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

Context-dependent effects of abandonment vs. grazing on functional composition and diversity of sub-Mediterranean grasslands

Though the interplay of grazing intensity and the availability of resources is a key driver in grassland composition, very few studies focused on trait changes after abandonment along productivity gradients. Through a comparative approach, we aimed to assess the context-dependent effects of long-term grazing cessation on functional composition and diversity in sub-Mediterranean grasslands. We hypothesized that variability of topography, soil and vegetation structure on a fine scale drives the trait-based dynamics after long-term abandonment, also influencing the patterns of functional diversity. On a calcareous mountain ridge of central Italy, we collected data on species cover and traits, site characteristics, soil depth and vegetation structure in 0.5 m × 0.5 m plots located in extensively grazed pastures and in grasslands abandoned since the early 1970s. We analysed patterns of species and traits in relation to environmental variables and management type, and trends in functional diversity (FD, Rao’s quadratic entropy) along a productivity gradient. We found that grazing cessation reduced the overall FD and that the direction of species and trait response after long-term grazing cessation were affected, on a fine scale, by the soil depth / productivity gradient. In dryer conditions, species and functional responses were less affected by abandonment, and were devoted to resistance to both stress and disturbance. In abandoned pastures we detected a significant decrease in FD with increasing productivity, leading to a shift from functional strategies devoted to grazing avoidance and tolerance to those devoted to competition for light and resource acquisition. This trend was related to the filtering effect of coarse tall grasses, which spread in highly productive conditions. In grazed grasslands, we detected an overall increasing trend of FD with increasing productivity, confirming the key role of extensive grazing in maintaining high levels of FD

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

Solving the Puzzling Absolute Configuration Determination of a Flexible Molecule by Vibrational and Electronic Circular Dichroism Spectroscopies and DFT Calculations: The Case Study of a Chiral 2,2_-Dinitro-2,2_-biaziridine

The absolute configuration of a recently synthesized racemate of 2,2-dinitro-2,2-biaziridine (2a), a possible catalyst for asymmetric synthesis, has been determined by vibrational circular dichroism (VCD) spectroscopy in the mid-IR region and DFT calculations. Electronic circular dichroism (ECD) spectra have been obtained and Time-Dependent DFT (TDDFT) calculations have been performed and found to be inagreement with the conclusions from VCD and DFT. A detailed conformational analysis, for approximately 300 geometries, has been carried out, allowing us to find evidence for the most populated conformers chiefly contributing to VCD and ECD spectra. The proposed absolute configuration and prevalent conformers are in correspondence with an equal configuration of the nitrogen atoms of the two aziridine rings

Gitelman syndrome associated with chondrocalcinosis: description of two cases

Gitelman syndrome is a rare inherited tubulopathy, characterized by hypomagnesemia, hypokalemia, metabolic alkalosis, hypocalciuria and hyperreninemic hyperaldosteronism. The clinical spectrum is wide and includes: cramps, myalgies, muscle weakness, until episodes of carpo-podalic spasm, tetania, rabdomyolisis and paralysis. Some cases have been described in literature underlining the association of this condition with chondrocalcinosis, as a typical example of hypomagnesemia-induced crystal deposition disease. The therapy of Gitelman syndrome consists on the administration of defective electrolytes, althought not always effective. We describe two cases of Gitelman syndrome associated with chondrocalcinosis showing the wide range of presentation of this clinical condition

On the composition of convex envelopes for quadrilinear terms

International audienceWithin the framework of the spatial Branch-and-Bound algorithm for solving Mixed-Integer Nonlinear Programs, different convex relaxations can be obtained for multilinear terms by applying associativity in different ways. The two groupings ((x1x2)x3)x4 and (x1x2x3)x4 of a quadrilinear term, for example, give rise to two different convex relaxations. In [6] we prove that having fewer groupings of longer terms yields tighter convex relaxations. In this paper we give an alternative proof of the same fact and perform a computational study to assess the impact of the tightened convex relaxation in a spatial Branch-and-Bound setting

Apelin system in mammary gland of sheep reared in semi-natural pastures of the central apennines

Sheep are the most bred species in the Central Italy Apennine using the natural pastures as a trophic resource and grazing activity is fundamental to maintain the grassland biodiversity: this goal can be reached only ensuring an economical sustainability to the farmers. This study aimed to investigate the apelin/apelin receptor system in ovine mammary gland and to evaluate the differences induced by food supplementation, in order to shed light on this system function. A flock of 15 Comisana x Appenninica adult dry ewes were free to graze from June until pasture maximum flowering (MxF). From this period to pasture maximum dryness (MxD), in addition to grazing, the experimental group (Exp) was supplemented with 600 g/day/head of cereals. Apelin and apelin receptor were assessed by Real-Time PCR and immunohistochemistry on the mammary glands of subjects pertaining to MxF, MxD and Exp groups. They were detected in alveolar and ductal epithelial cells. The pasture maximum flowering group showed significant differences in apelin expression compared with experimental and MxD groups. Apelin receptor expression significantly differed among the three groups. The reduced apelin receptor expression and immunoreactivity levels during parenchyma involution enables us to hypothesize that apelin receptor plays a modulating role in the system control

Notulae to the Italian alien vascular flora: 15

In this contribution, new data concerning the distribution of vascular flora alien to Italy are presented. It includes new records, confirmations, exclusions for Italy or for Italian administrative regions. Nomenclatural and distribution updates, published elsewhere, and corrections are provided as Suppl. material 1