Portfolio selection problems in practice: a comparison between linear and quadratic optimization models

Several portfolio selection models take into account practical limitations on the number of assets to include and on their weights in the portfolio. We present here a study of the Limited Asset Markowitz (LAM), of the Limited Asset Mean Absolute Deviation (LAMAD) and of the Limited Asset Conditional Value-at-Risk (LACVaR) models, where the assets are limited with the introduction of quantity and cardinality constraints. We propose a completely new approach for solving the LAM model, based on reformulation as a Standard Quadratic Program and on some recent theoretical results. With this approach we obtain optimal solutions both for some well-known financial data sets used by several other authors, and for some unsolved large size portfolio problems. We also test our method on five new data sets involving real-world capital market indices from major stock markets. Our computational experience shows that, rather unexpectedly, it is easier to solve the quadratic LAM model with our algorithm, than to solve the linear LACVaR and LAMAD models with CPLEX, one of the best commercial codes for mixed integer linear programming (MILP) problems. Finally, on the new data sets we have also compared, using out-of-sample analysis, the performance of the portfolios obtained by the Limited Asset models with the performance provided by the unconstrained models and with that of the official capital market indices

Engaging Undergraduates in Science Research: Not Just About Faculty Willingness.

Despite the many benefits of involving undergraduates in research and the growing number of undergraduate research programs, few scholars have investigated the factors that affect faculty members' decisions to involve undergraduates in their research projects. We investigated the individual factors and institutional contexts that predict faculty members' likelihood of engaging undergraduates in their research project(s). Using data from the Higher Education Research Institute's 2007-2008 Faculty Survey, we employ hierarchical generalized linear modeling to analyze data from 4,832 science, technology, engineering, and mathematics (STEM) faculty across 194 institutions to examine how organizational citizenship behavior theory and social exchange theory relate to mentoring students in research. Key findings show that faculty who work in the life sciences and those who receive government funding for their research are more likely to involve undergraduates in their research project(s). In addition, faculty at liberal arts or historically Black colleges are significantly more likely to involve undergraduate students in research. Implications for advancing undergraduate research opportunities are discussed

Volatility forecasting in the Chinese commodity futures market with intraday data

Given the unique institutional regulations in the Chinese commodity futures market as well as the characteristics of the data it generates, we utilize contracts with three months to delivery, the most liquid contract series, to systematically explore volatility forecasting for aluminum, copper, fuel oil, and sugar at the daily and three intraday sampling frequencies. We adopt popular volatility models in the literature and assess the forecasts obtained via these models against alternative proxies for the true volatility. Our results suggest that the long memory property is an essential feature in the commodity futures volatility dynamics and that the ARFIMA model consistently produces the best forecasts or forecasts not inferior to the best in statistical terms

Localisation of RNAs into the germ plasm of vitellogenic xenopus oocytes

We have studied the localisation of mRNAs in full-grown Xenopus laevis oocytes by injecting fluorescent RNAs, followed by confocal microscopy of the oocyte cortex. Concentrating on RNA encoding the Xenopus Nanos homologue, nanos1 (formerly Xcat2), we find that it consistently localised into aggregated germ plasm ribonucleoprotein (RNP) particles, independently of cytoskeletal integrity. This implies that a diffusion/entrapment-mediated mechanism is active, as previously reported for previtellogenic oocytes. Sometimes this was accompanied by localisation into scattered particles of the “late”, Vg1/VegT pathway; occasionally only late pathway localisation was seen. The Xpat RNA behaved in an identical fashion and for neither RNA was the localisation changed by any culture conditions tested. The identity of the labelled RNP aggregates as definitive germ plasm was confirmed by their inclusion of abundant mitochondria and co-localisation with the germ plasm protein Hermes. Further, the nanos1/Hermes RNP particles are interspersed with those containing the germ plasm protein Xpat. These aggregates may be followed into the germ plasm of unfertilized eggs, but with a notable reduction in its quantity, both in terms of injected molecules and endogenous structures. Our results conflict with previous reports that there is no RNA localisation in large oocytes, and that during mid-oogenesis even germ plasm RNAs localise exclusively by the late pathway. We find that in mid oogenesis nanos1 RNA also localises to germ plasm but also by the late pathway. Late pathway RNAs, Vg1 and VegT, also may localise into germ plasm. Our results support the view that mechanistically the two modes of localisation are extremely similar, and that in an injection experiment RNAs might utilise either pathway, the distinction in fates being very subtle and subject to variation. We discuss these results in relation to their biological significance and the results of others

