Clones of Canadian Hedge Funds

Although Hedge fund is a very appealing investment tool, its drawbacks start to draw investors‘ attention, the need of getting the similar return under the similar risk exposure without facing the high fee and less transparency issues becomes a study subject in the financial industry. In this study, we hand select the historical price of 118 Canadian Hedge funds and 6 market indexes with the time span from 2005 to 2010, and calculate the returns of these funds and indexes to study, we employ the linear regression model and construct the linear clones of 51 hedge funds with higher R square values under the portfolio weight obtained from the regression of the individual hedge fund on the same market risk factors. The outcome from this cloning process is somewhat in our favour in that the clones can represent some, but not 100% , of the returns of the respective hedge funds under the similar risk exposure

A Certified Trust Region Reduced Basis Approach to PDE-Constrained Optimization

Parameter optimization problems constrained by partial differential equations (PDEs) appear in many science and engineering applications. Solving these optimization problems may require a prohibitively large number of computationally expensive PDE solves, especially if the dimension of the design space is large. It is therefore advantageous to replace expensive high-dimensional PDE solvers (e.g., finite element) with lower-dimensional surrogate models. In this paper, the reduced basis (RB) model reduction method is used in conjunction with a trust region optimization framework to accelerate PDE-constrained parameter optimization. Novel a posteriori error bounds on the RB cost and cost gradient for quadratic cost functionals (e.g., least squares) are presented and used to guarantee convergence to the optimum of the high-fidelity model. The proposed certified RB trust region approach uses high-fidelity solves to update the RB model only if the approximation is no longer sufficiently accurate, reducing the number of full-fidelity solves required. We consider problems governed by elliptic and parabolic PDEs and present numerical results for a thermal fin model problem in which we are able to reduce the number of full solves necessary for the optimization by up to 86%. Key words: model reduction, optimization, trust region methods, partial differential equations, reduced basis methods, error bounds, parametrized systemsFulbright U.S. Student ProgramNational Science Foundation (U.S.). Graduate Research Fellowship ProgramHertz FoundationUnited States. Department of Energy. Office of Advanced Scientific Computing Research (Award DEFG02-08ER2585)United States. Department of Energy. Office of Advanced Scientific Computing Research (Award DE-SC0009297

Mapping Abyssal Current and Pressure Fields under the Meandering Gulf Stream

Using bottom pressure measurements and current meter measurements at 3500-m depth at 12 sites under the Gulf Stream near 68°W daily optimally interpolated (OI) maps have been constructed for June 1988 to August 1990. Prior to mapping, the pressure records were leveled (referenced to the same absolute geopotential) using the current measurements under the assumption that their mean fields are geostrophic. The leveled pressures were subsequently used together with the current measurements in a multivariate, nondivergent OI mapping procedure. This procedure significantly reduced the mapping errors, because both pressure and its (geostrophic) gradient are specified as inputs. The mapped bottom pressure and current fields have typical mean-square errors of only 0.0005 db2 and 4 cm2 s−2, compared to typical signal variances of 0.0035 db2 and 80 cm2 s−2. The daily maps of abyssal pressure are used to identify the characteristic space–time structures of dynamical processes. Examples are shown in which deep-level cyclones spin up jointly with steep stationary troughs in the Gulf Stream and deep anticyclones with steep propagating crests. Another sequence of maps illustrates the propagation of topographic Rossby waves and ring–stream interactions

Mixed metal nanoparticle assembly and the effect on surface enhanced raman scattering

Here we report the assembly of mixed metal nanoparticles using an oligonucleotide-templated approach. Substitution of one of the gold nanoparticle probes with an analagous silver probe to produce a hetero-metal duplex permitted surface enhanced Raman scattering of the dye label, exploiting the improved surface enhancement properties of silver nanoparticles whilst maintaining the surface chemistry benefits of gold nanoaprticle

Imaging Review of Skeletal Tumors of the Pelvis Malignant Tumors and Tumor Mimics

Malignant lesions of the pelvis are not uncommon and need to be differentiated from benign lesions and tumor mimics. Appearances are sometimes nonspecific leading to consideration of a broad differential diagnosis. Clinical history, anatomic location, and imaging characterization can help narrow the differential diagnosis. The focus of this paper is to demonstrate the imaging features and the role of plain films, computed tomography, and magnetic resonance imaging for detecting and characterizing malignant osseous pelvic lesions and their common mimics