"Nonlinear" covariance matrix and portfolio theory for non-Gaussian multivariate distributions

This paper offers a precise analytical characterization of the distribution of returns for a portfolio constituted of assets whose returns are described by an arbitrary joint multivariate distribution. In this goal, we introduce a non-linear transformation that maps the returns onto gaussian variables whose covariance matrix provides a new measure of dependence between the non-normal returns, generalizing the covariance matrix into a non-linear fractional covariance matrix. This nonlinear covariance matrix is chiseled to the specific fat tail structure of the underlying marginal distributions, thus ensuring stability and good-conditionning. The portfolio distribution is obtained as the solution of a mapping to a so-called phi-q field theory in particle physics, of which we offer an extensive treatment using Feynman diagrammatic techniques and large deviation theory, that we illustrate in details for multivariate Weibull distributions. The main result of our theory is that minimizing the portfolio variance (i.e. the relatively ``small'' risks) may often increase the large risks, as measured by higher normalized cumulants. Extensive empirical tests are presented on the foreign exchange market that validate satisfactorily the theory. For ``fat tail'' distributions, we show that an adequete prediction of the risks of a portfolio relies much more on the correct description of the tail structure rather than on their correlations.Comment: Latex, 76 page

Transient Astrophysical Pulses and Quantum Gravity

Searches for transient astrophysical pulses could open an exciting new window into the fundamental physics of quantum gravity. In particular, an evaporating primordial black hole in the presence of an extra dimension can produce a detectable transient pulse. Observations of such a phenomenon can in principle explore the electroweak energy scale, indicating that astrophysical probes of quantum gravity can successfully complement the exciting new physics expected to be discovered in the near future at the Large Hadron Collider.Comment: 7 pages, This essay received an honorable mention in the Gravity Research Foundation Essay Competition, 200

Development and field evaluation of an online monitor for near-continuous measurement of iron, manganese, and chromium in coarse airborne particulate matter (PM)

A novel air sampling monitor was developed for near-continuous (i.e., 2-h time resolution) measurement of iron (Fe), manganese (Mn), and chromium (Cr) concentrations in ambient coarse particulate matter (PM) (i.e., PM10–2.5). The developed monitor consists of two modules: (1) the coarse PM collection module, utilizing two virtual impactors (VIs) connected to a modified BioSampler to collect ambient coarse PM into aqueous slurry samples; (2) the metal concentration measurement module, which quantifies the light absorption of colored complexes formed through the reactions between the soluble and solubilized target metals and pertinent analytical reagents in the collected slurries using a micro volume flow cell (MVFC) coupled with UV/VIS spectrophotometry. The developed monitor was deployed in the field for continuous ambient PM collection and measurements from January to April 2016 to evaluate its performance and reliability. Overall, the developed monitor could achieve accurate and reliable measurements of the trace metals Fe, Mn, and Cr over long sampling periods, based on the agreement between the metal concentrations measured via this online monitor and off-line parallel measurements obtained using filter samplers. Based on our results, it can be concluded that the developed monitor is a promising technology for near-continuous measurements of metal concentrations in ambient coarse PM. Moreover, this monitor can be readily configured to measure the speciation (i.e., water-soluble portion as well as specific oxidation states) of these metal species. These unique abilities are essential tools in investigations of sources and atmospheric processes influencing the concentrations of these redox-active metals in coarse PM. Copyright © 2016 American Association for Aerosol Research © 2016 American Association for Aerosol Research

Effects of introgressed 4Nv Aegilops ventricosa chromosome on yield and yield components in bread wheat.

Effects of introgressed 4Nv Aegilops ventricosa chromosome on yield and yield components in bread whea

Identification of gait stability indices for the rehabilitation follow-up of people with transtibial amputation: a preliminary study

Resuming activities of daily living after a lower limb amputation represents a challenge, especially because of the high risk of falling. Thus, rehabilitation initially focuses on stability. Despit..

A complex interprofessional intervention to improve the management of painful procedures in neonates

During hospitalization, neonates are exposed to a stressful environment and a high number of painful procedures. If pain is not treated adequately, short- and long-term complications may develop. Despite evidence about neonatal pain and available guidelines, procedural pain remains undertreated. This gap between research and practice is mostly due to limited implementation of evidence-based knowledge and time constraints. This study describes in detail the development process of a complex interprofessional intervention to improve the management of procedural pain in neonates called NEODOL© (NEOnato DOLore). The framework of the Medical Research Council (MRC) for the development and evaluation of complex interventions was used as a methodological guide for the design of the NEODOL© intervention. The development of the intervention is based on several steps and multiple methods. To report this process, we used the Criteria for Reporting the Development of Complex Interventions in Healthcare (CReDECI 2). Additionally, we evaluated the content of the intervention using a Delphi method to obtain consensus from experts, stakeholders, and parents. The complex interprofessional intervention, NEODOL©, is developed and designed for three groups: healthcare professionals, parents, and neonates for a level IIb neonatal unit at a regional hospital in southern Switzerland. A total of 16 panelists participated in the Delphi process. At the end of the Delphi process, the panelists endorsed the NEODOL© intervention as important and feasible. Following the MRC guidelines, a multimethod process was used to develop a complex interprofessional intervention to improve the management of painful procedures in newborns. Complex interprofessional interventions need theoretical bases, careful development, and integration of stakeholders to provide a comprehensive approach. The NEODOL intervention consists of promising components and has the potential to improve the management of painful procedures and should facilitate the knowledge translation into practice. KEYWORDS bundle of care, complex interventions, interprofessional relations, knowledge translation, neonate, procedural pai