Cone-Constrained Continuous-Time Markowitz Problems

The Markowitz problem consists of finding in a financial market a self-financing trading strategy whose final wealth has maximal mean and minimal variance. We study this in continuous time in a general semimartingale model and under cone constraints: Trading strategies must take values in a (possibly random and time-dependent) closed cone. We first prove existence of a solution for convex constraints by showing that the space of constrained terminal gains, which is a space of stochastic integrals, is closed in L^2. Then we use stochastic control methods to describe the local structure of the optimal strategy, as follows. The value process of a naturally associated constrained linear-quadratic optimal control problem is decomposed into a sum with two opportunity processes L^{\pm} appearing as coefficients. The martingale optimality principle translates into a drift condition for the semimartingale characteristics of L^{\pm} or equivalently into a coupled system of backward stochastic differential equations for L^{\pm}. We show how this can be used to both characterise and construct optimal strategies. Our results explain and generalise all the results available in the literature so far. Moreover, we even obtain new sharp results in the unconstrained case.Comment: To appear in Annals of Applied Probabilit

Convexity bounds for BSDE solutions, with applications to indifference valuation

We consider backward stochastic differential equations (BSDEs) with a particular quadratic generator and study the behaviour of their solutions when the probability measure is changed, the filtration is shrunk, or the underlying probability space is transformed. Our main results are upper bounds for the solutions of the original BSDEs in terms of solutions to other BSDEs which are easier to solve. We illustrate our results by applying them to exponential utility indifference valuation in a multidimensional Itô process settin

Uncertainty assessment in 3-D geological models of increasing complexity

The quality of a 3-D geological model strongly depends on the type of integrated geological data, their interpretation and associated uncertainties. In order to improve an existing geological model and effectively plan further site investigation, it is of paramount importance to identify existing uncertainties within the model space. Information entropy, a voxel-based measure, provides a method for assessing structural uncertainties, comparing multiple model interpretations and tracking changes across consecutively built models. The aim of this study is to evaluate the effect of data integration (i.e., update of an existing model through successive addition of different types of geological data) on model uncertainty, model geometry and overall structural understanding. Several geological 3-D models of increasing complexity, incorporating different input data categories, were built for the study site Staufen (Germany). We applied the concept of information entropy in order to visualize and quantify changes in uncertainty between these models. Furthermore, we propose two measures, the Jaccard and the city-block distance, to directly compare dissimilarities between the models. The study shows that different types of geological data have disparate effects on model uncertainty and model geometry. The presented approach using both information entropy and distance measures can be a major help in the optimization of 3-D geological models

Precision of the Wilson corrective osteotomy of the first metacarpal base using specific planning and instruments for treatment of basal thumb arthritis

INTRODUCTION Arthritis of the basal thumb is a relatively common condition also affecting younger patients. Wilson et al. described a 20°-30° closing wedge osteotomy of the first metacarpal bone to unload the trapeziometacarpal joint. It was the purpose of this study to analyze the clinical and radiographic outcome of patients who underwent proximal extension osteotomy of the first metacarpal bone using patient-specific planning and instruments (PSI). METHODS All patients who underwent proximal metacarpal osteotomy for basal thumb arthritis at our tertiary referral center were retrospectively included. The patients underwent preoperative planning using computed tomography and 3D segmentation to build patient-specific guides and instruments for the operative treatment. Stable fixation of the osteotomy was achieved by internal plating. The inclusion criterion was a minimum follow-up of 1 year with clinical examination, including the Michigan Hand Outcomes Questionnaire (MHQ), and computed tomography to validate the correction. Complications and reinterventions were recorded. RESULTS A total of eight Wilson osteotomies in six patients could be included at a mean follow-up duration of 33±16 months (range, 12 to 55 months). The patients were 49±8 years (range, 36 to 58 years) at the surgery and 88% were female. The postoperative MHQ for general hand function was 77±8 (range, 45 to 100) and the MHQ for satisfaction was 77±28 (range, 17 to 100). The working status was unchanged in 7/8 hands (6/7 patients). Radiographic analysis revealed successful correction in all cases with unchanged Eaton-Littler stage in 7/8 hands. No complications were recorded. CONCLUSION The combined extending and ulnar adducting osteotomy using patient-specific guides and instrumentation provides an accurate treatment for early-stage thumb arthritis. LEVEL OF EVIDENCE Type IV-retrospective, therapeutic study

