Weighted entropy and optimal portfolios for risk-averse Kelly investments

Following a series of works on capital growth investment, we analyse log-optimal portfolios where the return evaluation includes `weights' of different outcomes. The results are twofold: (A) under certain conditions, the logarithmic growth rate leads to a supermartingale, and (B) the optimal (martingale) investment strategy is a proportional betting. We focus on properties of the optimal portfolios and discuss a number of simple examples extending the well-known Kelly betting scheme. An important restriction is that the investment does not exceed the current capital value and allows the trader to cover the worst possible losses. The paper deals with a class of discrete-time models. A continuous-time extension is a topic of an ongoing study

Incorporating diversification into risk management

SMU-Wharton Research Centr

Evaluating of HPV-DNA ISH as an adjunct to p16 testing in oropharyngeal cancer

© 2020 Jeffrey Chi. Aim: Current guidelines recommend p16 immunohistochemistry (IHC) for testing human papillomavirus (HPV) in oropharyngeal carcinoma (OPSCC). We evaluated the value of adding DNA in situ hybridization (ISH) to p16 IHC. Methods: Fifty patients with OPSCC were analyzed. Concordance between HPV-DNA ISH and p16 IHC was measured by Gwet\u27s agreement coefficient. Results: p16 IHC was positive in 35/48 (72.9%), negative in 8/48 (16.7%) patients. Wide spectrum DNA-ISH was positive in 9/23 (39%) and negative in 14/23 (60.9%) patients. High-risk 16/18 (HR) HPV DNA-ISH was positive in 11/23 (47.8%) and negative in 12 (52.2%) patients. The agreement between HPV DNA-ISH and p16 IHC is fair (Gwet\u27s AC1 = 0.318). Conclusion: The agreement between p16 IHC and HPV-DNA ISH was fair. However, ISH sensitivity was low. Our findings add to the current data that p16 IHC testing is reliable and may be enough as a stand-alone test for HPV detection in OPSCC. Current testing guidelines recommend p16 immunochemistry (IHC) for detecting human papillomavirus (HPV) in oropharyngeal cancer (OPSCC). We evaluated the value of adding HPV DNA in situ hybridization (ISH) to p16 IHC. Fifty patients with OPSCC were analyzed. p16 IHC was positive in 72.9% of patients and DNA-ISH was positive in 39% of patients when wide spectrum probe was used and positive in 47.8% of patients when high-risk probe was used. The agreement between the two tests was fair. However, DNA-ISH sensitivity was low. p16 IHC may be enough as a stand-alone test for detection of HPV in OPSCC

4STAR Sky-Scanning Retrievals of Aerosol Intensive Optical Properties from Multiple Field Campaigns with Detailed Comparisons of SSA Reported During SEAC4RS

The 4STAR (Spectrometer for Sky-Scanning, Sun-Tracking Atmospheric Research) instrument combines airborne sun tracking capabilities of the Ames Airborne Tracking Sun Photometer (AATS-14) with AERONET-like sky-scanning capability and adds state-of-the-art fiber-coupled grating spectrometry to yield hyper spectral measurements of direct solar irradiance and angularly resolved sky radiance. The combination of sun-tracking and sky-scanning capability enables retrievals of wavelength-dependent aerosol optical depth (AOD), mode-resolved aerosol size distribution (SD), asphericity, and complex refractive index, and thus also the scattering phase function, asymmetry parameter, single-scattering albedo (SSA), and absorption aerosol optical thickness (AAOT).From 2012 to 2014 4STAR participated in four major field campaigns: the U.S. Dept. of Energy TCAP I II campaigns, and NASAs SEAC4RS and ARISE campaigns. Establishing a strong performance record, 4STAR operated successfully on all flights conducted during each of these campaigns. Sky radiance spectra from scans in either constant azimuth (principal plane) or constant zenith angle (almucantar) were interspersed with direct beam measurements during level legs. During SEAC4RS and ARISE, 4STAR airborne measurements were augmented with flight-level albedo from the collocated Shortwave Spectral Flux Radiometer (SSFR) providing improved specification of below-aircraft radiative conditions for the retrieval. Calibrated radiances and retrieved products will be presented with particular emphasis on detailed comparisons of ambient SSA retrievals and measurements during SEAC4RS from 4STAR, AERONET, HSRL2, and from in situ measurements

