Pessimistic portfolio allocation and Choquet expected utility

Recent developments in the theory of choice under uncertainty and risk yield a pessimistic decision theory that replaces the classical expected utility criterion with a Choquet expectation that accentuates the likelihood of the least favorable outcomes. A parallel theory has recently emerged in the literature on risk assessment. It is shown that a general form of pessimistic portfolio optimization based on the Choquet approach may be formulated as a problem of linear quantile regression.

The impact of viral mutations on recognition by SARS-CoV-2 specific T cells.

We identify amino acid variants within dominant SARS-CoV-2 T cell epitopes by interrogating global sequence data. Several variants within nucleocapsid and ORF3a epitopes have arisen independently in multiple lineages and result in loss of recognition by epitope-specific T cells assessed by IFN-γ and cytotoxic killing assays. Complete loss of T cell responsiveness was seen due to Q213K in the A∗01:01-restricted CD8+ ORF3a epitope FTSDYYQLY207-215; due to P13L, P13S, and P13T in the B∗27:05-restricted CD8+ nucleocapsid epitope QRNAPRITF9-17; and due to T362I and P365S in the A∗03:01/A∗11:01-restricted CD8+ nucleocapsid epitope KTFPPTEPK361-369. CD8+ T cell lines unable to recognize variant epitopes have diverse T cell receptor repertoires. These data demonstrate the potential for T cell evasion and highlight the need for ongoing surveillance for variants capable of escaping T cell as well as humoral immunity.This work is supported by the UK Medical Research Council (MRC); Chinese Academy of Medical Sciences(CAMS) Innovation Fund for Medical Sciences (CIFMS), China; National Institute for Health Research (NIHR)Oxford Biomedical Research Centre, and UK Researchand Innovation (UKRI)/NIHR through the UK Coro-navirus Immunology Consortium (UK-CIC). Sequencing of SARS-CoV-2 samples and collation of data wasundertaken by the COG-UK CONSORTIUM. COG-UK is supported by funding from the Medical ResearchCouncil (MRC) part of UK Research & Innovation (UKRI),the National Institute of Health Research (NIHR),and Genome Research Limited, operating as the Wellcome Sanger Institute. T.I.d.S. is supported by a Well-come Trust Intermediate Clinical Fellowship (110058/Z/15/Z). L.T. is supported by the Wellcome Trust(grant number 205228/Z/16/Z) and by theUniversity of Liverpool Centre for Excellence in Infectious DiseaseResearch (CEIDR). S.D. is funded by an NIHR GlobalResearch Professorship (NIHR300791). L.T. and S.C.M.are also supported by the U.S. Food and Drug Administration Medical Countermeasures Initiative contract75F40120C00085 and the National Institute for Health Research Health Protection Research Unit (HPRU) inEmerging and Zoonotic Infections (NIHR200907) at University of Liverpool inpartnership with Public HealthEngland (PHE), in collaboration with Liverpool School of Tropical Medicine and the University of Oxford.L.T. is based at the University of Liverpool. M.D.P. is funded by the NIHR Sheffield Biomedical ResearchCentre (BRC – IS-BRC-1215-20017). ISARIC4C is supported by the MRC (grant no MC_PC_19059). J.C.K.is a Wellcome Investigator (WT204969/Z/16/Z) and supported by NIHR Oxford Biomedical Research Centreand CIFMS. The views expressed are those of the authors and not necessarily those of the NIHR or MRC

SARS-CoV-2 lineage dynamics in England from September to November 2021: high diversity of Delta sub-lineages and increased transmissibility of AY.4.2

Background: Since the emergence of SARS-CoV-2, evolutionary pressure has driven large increases in the transmissibility of the virus. However, with increasing levels of immunity through vaccination and natural infection the evolutionary pressure will switch towards immune escape. Genomic surveillance in regions of high immunity is crucial in detecting emerging variants that can more successfully navigate the immune landscape. Methods: We present phylogenetic relationships and lineage dynamics within England (a country with high levels of immunity), as inferred from a random community sample of individuals who provided a self-administered throat and nose swab for rt-PCR testing as part of the REal-time Assessment of Community Transmission-1 (REACT-1) study. During round 14 (9 September–27 September 2021) and 15 (19 October–5 November 2021) lineages were determined for 1322 positive individuals, with 27.1% of those which reported their symptom status reporting no symptoms in the previous month. Results: We identified 44 unique lineages, all of which were Delta or Delta sub-lineages, and found a reduction in their mutation rate over the study period. The proportion of the Delta sub-lineage AY.4.2 was increasing, with a reproduction number 15% (95% CI 8–23%) greater than the most prevalent lineage, AY.4. Further, AY.4.2 was less associated with the most predictive COVID-19 symptoms (p = 0.029) and had a reduced mutation rate (p = 0.050). Both AY.4.2 and AY.4 were found to be geographically clustered in September but this was no longer the case by late October/early November, with only the lineage AY.6 exhibiting clustering towards the South of England. Conclusions: As SARS-CoV-2 moves towards endemicity and new variants emerge, genomic data obtained from random community samples can augment routine surveillance data without the potential biases introduced due to higher sampling rates of symptomatic individuals. © 2022, The Author(s)

