A Monte-Carlo Method for Optimal Portfolios

This paper provides (i) new results on the structure of optimal portfolios, (ii) economic insights on the behavior of the hedging components and (iii) an analysis of simulation-based numerical methods. The core of our approach relies on closed form solutions for Melliavin derivatives of diffusion processes which simplify their numerical simulation and facilitate the computation and simulation of the hedging components of optimal portfolios. One of our procedures relies on a variance-stabilizing transformation of the underlying process which eliminates stochastic integrals from the representation of Malliavin derivatives and ensures the existence of an exact weak approximation scheme. This improves the performance of Monte-Carlo methods in the numerical implementation of portfolio rules derived on the basis of probabilistic arguments. Our approach is flexible and can be used even when the dimensionality of the set of underlying state variables is large. We implement the procedure for a class of bivariate and trivariate models in which the uncertainty is described by diffusion processes for the market price of risk (MPR), the interest rate (IR) and other relevant factors. After calibrating the models to the data we document the behavior of the portfolio demand and the hedging components relative to the parameters of the model such as risk aversion, investment horizon, speeds of mean-reversion, IR and MPR levels and volatilities. We show that the hedging terms are important and cannot be ignored for asset allocation purposes. Risk aversion and investment horizon emerge as the most relevant factors: they have a substantial impact on the size of the optimal portfolio and on its economic properties for realistic values of the models' parameters. Cet article établit des résultats nouveaux sur (i) la structure des portefeuilles optimaux, (ii) le comportement des termes de couverture et (iii) les méthodes numériques de simulation en la matière. Le fondement de notre approche repose sur l'obtention de formules explicites pour les dérivées de Malliavin de processus de diffusion, formules qui simplifient leur simulation numérique et facilitent le calcul des composantes de couverture des portefeuilles optimaux. Une de nos procédures utilise une transformation des processus sous-jacents qui élimine les intégrales stochastiques de la représentation des dérivées de Malliavin et assure l'existence d'une approximation faible exacte. Cette transformation améliore alors la performance des méthodes de Monte-Carlo lors de l'implémentation numérique des politiques de portefeuille dérivées par des méthodes probabilistes. Notre approche est flexible et peut être utilisée même lorsque la dimension de l'espace des variables d'états sous-jacentes est large. Cette méthode est appliquée dans le cadre de modèles bivariés et trivariés dans lesquels l'incertitude est décrite par des mouvements de diffusion pour le prix de marché du risque, le taux d'intérêt et les autres facteurs d'importance. Après avoir calibré le modèle aux données nous examinons le comportement du portefeuille optimal et des composantes de couverture par rapport aux paramètres tels que l'aversion au risque, l'horizon d'investissement, le taux d'intérêt et le prix de risque du marché. Nous démontrons l'importance des demandes de couverture. L'aversion au risque et l'horizon d'investissement émergent comme des facteurs déterminants qui ont un impact substantiel sur la taille du portefeuille optimal et sur ses propriétés économiques.Optimal portfolios, hedging demands, Malliavin derivatives, explicit solutions, multiple state variables, IR-hedge, MPR-hedge, Monte Carlo simulation, Doss transformation, portfolio behavior, Portefeuilles optimaux, demandes de couverture, dérivées de Malliavin, solutions explicites, variables d'état multiples, couverture de taux d'intérêt, couverture de prix du risque de marché, simulation de Monte Carlo, transformation de Doss, comportement des portefeuilles

FE 8: Complex arable-ley rotation in organic farming

Mid-term trial in Fislisbach, Switzerland, Start: 201

Plant soil feedback strength in relation to large-scale plant rarity and phylogenetic relatedness

Understanding why some species are rare while others are common remains a central and fascinating question in ecology. Recently, interactions with soil organisms have been shown to affect local abundances of plant species within communities, however, it is not known whether they might also drive patterns of rarity at large scales. Further, little is known about the specificity of soil-feedback effects, and whether closely related plants share more soil pathogens than more distantly related plants. In a multi-species soil-feedback experiment (using 19 species) we tested whether regionally and locally rare species differed in their response to soil biota. Regional rarity was measured using range size or IUCN status and local rarity by typical abundance within an area. All species were grown on soils trained by a variety of regionally and locally rare and common species, which also varied in their degree of relatedness to the target. We found that, in general, regionally rare species suffered more than twice as much from soil biota than regionally common species. Soil cultured by regionally rare species also had a more negative effect on subsequent plant growth, suggesting they may have also accumulated more pathogens. Local rarity did not predict feedback strength. Further, soil trained by closely related plants had a more negative effect on growth than soil trained by distant relatives, which indicates a phylogenetic signal in the host range of soil biota. We conclude that soil biota may well contribute to plant rarity at large spatial scales, which offers a novel explanation for plant rarity and commonness. Moreover, our results show that phylogenetic relatedness between plants was a good predictor of the likelihood that two plant species interacted negatively via soil biota, which might mean that soil pathogens could prevent the coexistence of closely related plants and could drive patterns of phylogenetic overdispersion. Our results suggest that soil pathogens could restrict the ability of rare species to shift their ranges and might need to be considered by conservation biologists seeking to protect populations of rare plants

Plasma-Derived Polyreactive Secretory-Like IgA and IgM Opsonizing Salmonella enterica Typhimurium Reduces Invasion and Gut Tissue Inflammation through Agglutination.

