RM-CVaR: Regularized Multiple β\beta-CVaR Portfolio

The problem of finding the optimal portfolio for investors is called the portfolio optimization problem. Such problem mainly concerns the expectation and variability of return (i.e., mean and variance). Although the variance would be the most fundamental risk measure to be minimized, it has several drawbacks. Conditional Value-at-Risk (CVaR) is a relatively new risk measure that addresses some of the shortcomings of well-known variance-related risk measures, and because of its computational efficiencies, it has gained popularity. CVaR is defined as the expected value of the loss that occurs beyond a certain probability level ($\beta$). However, portfolio optimization problems that use CVaR as a risk measure are formulated with a single $\beta$ and may output significantly different portfolios depending on how the $\beta$ is selected. We confirm even small changes in $\beta$ can result in huge changes in the whole portfolio structure. In order to improve this problem, we propose RM-CVaR: Regularized Multiple $\beta$-CVaR Portfolio. We perform experiments on well-known benchmarks to evaluate the proposed portfolio. Compared with various portfolios, RM-CVaR demonstrates a superior performance of having both higher risk-adjusted returns and lower maximum drawdown.Comment: accepted by the IJCAI-PRICAI 2020 Special Track AI in FinTec

The freeness of Ish arrangements

International audienceThe Ish arrangement was introduced by Armstrong to give a new interpretation of the $q; t$-Catalan numbers of Garsia and Haiman. Armstrong and Rhoades showed that there are some striking similarities between the Shi arrangement and the Ish arrangement and posed some problems. One of them is whether the Ish arrangement is a free arrangement or not. In this paper, we verify that the Ish arrangement is supersolvable and hence free. Moreover, we give a necessary and sufficient condition for the deleted Ish arrangement to be freeL’arrangement Ish a été introduit par Armstrong pour donner une nouvelle interprétation des nombres $q; t$-Catalan de Garsia et Haiman. Armstrong et Rhoades ont montré qu’il y avait des ressemblances frappantes entre l’arrangement Shi et l’arrangement Ish et ont posé des conjectures. L’une d’elles est de savoir si l’arrangement Ish est un arrangement libre ou pas. Dans cet article, nous vérifions que l’arrangement Ish est supersoluble et donc libre. De plus, on donne une condition nécessaire et suffisante pour que l’arrangement Ish réduit soit libre

Vertex-weighted Digraphs and Freeness of Arrangements Between Shi and Ish

We introduce and study a digraph analogue of Stanley's $\psi$-graphical arrangements from the perspectives of combinatorics and freeness. Our arrangements form a common generalization of various classes of arrangements in literature including the Catalan arrangement, the Shi arrangement, the Ish arrangement, and especially the arrangements interpolating between Shi and Ish recently introduced by Duarte and Guedes de Oliveira. The arrangements between Shi and Ish all are proved to have the same characteristic polynomial with all integer roots, thus raising the natural question of their freeness. We define two operations on digraphs, which we shall call king and coking elimination operations and prove that subject to certain conditions on the weight $\psi$, the operations preserve the characteristic polynomials and freeness of the associated arrangements. As an application, we affirmatively prove that the arrangements between Shi and Ish all are free, and among them only the Ish arrangement has supersolvable cone.Comment: 29 page

The freeness of Ish arrangements

The Ish arrangement was introduced by Armstrong to give a new interpretation of the $q; t$-Catalan numbers of Garsia and Haiman. Armstrong and Rhoades showed that there are some striking similarities between the Shi arrangement and the Ish arrangement and posed some problems. One of them is whether the Ish arrangement is a free arrangement or not. In this paper, we verify that the Ish arrangement is supersolvable and hence free. Moreover, we give a necessary and sufficient condition for the deleted Ish arrangement to be fre

Dissolution Properties of CO2 in the High Pressure Environment Equivalent to 3500m Deep Sea

AbstractThe purpose of the present study is to investigate the influence of CO2 hydrate formation and dissociation on the dissolution properties of liquid CO2. In order to clarify the influence of CO2 hydrate formation and dissociation, pressure and temperature are measured under both conditions of hydrate region and non-hydrate region. Hysteresis is obtained in the formation and dissociation of CO2 hydrate as a function of temperature. It is confirmed that there is hysteresis in the case of hydrate region, however, virtually no hysteresis in the case of non-hydrate region. As the result, it is confirmed that hysteresis is caused by CO2 hydrate and all hysteresis loop obtained in this study are all different, though experiment conditions is almost same. In other words, it is suggested that the amount of CO2 hydrate is constant chang

Molecular characterization of buckwheat major immunoglobulin E-reactive proteins in allergic patients

