9 research outputs found
Portfolio selection problems in practice: a comparison between linear and quadratic optimization models
Several portfolio selection models take into account practical limitations on
the number of assets to include and on their weights in the portfolio. We
present here a study of the Limited Asset Markowitz (LAM), of the Limited Asset
Mean Absolute Deviation (LAMAD) and of the Limited Asset Conditional
Value-at-Risk (LACVaR) models, where the assets are limited with the
introduction of quantity and cardinality constraints. We propose a completely
new approach for solving the LAM model, based on reformulation as a Standard
Quadratic Program and on some recent theoretical results. With this approach we
obtain optimal solutions both for some well-known financial data sets used by
several other authors, and for some unsolved large size portfolio problems. We
also test our method on five new data sets involving real-world capital market
indices from major stock markets. Our computational experience shows that,
rather unexpectedly, it is easier to solve the quadratic LAM model with our
algorithm, than to solve the linear LACVaR and LAMAD models with CPLEX, one of
the best commercial codes for mixed integer linear programming (MILP) problems.
Finally, on the new data sets we have also compared, using out-of-sample
analysis, the performance of the portfolios obtained by the Limited Asset
models with the performance provided by the unconstrained models and with that
of the official capital market indices
Iron Behaving Badly: Inappropriate Iron Chelation as a Major Contributor to the Aetiology of Vascular and Other Progressive Inflammatory and Degenerative Diseases
The production of peroxide and superoxide is an inevitable consequence of
aerobic metabolism, and while these particular "reactive oxygen species" (ROSs)
can exhibit a number of biological effects, they are not of themselves
excessively reactive and thus they are not especially damaging at physiological
concentrations. However, their reactions with poorly liganded iron species can
lead to the catalytic production of the very reactive and dangerous hydroxyl
radical, which is exceptionally damaging, and a major cause of chronic
inflammation. We review the considerable and wide-ranging evidence for the
involvement of this combination of (su)peroxide and poorly liganded iron in a
large number of physiological and indeed pathological processes and
inflammatory disorders, especially those involving the progressive degradation
of cellular and organismal performance. These diseases share a great many
similarities and thus might be considered to have a common cause (i.e.
iron-catalysed free radical and especially hydroxyl radical generation). The
studies reviewed include those focused on a series of cardiovascular, metabolic
and neurological diseases, where iron can be found at the sites of plaques and
lesions, as well as studies showing the significance of iron to aging and
longevity. The effective chelation of iron by natural or synthetic ligands is
thus of major physiological (and potentially therapeutic) importance. As
systems properties, we need to recognise that physiological observables have
multiple molecular causes, and studying them in isolation leads to inconsistent
patterns of apparent causality when it is the simultaneous combination of
multiple factors that is responsible. This explains, for instance, the
decidedly mixed effects of antioxidants that have been observed, etc...Comment: 159 pages, including 9 Figs and 2184 reference
Rare event probabilities in stochastic networks
Cross entropy, Importance sampling, Rare events, Shortest path, Exponential and beta distribution,