Due to the increasing emergence of antibiotic-resistant strains of enteropathogenic bacteria, development of alternative treatments to fight against gut infections is a major health issue. While vaccination requires that a proper combination of antigen, adjuvant, and delivery route is defined to elicit protective immunity at mucosae, oral delivery of directly active antibody preparations, referred to as passive immunization, sounds like a valuable alternative. Along the gut, the strategy suffers, however, from the difficulty to obtain sufficient amounts of antibodies with the appropriate specificity and molecular structure for mucosal delivery. Physiologically, at the antibody level, the protection of gastrointestinal mucosal surfaces against enteropathogens is principally mediated by secretory IgA and secretory IgM. We previously demonstrated that purified human plasma-derived IgA and IgM can be associated with secretory component to generate biologically active secretory-like IgA and IgM (SCIgA/M) that can protect epithelial cells from infection by Shigella flexneri in vitro. In this study, we aimed at evaluating the protective potential of these antibody preparations in vivo. We now establish that such polyreactive preparations bind efficiently to Salmonella enterica Typhimurium and trigger bacterial agglutination, as observed by laser scanning confocal microscopy. Upon delivery into a mouse ligated intestinal loop, SCIgA/M-mediated aggregates persist in the intestinal environment and limit the entry of bacteria into intestinal Peyer's patches via immune exclusion. Moreover, oral administration to mice of immune complexes composed of S. Typhimurium and SCIgA/M reduces mucosal infection, systemic dissemination, and local inflammation. Altogether, our data provide valuable clues for the future appraisal of passive oral administration of polyreactive plasma-derived SCIgA/M to combat infection by a variety of enteropathogens

Cytokinesis in bloodstream stage Trypanosoma brucei requires a family of katanins and spastin

Microtubule severing enzymes regulate microtubule dynamics in a wide range of organisms and are implicated in important cell cycle processes such as mitotic spindle assembly and disassembly, chromosome movement and cytokinesis. Here we explore the function of several microtubule severing enzyme homologues, the katanins (KAT80, KAT60a, KAT60b and KAT60c), spastin (SPA) and fidgetin (FID) in the bloodstream stage of the African trypanosome parasite, Trypanosoma brucei. The trypanosome cytoskeleton is microtubule based and remains assembled throughout the cell cycle, necessitating its remodelling during cytokinesis. Using RNA interference to deplete individual proteins, we show that the trypanosome katanin and spastin homologues are non-redundant and essential for bloodstream form proliferation. Further, cell cycle analysis revealed that these proteins play essential but discrete roles in cytokinesis. The KAT60 proteins each appear to be important during the early stages of cytokinesis, while downregulation of KAT80 specifically inhibited furrow ingression and SPA depletion prevented completion of abscission. In contrast, RNA interference of FID did not result in any discernible effects. We propose that the stable microtubule cytoskeleton of T. brucei necessitates the coordinated action of a family of katanins and spastin to bring about the cytoskeletal remodelling necessary to complete cell divisio

Specific orofacial problems experienced by musicians

Background: Patients who play musical instruments (especially wind and stringed instruments) and vocalists are prone to particular types of orofacial problems. Some problems are caused by playing and some are the result of dental treatment. This paper proposes to give an insight into these problems and practical guidance to general practice dentists. Method: Information in this paper is gathered from studies published in dental, music and occupational health journals, and from discussions with career musicians and music teachers. Results: Orthodontic problems, soft tissue trauma, focal dystonia, denture retention, herpes labialis, dry mouth and temporomandibular joint (TMJ) disorders were identified as orofacial problems of career musicians. Options available for prevention and palliative treatment as well as instrument selection are suggested to overcome these problems. Conclusions: Career musicians express reluctance to attend dentists who are not sensitive to their specific needs. General practitioner dentists who understand how the instruments impact on the orofacial structures and are aware of potential problems faced by musicians are able to offer preventive advice and supportive treatment to these patients, especially those in the early stages of their career

E-readers and the death of the book: or, new media and the myth of the disappearing medium

The recent emergence of e-readers and e-books has b rought the death of the book to the centre of current debates on new media. In this article, we a nalyse alternative narratives that surround the possibility of the disappearance of print books, do minated by fetishism, fears about the end of humanism, and ideas of techno-fundamentalist progre ss. We argue that, in order to comprehend such narratives, we need to inscribe them in the br oader history of media. The emergence of new media, in fact, has often been accompanied by narra tives about the possible disappearance of older media: the introduction of television, for in stance, inspired claims about the forthcoming death of film and radio. As a recurrent narrative s haping the reception of media innovation, the myth of the disappearing medium helps us to make se nse of the transformations that media change provokes in our everyday life