Evaluating the impact of inequality constraints and parameter uncertainty on optimal portfolio choice

© 2015 Taylor & Francis. We present new analytical results for the impact of portfolio weight constraints on an investor’s optimal portfolio when parameter uncertainty is taken into account. While it is well known that parameter uncertainty and imposing weight constraints results in reduced certainty equivalent returns, in the general case, there are no analytical results. In a special case, commonly used in the funds management literature, we derive analytical expression for the certainty equivalent loss that does not depend on the risk aversion parameter. We illustrate our theoretical results using hedge fund data, from the perspective of a fund-of-fund manager. Our contribution is to formalize the framework to investigate this problem, as well as providing tractable analytical solutions that can be implemented using either simulated or asset manager returns

An Enriched European Eel Transcriptome Sheds Light upon Host-Pathogen Interactions with Vibrio vulnificus

Infectious diseases are one of the principal bottlenecks for the European eel recovery. The aim of this study was to develop a new molecular tool to be used in host-pathogen interaction experiments in the eel. To this end, we first stimulated adult eels with different pathogen-associated molecular patterns (PAMPs), extracted RNA from the immune-related tissues and sequenced the transcriptome. We obtained more than 2 x 10(6) reads that were assembled and annotated into 45,067 new descriptions with a notable representation of novel transcripts related with pathogen recognition, signal transduction and the immune response. Then, we designed a DNA-microarray that was used to analyze the early immune response against Vibrio vulnificus, a septicemic pathogen that uses the gills as the portal of entry into the blood, as well as the role of the main toxin of this species (RtxA13) on this early interaction. The gill transcriptomic profiles obtained after bath infecting eels with the wild type strain or with a mutant deficient in rtxA13 were analyzed and compared. Results demonstrate that eels react rapidly and locally against the pathogen and that this immune-response is rtxA13-dependent as transcripts related with cell destruction were highly up-regulated only in the gills from eels infected with the wild-type strain. Furthermore, significant differences in the immune response against the wild type and the mutant strain also suggest that host survival after V. vulnificus infection could depend on an efficient local phagocytic activity. Finally, we also found evidence of the presence of an interbranchial lymphoid tissue in European eel gills although further experiments will be necessary to identify such tissue

Renal Thrombotic Microangiopathy in Mice with Combined Deletion of Endocytic Recycling Regulators EHD3 and EHD4

Eps15 Homology Domain-containing 3 (EHD3), a member of the EHD protein family that regulates endocytic recycling, is the first protein reported to be specifically expressed in the glomerular endothelium in the kidney; therefore we generated Ehd3–/– mice and assessed renal development and pathology. Ehd3–/– animals showed no overt defects, and exhibited no proteinuria or glomerular pathology. However, as the expression of EHD4, a related family member, was elevated in the glomerular endothelium of Ehd3–/– mice and suggested functional compensation, we generated and analyzed Ehd3–/–; Ehd4–/– mice. These mice were smaller, possessed smaller and paler kidneys, were proteinuric and died between 3–24 weeks of age. Detailed analyses of Ehd3–/–; Ehd4–/– kidneys demonstrated thrombotic microangiopathy (TMA)-like glomerular lesions including thickening and duplication of glomerular basement membrane, endothelial swelling and loss of fenestrations. Other changes included segmental podocyte foot process effacement, mesangial interposition, and abnormal podocytic and mesangial marker expression. The glomerular lesions observed were strikingly similar to those seen in human pre-eclampsia and mouse models of reduced VEGF expression. As altered glomerular endothelial VEGFR2 expression and localization and increased apoptosis was observed in the absence of EHD3 and EHD4, we propose that EHD-mediated endocytic traffic of key surface receptors such as VEGFR2 is essential for physiological control of glomerular function. Furthermore, Ehd3–/–; Ehd4–/– mice provide a unique model to elucidate mechanisms of glomerular endothelial injury which is observed in a wide variety of human renal and extra-renal diseases

Germline selection shapes human mitochondrial DNA diversity.

Approximately 2.4% of the human mitochondrial DNA (mtDNA) genome exhibits common homoplasmic genetic variation. We analyzed 12,975 whole-genome sequences to show that 45.1% of individuals from 1526 mother-offspring pairs harbor a mixed population of mtDNA (heteroplasmy), but the propensity for maternal transmission differs across the mitochondrial genome. Over one generation, we observed selection both for and against variants in specific genomic regions; known variants were more likely to be transmitted than previously unknown variants. However, new heteroplasmies were more likely to match the nuclear genetic ancestry as opposed to the ancestry of the mitochondrial genome on which the mutations occurred, validating our findings in 40,325 individuals. Thus, human mtDNA at the population level is shaped by selective forces within the female germ line under nuclear genetic control, which ensures consistency between the two independent genetic lineages.NIHR, Wellcome Trust, MRC, Genomics Englan

The anatomy of portfolio skewness and kurtosis

This article re-examines portfolio higher moments, skewness and kurtosis, to see whether this information can be used to improve portfolio construction and to diagnose any mis-specification of models for portfolio returns. In common with most discussion of quantitative portfolio risk, we assume a linear factor model framework, and some empirical calculations using data from the components of the Dow Jones Industrial Index are carried out. The major insight that we glean from this exercise is that a well-diversified portfolio of skewed stocks can have a symmetric distribution unless we pay some attention to the third moment structure. These ideas are likely to have some potential application to fund of fund construction and the matching of bespoke portfolios to the risk attributes of high-net worth investors. © 2013 Macmillan Publishers Ltd

Computing optimal mean/downside risk frontiers: The role of ellipiticity

The purpose of this chapter is to analyze and calculate optimal mean/downside risk frontiers for financial portfolios. Focusing on the twO important cases of mean/value at risk and mean/semivariance, we compute analytic expressions for the optimal frontier in the two asset case, where the returns follow an arbitrary (nonnormal) distribution. Our analysis highlights the role of the normality/ellipticity assumption in this area of research. Formulae for mean/variance, mean/expected loss, and meanlsemistandard deviation frontiers are presented under normality/ellipticity. Computational issues are discussed and two propositions that facilitate computation are provided. Finally, the methodology is extended to nonelliptical distributions where simulation procedures are introduced. These can be presented jointly with our analytical approach to give portfolio managers deeper insights into the properties of optimal portfolios