Approximate methods for dynamic portfolio allocation under transaction costs

The thesis provides robust and efficient lattice based algorithms for solving dynamic portfolio allocation problems under transaction costs. The early part of the thesis concentrates upon developing a toolbox based on multinomial trees. The multinomial trees are shown to provide a reasonable approximation for most popular transaction cost models in the academic literature. The tool, once forged, is implemented in the powerful Mathematica based parallel computing environment. In the second part of the thesis we provide applications of our framework to real world problems. We show re-balancing portfolios is more valuable in an investment environment where the growth and volatility of risky assets is non-constant over the time horizon. We also provide a framework for modeling random transaction costs and compute the loss of expected utility of an investor faced with random transaction costs. Approximate methods are provided to solve portfolio constraints such as portfolio insurance and draw-down. Finally, we also highlight a lattice based framework for pairs trading

Topology-Awareness and Re-optimization Mechanism for Virtual Network Embedding

Embedding of virtual network (VN) requests on top of a shared physical network poses an intriguing combination of theoretical and practical challenges. Two major problems with the state-of-the-art VN embedding algorithms are their indifference to the underlying substrate topology and their lack of re-optimization mechanisms for already embedded VN requests. We argue that topology-aware embedding together with re-optimization mechanisms can improve the performance of the previous VN embedding algorithms in terms of acceptance ratio and load balancing. The major contributions of this thesis are twofold: (1) we present a mechanism to differentiate among resources based on their importance in the substrate topology, and (2) we propose a set of algorithms for re-optimizing and re-embedding initially-rejected VN requests after fixing their bottleneck requirements. Through extensive simulations, we show that not only our techniques improve the acceptance ratio, but they also provide the added benefit of balancing load better than previous proposals. The metrics we use to validate our techniques are improvement in acceptance ratio, revenue-cost ratio, incurred cost, and distribution of utilization

Table Based Detection of Degenerate Predicates in Free Space Construction

The key to a robust and efficient implementation of a computational geometry algorithm is an efficient algorithm for detecting degenerate predicates. We study degeneracy detection in constructing the free space of a polyhedron that rotates around a fixed axis and translates freely relative to another polyhedron. The structure of the free space is determined by the signs of univariate polynomials, called angle polynomials, whose coefficients are polynomials in the coordinates of the vertices of the polyhedra. Every predicate is expressible as the sign of an angle polynomial f evaluated at a zero t of an angle polynomial g. A predicate is degenerate (the sign is zero) when t is a zero of a common factor of f and g. We present an efficient degeneracy detection algorithm based on a one-time factoring of every possible angle polynomial. Our algorithm is 3500 times faster than the standard algorithm based on greatest common divisor computation. It reduces the share of degeneracy detection in our free space computations from 90% to 0.5% of the running time

Haemodynamics During Induction with Sevoflurane Versus Propofol Using Laryngeal Mask Airways in Forearm Orthopaedic Surgeries in Older Children

Background: To compare the hemodynamicchanges during induction of anesthesia withpropofol and sevoflurane in children undergoingforearm orthopedic surgeries.Methods: In this descriptive study 60 pediatricpatients, scheduled for forearm orthopedic surgicalprocedure under general anesthesia requiring LMAinsertion were included. The selected patients wereallocated into two groups; A (Propofol) and B(Sevoflurane) of 30 each. Group A was induced withIV Propofol 2mg/kg while Group B was induced bysevoflurane 6-8%. Anesthetic induction wassupposedly achieved after loss of eyelash reflex.Results: Compared with base line, both groupsshowed a statistically significant decline in meanarterial pressure after induction. Propofol group (A)showed a larger transient decrease in MAP comparedto sevoflurane group (B) (p<0.001). There was astatistical significant overall greater decline in MAPand heart rate after induction with propofol whencompared with sevoflurane.Conclusion: Sevoflurane provides slightly betterhemodynamic stability compared to propofol duringanesthetic induction

Convalescent plasma in patients admitted to hospital with COVID-19 (RECOVERY): a randomised controlled, open-label, platform trial