Aircraft-Measured Indirect Cloud Effects from Biomass Burning Smoke in the Arctic and Subarctic

The incidence of wildfires in the Arctic and subarctic is increasing; in boreal North America, for example, the burned area is expected to increase by 200-300 over the next 50-100 years, which previous studies suggest could have a large effect on cloud microphysics, lifetime, albedo, and precipitation. However, the interactions between smoke particles and clouds remain poorly quantified due to confounding meteorological influences and remote sensing limitations. Here, we use data from several aircraft campaigns in the Arctic and subarctic to explore cloud microphysics in liquid-phase clouds influenced by biomass burning. Median cloud droplet radii in smoky clouds were 50 smaller than in background clouds. Based on the relationship between cloud droplet number (N(liq))/ and various biomass burning tracers (BBt/ across the multi-campaign dataset, we calculated the magnitude of subarctic and Arctic smoke aerosol-cloud interactions (ACI, where ACI = (1/3) x dln(N(liq))/dln(BBt)) to be 0.12 out of a maximum possible value of 0.33 that would be obtained if all aerosols were to nucleate cloud droplets. Interestingly, in a separate subarctic case study with low liquid water content (0.02 gm/ cu m) and very high aerosol concentrations (2000-3000 cu m) in the most polluted clouds, the estimated ACI value was only 0.06. In this case, competition for water vapor by the high concentration of CCN strongly limited the formation of droplets and reduced the cloud albedo effect, which highlights the importance of cloud feedbacks across scales. Using our calculated ACI values, we estimate that the smoke-driven cloud albedo effect may decrease shortwave radiative flux by 2 and 4 W/sq or more under some low and homogeneous cloud cover conditions in the subarctic, although the changes should be smaller in high surface albedo regions of the Arctic. We lastly show evidence to suggest that numerous northern latitude background Aitken particles can interact with combustion particles, perhaps impacting their properties as cloud condensation and ice nuclei. However, the influence of background particles on smoke-driven indirect effects is currently unclear

New particle formation in the tropical free troposphere during CAMP²Ex: statistics and impact of emission sources, convective activity, and synoptic conditions

Nucleation in the free troposphere (FT) and subsequent growth of new particles represent a globally important source of cloud condensation nuclei (CCN). Whereas new particle formation (NPF) has been shown to occur frequently in the upper troposphere over tropical oceans, there have been few studies of NPF at lower altitudes. In addition, the impact of urban emissions and biomass burning on the NPF in tropical marine FT remains poorly understood. In this study, we examine NPF in the lower and mid-troposphere (3–8.5 km) over the tropical ocean and coastal region using airborne measurements during the recent Cloud, Aerosol and Monsoon Processes Philippines Experiment (CAMP2Ex). NPF was mostly observed above 5.5 km and coincided with elevated relative humidity (RH) and reduced condensation sink (CS), suggesting that NPF occurs in convective cloud outflow. The frequency of NPF increases with altitude, reaching ∼ 50 % above 8 km. An abrupt decrease in NPF frequency coincides with early monsoon transition and is attributed to increased CS resulting from reduced convective activity and more frequent transport of aged urban plumes. Surprisingly, a large fraction of NPF events in background air were observed in the early morning, and the NPF is likely made possible by very low CS despite low actinic flux. Convectively detrained biomass-burning plumes and fresh urban emissions enhance NPF as a result of elevated precursor concentrations and scavenging of pre-existing particles. In contrast, NPF is suppressed in aged urban plumes where the reactive precursors are mostly consumed, while CS remains relatively high. This study shows a strong impact of urban and biomass-burning emissions on the NPF in tropical marine FT. The results also illustrate the competing influences of different variables and interactions among anthropogenic emissions, convective clouds, and meteorology, which lead to NPF under a variety of conditions in tropical marine environments.</p