Applying a global optimisation algorithm to Fund of Hedge Funds portfolio optimisation

Portfolio optimisation for a Fund of Hedge Funds (“FoHF”) has to address the asymmetric, non-Gaussian nature of the underlying returns distributions. Furthermore, the objective functions and constraints are not necessarily convex or even smooth. Therefore traditional portfolio optimisation methods such as mean-variance optimisation are not appropriate for such problems and global search optimisation algorithms could serve better to address such problems. Also, in implementing such an approach the goal is to incorporate information as to the future expected outcomes to determine the optimised portfolio rather than optimise a portfolio on historic performance. In this paper, we consider the suitability of global search optimisation algorithms applied to FoHF portfolios, and using one of these algorithms to construct an optimal portfolio of investable hedge fund indices given forecast views of the future and our confidence in such views.portfolio optimisation; optimization; fund of hedge funds; global search optimisation; direct search; pgsl; hedge fund portfolio

Cellulose Fibre-Reinforced Biofoam for Structural Applications

Traditionally, polymers and macromolecular components used in the foam industry are mostly derived from petroleum. The current transition to a bio-economy creates demand for the use of more renewable feedstocks. Soybean oil is a vegetable oil, composed mainly of triglycerides, that is suitable material for foam production. In this study, acrylated epoxidized soybean oil and variable amounts of cellulose fibres were used in the production of bio-based foam. The developed macroporous bio-based architectures were characterised by several techniques, including porosity measurements, nanoindentation testing, scanning electron microscopy, and thermogravimetric analysis. It was found that the introduction of cellulose fibres during the foaming process was necessary to create the three-dimensional polymer foams. Using cellulose fibres has potential as a foam stabiliser because it obstructs the drainage of liquid from the film region in these gas-oil interfaces while simultaneously acting as a reinforcing agent in the polymer foam. The resulting foams possessed a porosity of approximately 56%, and the incorporation of cellulose fibres did not affect thermal behaviour. Scanning electron micrographs showed randomly oriented pores with irregular shapes and non-uniform pore size throughout the samples

Viewing the efficiency of chaos control

This paper aims to cast some new light on controlling chaos using the OGY- and the Zero-Spectral-Radius methods. In deriving those methods we use a generalized procedure differing from the usual ones. This procedure allows us to conveniently treat maps to be controlled bringing the orbit to both various saddles and to sources with both real and complex eigenvalues. We demonstrate the procedure and the subsequent control on a variety of maps. We evaluate the control by examining the basins of attraction of the relevant controlled systems graphically and in some cases analytically

Cosmic string parameter constraints and model analysis using small scale Cosmic Microwave Background data

We present a significant update of the constraints on the Abelian Higgs cosmic string tension by cosmic microwave background (CMB) data, enabled both by the use of new high-resolution CMB data from suborbital experiments as well as the latest results of the WMAP satellite, and by improved predictions for the impact of Abelian Higgs cosmic strings on the CMB power spectra. The new cosmic string spectra (presented in a previous work) were improved especially for small angular scales, through the use of larger Abelian Higgs string simulations and careful extrapolation. If Abelian Higgs strings are present then we find improved bounds on their contribution to the CMB anisotropies, f10< 0.095, and on their tension, G\mu< 0.57 x 10^-6, both at 95% confidence level using WMAP7 data; and f10 < 0.048 and G\mu < 0.42 x 10^-6 using all the CMB data. We also find that using all the CMB data, a scale invariant initial perturbation spectrum, ns=1, is now disfavoured at 2.4\sigma\ even if strings are present. A Bayesian model selection analysis no longer indicates a preference for strings.Comment: 8 pages, 3 figures; Minor corrections, matches published versio