SummaryBackground Azithromycin has been proposed as a treatment for COVID-19 on the basis of its immunomodulatoryactions. We aimed to evaluate the safety and efficacy of azithromycin in patients admitted to hospital with COVID-19.Methods In this randomised, controlled, open-label, adaptive platform trial (Randomised Evaluation of COVID-19Therapy [RECOVERY]), several possible treatments were compared with usual care in patients admitted to hospitalwith COVID-19 in the UK. The trial is underway at 176 hospitals in the UK. Eligible and consenting patients wererandomly allocated to either usual standard of care alone or usual standard of care plus azithromycin 500 mg once perday by mouth or intravenously for 10 days or until discharge (or allocation to one of the other RECOVERY treatmentgroups). Patients were assigned via web-based simple (unstratified) randomisation with allocation concealment andwere twice as likely to be randomly assigned to usual care than to any of the active treatment groups. Participants andlocal study staff were not masked to the allocated treatment, but all others involved in the trial were masked to theoutcome data during the trial. The primary outcome was 28-day all-cause mortality, assessed in the intention-to-treatpopulation. The trial is registered with ISRCTN, 50189673, and ClinicalTrials.gov, NCT04381936.Findings Between April 7 and Nov 27, 2020, of 16 442 patients enrolled in the RECOVERY trial, 9433 (57%) wereeligible and 7763 were included in the assessment of azithromycin. The mean age of these study participants was65·3 years (SD 15·7) and approximately a third were women (2944 [38%] of 7763). 2582 patients were randomlyallocated to receive azithromycin and 5181 patients were randomly allocated to usual care alone. Overall,561 (22%) patients allocated to azithromycin and 1162 (22%) patients allocated to usual care died within 28 days(rate ratio 0·97, 95% CI 0·87–1·07; p=0·50). No significant difference was seen in duration of hospital stay (median10 days [IQR 5 to >28] vs 11 days [5 to >28]) or the proportion of patients discharged from hospital alive within 28 days(rate ratio 1·04, 95% CI 0·98–1·10; p=0·19). Among those not on invasive mechanical ventilation at baseline, nosignificant difference was seen in the proportion meeting the composite endpoint of invasive mechanical ventilationor death (risk ratio 0·95, 95% CI 0·87–1·03; p=0·24).Interpretation In patients admitted to hospital with COVID-19, azithromycin did not improve survival or otherprespecified clinical outcomes. Azithromycin use in patients admitted to hospital with COVID-19 should be restrictedto patients in whom there is a clear antimicrobial indication

Free Space Computation for a Polyhedron with Two Translations and One Rotation

We present a robust algorithm for free space construction for a moving polyhedron with three degrees of freedom: two translations and one rotation. The free space is a 3D manifold of all the transformations of a moving polyhedron with respect to an obstacle polyhedron, where there is no overlap between them. The algorithm explicitly constructs a combinatorial representation of the configuration space, where configuration space is the superset of both free space and blocked space. For robust implementation, we use the adaptive control perturbation (ACP) library and we handle identities explicitly. ACP perturbs the input and stores the input as intervals. It computes the signs of the predicate using interval arithmetic. Failed predicates are reevaluated after increasing the precision of its arguments. However algebraically dependent input could yield degenerate predicates and hence any perturbation strategies would fail. We call this type of degeneracy an identity because the predicate is identically zero for all inputs. In our implementation of the free space computation algorithm, we explicitly detect identities by inspecting the input vertices and handle them accordingly. Free space computation algorithms can help in solving other computational geometry problems. The path planning problem, where the goal is to find a path from a start pose of a robot to a goal pose, can be solved using these algorithms. Another application of free space construction algorithms is the maximum clearance problem, which tries to find a path that stays as far away from the obstacle as possible. We validate our free space algorithm by implementing path planning and maximum clearance using our free space construction algorithm

Belief Merging and Judgment Aggregation in Fuzzy Setting

We explore how judgment aggregation and belief merging in the framework of fuzzy logic can help resolve the “Doctrinal Paradox.” We also illustrate the use of fuzzy aggregation functions in social choice theory

Firm heterogeneity and its effects on Firm performance: : A study of Pakistani importing firm’s performance

 Research on the firm's heterogeneity is a well-developed concept in the export context; literature can found in the export context. Previous research can found on firm heterogeneity and firm performance, but they are in export context. On the other hand, importing firms' heterogeneity is less sought in the literature, which we believe as a clear gap in the export-import research stream. Limited research has done in the context of importing firms. The purpose of our thesis is to explore the different forms of heterogeneities that Pakistani importing firms' practices are gaining a competitive advantage. Furthermore, our goal is to examine the extent of heterogeneity dimensions to what contributes to their performances. There is a significant gap in the research field of import. As there is less research in the import context, this will be a fundamental goal of research towards firms' heterogeneity and the importance of a country

Iterative missing data recovery algorithm for non-stationary signals

This paper proposes an iterative algorithm to reconstruct missing samples from non-stationary signals. The proposed algorithm is based on the well-known amplitude-modulation frequency-modulation model for non-stationary signals. The method initially estimates the instantaneous frequencies of the observed multi-component signal. The estimated IFs are then used to de-chirp the corresponding components to convert them into stationary components. Following this, a relatively recent nonparametric iterative missing data recovery procedure is employed to reconstruct the time-varying amplitudes of the signal components. The complete signal is constructed by adding all the estimated components, which is used as an input signal to re-estimate the IFs and time-varying amplitudes in an iterative procedure. Studies based on simulated and real data sets show that the proposed approach provides better estimates as compared to the state of the art