Characteristics of transposable element exonization within human and mouse

Insertion of transposed elements within mammalian genes is thought to be an important contributor to mammalian evolution and speciation. Insertion of transposed elements into introns can lead to their activation as alternatively spliced cassette exons, an event called exonization. Elucidation of the evolutionary constraints that have shaped fixation of transposed elements within human and mouse protein coding genes and subsequent exonization is important for understanding of how the exonization process has affected transcriptome and proteome complexities. Here we show that exonization of transposed elements is biased towards the beginning of the coding sequence in both human and mouse genes. Analysis of single nucleotide polymorphisms (SNPs) revealed that exonization of transposed elements can be population-specific, implying that exonizations may enhance divergence and lead to speciation. SNP density analysis revealed differences between Alu and other transposed elements. Finally, we identified cases of primate-specific Alu elements that depend on RNA editing for their exonization. These results shed light on TE fixation and the exonization process within human and mouse genes.Comment: 11 pages, 4 figure

Improved Constraints on Sterile Neutrino Mixing from Disappearance Searches in the MINOS, MINOS+, Daya Bay, and Bugey-3 Experiments.

Searches for electron antineutrino, muon neutrino, and muon antineutrino disappearance driven by sterile neutrino mixing have been carried out by the Daya Bay and MINOS+ collaborations. This Letter presents the combined results of these searches, along with exclusion results from the Bugey-3 reactor experiment, framed in a minimally extended four-neutrino scenario. Significantly improved constraints on the θ_{μe} mixing angle are derived that constitute the most constraining limits to date over five orders of magnitude in the mass-squared splitting Δm_{41}^{2}, excluding the 90% C.L. sterile-neutrino parameter space allowed by the LSND and MiniBooNE observations at 90% CL_{s} for Δm_{41}^{2}<13  eV^{2}. Furthermore, the LSND and MiniBooNE 99% C.L. allowed regions are excluded at 99% CL_{s} for Δm_{41}^{2}<1.6 eV^{2}

Study protocol to investigate the effect of a lifestyle intervention on body weight, psychological health status and risk factors associated with disease recurrence in women recovering from breast cancer treatment

Background Breast cancer survivors often encounter physiological and psychological problems related to their diagnosis and treatment that can influence long-term prognosis. The aim of this research is to investigate the effects of a lifestyle intervention on body weight and psychological well-being in women recovering from breast cancer treatment, and to determine the relationship between changes in these variables and biomarkers associated with disease recurrence and survival. Methods/design Following ethical approval, a total of 100 patients will be randomly assigned to a lifestyle intervention (incorporating dietary energy restriction in conjunction with aerobic exercise training) or normal care control group. Patients randomised to the dietary and exercise intervention will be given individualised healthy eating dietary advice and written information and attend moderate intensity aerobic exercise sessions on three to five days per week for a period of 24 weeks. The aim of this strategy is to induce a steady weight loss of up to 0.5 Kg each week. In addition, the overall quality of the diet will be examined with a view to (i) reducing the dietary intake of fat to ~25% of the total calories, (ii) eating at least 5 portions of fruit and vegetables a day, (iii) increasing the intake of fibre and reducing refined carbohydrates, and (iv) taking moderate amounts of alcohol. Outcome measures will include body weight and body composition, psychological health status (stress and depression), cardiorespiratory fitness and quality of life. In addition, biomarkers associated with disease recurrence, including stress hormones, estrogen status, inflammatory markers and indices of innate and adaptive immune function will be monitored. Discussion This research will provide valuable information on the effectiveness of a practical, easily implemented lifestyle intervention for evoking positive effects on body weight and psychological well-being, two important factors that can influence long-term prognosis in breast cancer survivors. However, the added value of the study is that it will also evaluate the effects of the lifestyle intervention on a range of biomarkers associated with disease recurrence and survival. Considered together, the results should improve our understanding of the potential role that lifestyle-modifiable factors could play in saving or prolonging lives