Parallel adaptations to nectarivory in parrots, key innovations and the diversification of the Loriinae

Specialization to nectarivory is associated with radiations within different bird groups, including parrots. One of them, the Australasian lories, were shown to be unexpectedly species rich. Their shift to nectarivory may have created an ecological opportunity promoting species proliferation. Several morphological specializations of the feeding tract to nectarivory have been described for parrots. However, they have never been assessed in a quantitative framework considering phylogenetic nonindependence. Using a phylogenetic comparative approach with broad taxon sampling and 15 continuous characters of the digestive tract, we demonstrate that nectarivorous parrots differ in several traits from the remaining parrots. These trait-changes indicate phenotype–environment correlations and parallel evolution, and may reflect adaptations to feed effectively on nectar. Moreover, the diet shift was associated with significant trait shifts at the base of the radiation of the lories, as shown by an alternative statistical approach. Their diet shift might be considered as an evolutionary key innovation which promoted significant non-adaptive lineage diversification through allopatric partitioning of the same new niche. The lack of increased rates of cladogenesis in other nectarivorous parrots indicates that evolutionary innovations need not be associated one-to-one with diversification events

Malunion deformity of the forearm: Three-dimensional length variation of interosseous membrane and bone collision

It remains unclear to what extent the interosseous membrane (IOM) is affected through the whole range of motion (ROM) in posttraumatic deformities of the forearm. The purpose of this study is to describe the ligament- and bone-related factors involved in rotational deficit of the forearm. Through three-dimensional (3D) kinematic simulations on one cadaveric forearm, angular deformities of 5° in four directions (flexion, extension, valgus, varus) were produced at two locations of the radius and the ulna (proximal and distal third). The occurrence of bone collision in pronation and the linear length variation of six parts of the IOM through the whole ROM were compared between the 32 types of forearm deformities. Similar patterns could be observed among four groups: 12 types of deformity presented increased bone collision in pronation, 8 presented an improvement of bone collision with an increase of the mean linear lengthening of the IOM in neutral rotation, 6 had an increased linear lengthening of the IOM in supination with nearly unchanged bone collision in pronation and 6 types presented nearly unchanged bone collision in pronation with a shortening of the mean linear length of IOM in supination or neutral rotation. This kinematic analysis provides a better understanding of the ligament- and bone-related factors expected to cause rotational deficit in forearm deformity and may help to refine the surgical indications of patient-specific corrective osteotomy

Post-mortem computed tomographic angiography in equine distal forelimbs: A feasibility study

In-depth understanding of pathophysiological processes occurring in the vasculature of the equine distal limb is of great importance to improve both diagnostic and therapeutic approaches to diseases. To gain further insights, a model allowing high-resolution 3D-visualization of the vasculature is necessary. This pilot study evaluated the feasibility of restoring vascular perfusion in frozen-thawed distal equine cadaver limbs without prior preparation using computer tomographic imaging (CT). Five frozen-thawed, radiographically normal forelimbs were perfused with a lipophilic contrast agent through the median artery and radial vein in three phases (arterial, venous, and arterial-venous combined (AVC) dynamic). For comparison, one additional limb was perfused with a hydrosoluble contrast agent. The CT-studies (16-slice MDCT, 140 kV, 200 mA, 2 mm slice thickness, 1 mm increment, pitch 0.688) were evaluated at 11 specified regions for visualization of the vasculature and presence of artifacts or anatomic variations. The protocol used in this study proved to be feasible and provided good visualization (93.1%) of vasculature with low rates of artifacts. During the different phases, vascular visualization was similar, but while filling defects decreased in the later phases, extravasation worsened in the 2 limbs where it was observed. Subjectively, the best quality of angiographic images was achieved during the AVC dynamic phase. Perfusion with hydrosoluble contrast resulted in significantly lower vascular visualization (74.0%) and higher artifact rates. This study shows that reperfusion of frozen-thawed equine distal limbs with a lipophilic contrast agent allows for high-quality 3D-visualization of the vasculature and may serve as a model for in situ vascular evaluation in the future