Investigation of hospital discharge cases and SARS-CoV-2 introduction into Lothian care homes

Summary Background The first epidemic wave of severe acute respiratory syndrome coronavirus-2 (SARS-CoV-2) in Scotland resulted in high case numbers and mortality in care homes. In Lothian, over one-third of care homes reported an outbreak, while there was limited testing of hospital patients discharged to care homes. Aim To investigate patients discharged from hospitals as a source of SARS-CoV-2 introduction into care homes during the first epidemic wave. Methods A clinical review was performed for all patients discharges from hospitals to care homes from 1st March 2020 to 31st May 2020. Episodes were ruled out based on coronavirus disease 2019 (COVID-19) test history, clinical assessment at discharge, whole-genome sequencing (WGS) data and an infectious period of 14 days. Clinical samples were processed for WGS, and consensus genomes generated were used for analysis using Cluster Investigation and Virus Epidemiological Tool software. Patient timelines were obtained using electronic hospital records. Findings In total, 787 patients discharged from hospitals to care homes were identified. Of these, 776 (99%) were ruled out for subsequent introduction of SARS-CoV-2 into care homes. However, for 10 episodes, the results were inconclusive as there was low genomic diversity in consensus genomes or no sequencing data were available. Only one discharge episode had a genomic, time and location link to positive cases during hospital admission, leading to 10 positive cases in their care home. Conclusion The majority of patients discharged from hospitals were ruled out for introduction of SARS-CoV-2 into care homes, highlighting the importance of screening all new admissions when faced with a novel emerging virus and no available vaccine

Genomic reconstruction of the SARS-CoV-2 epidemic in England.

The evolution of the severe acute respiratory syndrome coronavirus 2 (SARS-CoV-2) virus leads to new variants that warrant timely epidemiological characterization. Here we use the dense genomic surveillance data generated by the COVID-19 Genomics UK Consortium to reconstruct the dynamics of 71 different lineages in each of 315 English local authorities between September 2020 and June 2021. This analysis reveals a series of subepidemics that peaked in early autumn 2020, followed by a jump in transmissibility of the B.1.1.7/Alpha lineage. The Alpha variant grew when other lineages declined during the second national lockdown and regionally tiered restrictions between November and December 2020. A third more stringent national lockdown suppressed the Alpha variant and eliminated nearly all other lineages in early 2021. Yet a series of variants (most of which contained the spike E484K mutation) defied these trends and persisted at moderately increasing proportions. However, by accounting for sustained introductions, we found that the transmissibility of these variants is unlikely to have exceeded the transmissibility of the Alpha variant. Finally, B.1.617.2/Delta was repeatedly introduced in England and grew rapidly in early summer 2021, constituting approximately 98% of sampled SARS-CoV-2 genomes on 26 June 2021

Second Order Improvements of Sample Quantiles Using Subsamples

Suppose that X 1 ; ; X n are i.i.d. random variables with distribution function F . It is well known that if F is dierentiable at the -quantile q() with F (q()) > 0 then the sample quantile is asymptotically normal. In this note we compare this standard quantile estimator to one obtained by taking weighted averages of sample quantiles from non-overlapping subsamples or from balanced overlapping subsamples. It is straightforward to show that these \average-of-subsample-quantile" estimators are rst-order equivalent to the standard estimator. Second order properties however dier in an interesting fashion. While the standard estimator might be intuitively expected best, it is possible to outperform that estimator in a certain sense. We also indicate connections to recently developed methods based on averaging of estimates from bootstrap samples (bagging) and from without replacement subsamples (subagging). Finally, we show how results generalize when the standard dierentiability condition on F is relaxed.

Portfolio style: Return-based attribution using quantile regression

Return-based classification identifies a portfolio's style signature in the time series of its returns. Detection is based on a regression of portfolio returns on returns of factor mimicking indices. The method is easy to apply and does not require information about portfolio composition. Classification using least squares means that style is determined by the way factor exposure influences expected returns. We introduce regression quantiles as a complement to the standard analysis. The regression quantiles extract additional information from the time series of returns by identifying the way style affects returns at places other than the expected value. This allows discrimination among portfolios that would be otherwise judged equivalent based on conditional expectations. It also provides direct information about the impact of style on the tails of the conditional return distribution. Simple examples are presented to illustrate regression quantile classification.Quantile Regression · Investment Style · Portfolio Attribution