Current quark mass dependence of nucleon magnetic moments and radii

A calculation of the current-quark-mass-dependence of nucleon static electromagnetic properties is necessary in order to use observational data as a means to place constraints on the variation of Nature's fundamental parameters. A Poincare' covariant Faddeev equation, which describes baryons as composites of confined-quarks and -nonpointlike-diquarks, is used to calculate this dependence The results indicate that, like observables dependent on the nucleons' magnetic moments, quantities sensitive to their magnetic and charge radii, such as the energy levels and transition frequencies in Hydrogen and Deuterium, might also provide a tool with which to place limits on the allowed variation in Nature's constants.Comment: 23 pages, 2 figures, 4 tables, 4 appendice

Transcriptomics reveal an integrative role for maternal thyroid hormones during zebrafish embryogenesis

Thyroid hormones (THs) are essential for embryonic brain development but the genetic mechanisms involved in the action of maternal THs (MTHs) are still largely unknown. As the basis for understanding the underlying genetic mechanisms of MTHs regulation we used an established zebrafish monocarboxylic acid transporter 8 (MCT8) knock-down model and characterised the transcriptome in 25hpf zebrafish embryos. Subsequent mapping of differentially expressed genes using Reactome pathway analysis together with in situ expression analysis and immunohistochemistry revealed the genetic networks and cells under MTHs regulation during zebrafish embryogenesis. We found 4,343 differentially expressed genes and the Reactome pathway analysis revealed that TH is involved in 1681 of these pathways. MTHs regulated the expression of core developmental pathways, such as NOTCH and WNT in a cell specific context. The cellular distribution of neural MTH-target genes demonstrated their cell specific action on neural stem cells and differentiated neuron classes. Taken together our data show that MTHs have a role in zebrafish neurogenesis and suggest they may be involved in cross talk between key pathways in neural development. Given that the observed MCT8 zebrafish knockdown phenotype resembles the symptoms in human patients with Allan-Herndon-Dudley syndrome our data open a window into understanding the genetics of this human congenital condition.Portuguese Fundacao para Ciencia e Tecnologia (FCT) [PTDC/EXPL/MARBIO/0430/2013]; CCMAR FCT Plurianual financing [UID/Multi/04326/2013]; FCT [SFRH/BD/111226/2015, SFRH/BD/108842/2015, SFRH/BPD/89889/2012]; FCT-IF Starting Grant [IF/01274/2014]info:eu-repo/semantics/publishedVersio

Circulating microRNAs Reveal Time Course of Organ Injury in a Porcine Model of Acetaminophen-Induced Acute Liver Failure

Acute liver failure is a rare but catastrophic condition which can progress rapidly to multi-organ failure. Studies investigating the onset of individual organ injury such as the liver, kidneys and brain during the evolution of acute liver failure, are lacking. MicroRNAs are short, non-coding strands of RNA that are released into the circulation following tissue injury. In this study, we have characterised the release of both global microRNA and specific microRNA species into the plasma using a porcine model of acetaminophen-induced acute liver failure. Pigs were induced to acute liver failure with oral acetaminophen over 19h±2h and death occurred 13h±3h thereafter. Global microRNA concentrations increased 4h prior to acute liver failure in plasma (P<0.0001) but not in isolated exosomes, and were associated with increasing plasma levels of the damage-associated molecular pattern molecule, genomic DNA (P<0.0001). MiR122 increased around the time of onset of acute liver failure (P<0.0001) and was associated with increasing international normalised ratio (P<0.0001). MiR192 increased 8h after acute liver failure (P<0.0001) and was associated with increasing creatinine (P<0.0001). The increase in miR124-1 occurred concurrent with the pre-terminal increase in intracranial pressure (P<0.0001) and was associated with decreasing cerebral perfusion pressure (P<0.002)