Inference of evolutionary jumps in large phylogenies using Lévy processes

Although it is now widely accepted that the rate of phenotypic evolution may not necessarily be constant across large phylogenies, the frequency and phylogenetic position of periods of rapid evolution remain unclear. In his highly influential view of evolution, G. G. Simpson supposed that such evolutionary jumps occur when organisms transition into so-called new adaptive zones, for instance after dispersal into a new geographic area, after rapid climatic changes, or following the appearance of an evolutionary novelty. Only recently, large, accurate and well calibrated phylogenies have become available that allow testing this hypothesis directly, yet inferring evolutionary jumps remains computationally very challenging. Here, we develop a computationally highly efficient algorithm to accurately infer the rate and strength of evolutionary jumps as well as their phylogenetic location. Following previous work we model evolutionary jumps as a compound process, but introduce a novel approach to sample jump configurations that does not require matrix inversions and thus naturally scales to large trees. We then make use of this development to infer evolutionary jumps in Anolis lizards and Loriinii parrots where we find strong signal for such jumps at the basis of clades that transitioned into new adaptive zones, just as postulated by Simpson’s hypothesis

Incidence, risk factors and prognosis of changes in serum creatinine early after aortic abdominal surgery

Objective: To determine the incidence, risk factors, and prognostic implications of serum creatinine changes following major vascular surgery. Design: Observational study. Settings: University hospital. Patients: Cohort of 599 consecutive patients undergoing elective abdominal aortic surgery. Interventions: Review of prospectively collected data from 1993 to 2004. Measurements and results: The receiver-operator characteristic (ROC) curve analysis was used to detect the best threshold for postoperative elevation in serum creatinine (Δ Creat) in relation to major complications. Acut-off value of +0.5 mg/dl was selected to define renal dysfunction (RD0.5 group, n = 91; no RD0.5, n = 508) that was associated with higher mortality (7.7% in RD0.5 group vs 1.4% in no RD0.5 group, P  40 min; OR, 3.8, 95% CI, 1.9-7.2), blood transfusion (> 5 units; OR, 1.9, 95% CI 1.2-6.1), and rhabdomyolysis (OR, 3.6, 95% CI 1.7-7.9). Conclusions: Postoperative RD0.5 (Δ Creat  > 0.5 mg/dl) occurs in 15% of vascular patients and carries abad prognosis. Preoperative renal insufficiency and factors related to the complexity of surgery are the main predictors of renal dysfunctio

Conditional gene ablation of Stat3 reveals differential signaling requirements for survival of motoneurons during development and after nerve injury in the adult

Members of the ciliary neurotrophic factor (CNTF)/leukemia inhibitory factor (LIF)/cardiotrophin gene family are potent survival factors for embryonic and lesioned motoneurons. These factors act via receptor complexes involving gp130 and LIFR-β and ligand binding leads to activation of various signaling pathways, including phosphorylation of Stat3. The role of Stat3 in neuronal survival was investigated in mice by Cre-mediated gene ablation in motoneurons. Cre is expressed under the neurofilament light chain (NF-L) promoter, starting around E12 when these neurons become dependent on neurotrophic support. Loss of motoneurons during the embryonic period of naturally occurring cell death is not enhanced in NF-L–Cre; Stat3flox/KO mice although motoneurons isolated from these mice need higher concentrations of CNTF for maximal survival in culture. In contrast, motoneuron survival is significantly reduced after facial nerve lesion in the adult. These neurons, however, can be rescued by the addition of neurotrophic factors, including CNTF. Stat3 is essential for upregulation of Reg-2 and Bcl-xl expression in lesioned motoneurons. Our data show that Stat3 activation plays an essential role for motoneuron survival after nerve lesion in postnatal life but not during embryonic development, indicating that signaling requirements for motoneuron survival change during maturation