multi-drug-resistant <it>A. baumannii </it>isolates from several specimens collected from 13 different patients admitted to the ICU in a ten month period. The <it>A. baumannii </it>isolates were clonally related being their similarity included between 97 and 100%. The results of the DiversiLab were confirmed by f-AFLP analysis.</p> <p>Conclusion</p> <p>The early identification of the outbreak has led to the prompt application of operative procedures and precautions to avoid the spread of pathogen. To date, 6 months after the last <it>A. baumannii </it>isolate, no other related case has been identified.</p

The neurology of COVID-19 revisited: A proposal from the environmental neurology specialty group of the world federation of neurology to implement international neurological registries

A comprehensive review of the neurological disorders reported during the current COVID-19 pandemic demonstrates that infection with SARS-CoV-2 affects the central nervous system (CNS), the peripheral nervous system (PNS) and the muscle. CNS manifestations include: headache and decreased responsiveness considered initial indicators of potential neurological involvement; anosmia, hyposmia, hypogeusia, and dysgeusia are frequent early symptoms of coronavirus infection. Respiratory failure, the lethal manifestation of COVID-19, responsible for 264,679 deaths worldwide, is probably neurogenic in origin and may result from the viral invasion of cranial nerve I, progressing into rhinencephalon and brainstem respiratory centers. Cerebrovascular disease, in particular large-vessel ischemic strokes, and less frequently cerebral venous thrombosis, intracerebral hemorrhage and subarachnoid hemorrhage, usually occur as part of a thrombotic state induced by viral attachment to ACE2 receptors in endothelium causing widespread endotheliitis, coagulopathy, arterial and venous thromboses. Acute hemorrhagic necrotizing encephalopathy is associated to the cytokine storm. A frontal hypoperfusion syndrome has been identified. There are isolated reports of seizures, encephalopathy, meningitis, encephalitis, and myelitis. The neurological diseases affecting the PNS and muscle in COVID-19 are less frequent and include Guillain-Barré syndrome; Miller Fisher syndrome; polyneuritis cranialis; and rare instances of viral myopathy with rhabdomyolysis. The main conclusion of this review is the pressing need to define the neurology of COVID-19, its frequency, manifestations, neuropathology and pathogenesis. On behalf of the World Federation of Neurology we invite national and regional neurological associations to create local databases to report cases with neurological manifestations observed during the on-going pandemic. International neuroepidemiological collaboration may help define the natural history of this worldwide problem

Rise of oceanographic barriers in continuous populations of a cetacean: the genetic structure of harbour porpoises in Old World waters

<p>Abstract</p> <p>Background</p> <p>Understanding the role of seascape in shaping genetic and demographic population structure is highly challenging for marine pelagic species such as cetaceans for which there is generally little evidence of what could effectively restrict their dispersal. In the present work, we applied a combination of recent individual-based landscape genetic approaches to investigate the population genetic structure of a highly mobile extensive range cetacean, the harbour porpoise in the eastern North Atlantic, with regards to oceanographic characteristics that could constrain its dispersal.</p> <p>Results</p> <p>Analyses of 10 microsatellite loci for 752 individuals revealed that most of the sampled range in the eastern North Atlantic behaves as a 'continuous' population that widely extends over thousands of kilometres with significant isolation by distance (IBD). However, strong barriers to gene flow were detected in the south-eastern part of the range. These barriers coincided with profound changes in environmental characteristics and isolated, on a relatively small scale, porpoises from Iberian waters and on a larger scale porpoises from the Black Sea.</p> <p>Conclusion</p> <p>The presence of these barriers to gene flow that coincide with profound changes in oceanographic features, together with the spatial variation in IBD strength, provide for the first time strong evidence that physical processes have a major impact on the demographic and genetic structure of a cetacean. This genetic pattern further suggests habitat-related fragmentation of the porpoise range that is likely to intensify with predicted surface ocean warming.</p