ABSTRACTBuckwheat extract was analyzed by immunoblotting experiments using sera from nine allergic and three non-allergic individuals. Major IgE-reactive bands were 73, 70, 62, 58 and 54kDa under non-reducing conditions and were detected in allergic subjects, but not in non-allergic ones. Under reducing conditions, the 73, 70, 62 and 58kDa bands split to 56 and 24, 52 and 24, 45 and 24, and 43 and 24kDa, respectively. The 24kDa molecule was the most prominent band recognized with IgE as well as IgG or IgA. The FA02 cDNA clone, encoding the α and β subunits of the legumin-like storage protein, was isolated from a cDNA library made of immature buckwheat seeds. The deduced amino acid sequence of the cDNA clone is substantially identical to the N-terminal amino acid sequence of the 24kDa molecule, which may be identical to that of BW24KD reported by Urisu et al. Consistent with these results, the translation product of the cDNA encoding the putative β subunit was strongly recognized with serum IgE, IgG and IgA from buckwheat-allergic patients. These results suggested that the 24kDa molecule may be the β subunit of the legumin-like storage molecule of buckwheat

Von Willebrand Factor Antigen Levels Predict Poor Outcomes in Patients With Stroke and Cancer: Findings From the Multicenter, Prospective, Observational SCAN Study

Kawano T., Gon Y., Sakaguchi M., et al. Von Willebrand Factor Antigen Levels Predict Poor Outcomes in Patients With Stroke and Cancer: Findings From the Multicenter, Prospective, Observational SCAN Study. Journal of the American Heart Association 13, e032284 (2024); https://doi.org/10.1161/JAHA.123.032284.BACKGROUND: Patients with acute ischemic stroke and active cancer have more severe neurological symptoms, elevated risks of stroke recurrence, and death compared with the general population. We examined whether von Willebrand factor (vWF) antigen levels at stroke onset were associated with the poor outcomes of patients with stroke and cancer. METHODS AND RESULTS: Using data from 90 patients with acute ischemic stroke and active cancer who were registered in the SCAN (Ischemic Stroke in Patients With Cancer and Neoplasia) study, a prospective multicenter, observational study in Japan, we divided patients into 2 groups according to their median vWF antigen levels (high, n=46; or low, n=44). The high-vWF group had a significantly higher initial National Institutes of Health Stroke Scale score (median, 7 [interquartile range, 3-11.25] versus 3 [interquartile range, 1-8.5]; P<0.05) and a significantly higher incidence of cryptogenic stroke (32 [70%] versus 16 [36%]; P<0.01) and venous thromboembolism (7 [15%] versus 0 [0%]; P<0.01), as well as multiple lesions (28 [62%] versus 12 [27%]; P<0.001), than the low-vWF group. We observed no significant difference in the rate of stroke recurrence within 1 year between the groups. However, increased vWF levels were an independent predictor of death within 1 year of stroke onset, after adjusting for potential confounders (odds ratio, 6.77 [95% CI, 1.49-30.78]; P<0.05). CONCLUSIONS: Elevated vWF antigen levels were associated with adverse outcomes in patients with cancer-associated stroke and may represent a useful biomarker to guide future therapeutic interventions

Predictors of Survival in Patients With Ischemic Stroke and Active Cancer: A Prospective, Multicenter, Observational Study

BACKGROUND: Limited data exist on the prognostic factors for patients with ischemic stroke and active cancer. METHODS AND RESULTS: We conducted a prospective, multicenter, observational study in Japan, including patients with acute ischemic stroke and active cancer, to investigate the prognostic factors. We followed up the patients for 1 year after stroke onset. The patients were divided into 2 groups according to cryptogenic stroke and known causes (small-vessel occlusion, large-artery atherosclerosis, cardioembolism, and other determined cause), and survival was compared. The hazard ratios (HRs) and 95% CIs for mortality were calculated using Cox regression models. We identified 135 eligible patients (39% women; median age, 75 years). Of these patients, 51% had distant metastasis. A total of 65 (48%) and 70 (52%) patients had cryptogenic stroke and known causes, respectively. Patients with cryptogenic stroke had significantly shorter survival than those with known causes (HR [95% CI], 3.11 [1.82–5.32]). The multivariable Cox regression analysis revealed that distant metastasis, plasma D-dimer levels, venous thromboembolism (either deep venous thrombosis or pulmonary embolism) complications at stroke onset were independent predictors of mortality after adjusting for potential confounders. Cryptogenic stroke was associated with prognosis in univariable analysis but was not significant in multivariable analysis. The plasma D-dimer levels stratified the prognosis of patients with ischemic stroke and active cancer. CONCLUSIONS: The prognosis of patients with acute ischemic stroke and active cancer varied considerably depending on stroke mechanism, distant metastasis, and coagulation abnormalities. The present study confirmed that coagulation abnormalities were crucial in determining the prognosis of such patients.Gon Y., Sakaguchi M., Yamagami H., et al. Predictors of Survival in Patients With Ischemic Stroke and Active Cancer: A Prospective, Multicenter, Observational Study. Journal of the American Heart Association 12, e029618 (2023); https://doi.org/10.1161/JAHA.123.029618