Asset liability management using stochastic programming

This chapter sets out to explain an important financial planning model called asset liability management (ALM); in particular, it discusses why in practice, optimum planning models are used. The ability to build an integrated approach that combines liability models with that of asset allocation decisions has proved to be desirable and more efficient in that it can lead to better ALM decisions. The role of uncertainty and quantification of risk in these planning models is considered

Software tools for stochastic programming: A Stochastic Programming Integrated Environment (SPInE)

SP models combine the paradigm of dynamic linear programming with modelling of random parameters, providing optimal decisions which hedge against future uncertainties. Advances in hardware as well as software techniques and solution methods have made SP a viable optimisation tool. We identify a growing need for modelling systems which support the creation and investigation of SP problems. Our SPInE system integrates a number of components which include a flexible modelling tool (based on stochastic extensions of the algebraic modelling languages AMPL and MPL), stochastic solvers, as well as special purpose scenario generators and database tools. We introduce an asset/liability management model and illustrate how SPInE can be used to create and process this model as a multistage SP application

A review of portfolio planning: Models and systems

In this chapter, we first provide an overview of a number of portfolio planning models which have been proposed and investigated over the last forty years. We revisit the mean-variance (M-V) model of Markowitz and the construction of the risk-return efficient frontier. A piecewise linear approximation of the problem through a reformulation involving diagonalisation of the quadratic form into a variable separable function is also considered. A few other models, such as, the Mean Absolute Deviation (MAD), the Weighted Goal Programming (WGP) and the Minimax (MM) model which use alternative metrics for risk are also introduced, compared and contrasted. Recently asymmetric measures of risk have gained in importance; we consider a generic representation and a number of alternative symmetric and asymmetric measures of risk which find use in the evaluation of portfolios. There are a number of modelling and computational considerations which have been introduced into practical portfolio planning problems. These include: (a) buy-in thresholds for assets, (b) restriction on the number of assets (cardinality constraints), (c) transaction roundlot restrictions. Practical portfolio models may also include (d) dedication of cashflow streams, and, (e) immunization which involves duration matching and convexity constraints. The modelling issues in respect of these features are discussed. Many of these features lead to discrete restrictions involving zero-one and general integer variables which make the resulting model a quadratic mixed-integer programming model (QMIP). The QMIP is a NP-hard problem; the algorithms and solution methods for this class of problems are also discussed. The issues of preparing the analytic data (financial datamarts) for this family of portfolio planning problems are examined. We finally present computational results which provide some indication of the state-of-the-art in the solution of portfolio optimisation problems

Muscle and liver transcriptome characterization and genetic marker discovery in the farmed meagre, Argyrosomus regius

Meagre (Argyrosomus regius), a teleost fish of the family Sciaenidae, is part of a group of marine fish species considered new for Mediterranean aquaculture representing the larger fish cultured in the region. Meagre aquaculture started ~ 25 years ago in West Mediterranean, and the supply of juveniles has been dominated by few hatcheries. This fact has raised concerns on possible inbreeding, urging the need for genetic information on the species and for an assessment of the polymorphisms found in the genome. To that end we characterized the muscle and liver transcriptome of a pool of meagre individuals, from different families and phenotypic size, to obtain a backbone that can support future studies regarding physiology, immunology and genetics of the species. The assembled transcripts were assigned to a wide range of biological processes including growth, reproduction, metabolism, development, stress and behavior. Then, to infer its genetic diversity and provide a catalogue of markers for future use, we scanned the reconstructed transcripts for polymorphic genetic markers. Our search revealed a total of 42,933 high quality SNP and 20,581 STR markers. We found a relatively low rate of polymorphism in the transcriptome that may indicate that inbreeding has taken place. This study has led to a catalogue of genetic markers at the expressed part of the genome and has set the ground for understanding growth and other traits of interest in meagre.info:eu-repo/semantics/acceptedVersio

Coarse-Graining and Self-Dissimilarity of Complex Networks

Can complex engineered and biological networks be coarse-grained into smaller and more understandable versions in which each node represents an entire pattern in the original network? To address this, we define coarse-graining units (CGU) as connectivity patterns which can serve as the nodes of a coarse-grained network, and present algorithms to detect them. We use this approach to systematically reverse-engineer electronic circuits, forming understandable high-level maps from incomprehensible transistor wiring: first, a coarse-grained version in which each node is a gate made of several transistors is established. Then, the coarse-grained network is itself coarse-grained, resulting in a high-level blueprint in which each node is a circuit-module made of multiple gates. We apply our approach also to a mammalian protein-signaling network, to find a simplified coarse-grained network with three main signaling channels that correspond to cross-interacting MAP-kinase cascades. We find that both biological and electronic networks are 'self-dissimilar', with different network motifs found at each level. The present approach can be used to simplify a wide variety of directed and nondirected, natural and designed networks.Comment: 11 pages, 11 figure

Cross-protection against European swine influenza viruses in the context of infection immunity against the 2009 pandemic H1N1 virus : studies in the pig model of influenza

Pigs are natural hosts for the same influenza virus subtypes as humans and are a valuable model for cross-protection studies with influenza. In this study, we have used the pig model to examine the extent of virological protection between a) the 2009 pandemic H1N1 (pH1N1) virus and three different European H1 swine influenza virus (SIV) lineages, and b) these H1 viruses and a European H3N2 SIV. Pigs were inoculated intranasally with representative strains of each virus lineage with 6- and 17-week intervals between H1 inoculations and between H1 and H3 inoculations, respectively. Virus titers in nasal swabs and/or tissues of the respiratory tract were determined after each inoculation. There was substantial though differing cross-protection between pH1N1 and other H1 viruses, which was directly correlated with the relatedness in the viral hemagglutinin (HA) and neuraminidase (NA) proteins. Cross-protection against H3N2 was almost complete in pigs with immunity against H1N2, but was weak in H1N1/pH1N1-immune pigs. In conclusion, infection with a live, wild type influenza virus may offer substantial cross-lineage protection against viruses of the same HA and/or NA subtype. True heterosubtypic protection, in contrast, appears to be minimal in natural influenza virus hosts. We discuss our findings in the light of the zoonotic and pandemic risks of SIVs

Aldosterone signaling through transient receptor potential melastatin 7 cation channel (TRPM7) and its α-kinase domain

We demonstrated a role for the Mg2 + transporter TRPM7, a bifunctional protein with channel and α-kinase domains, in aldosterone signaling. Molecular mechanisms underlying this are elusive. Here we investigated the function of TRPM7 and its α-kinase domain on Mg2 + and pro-inflammatory signaling by aldosterone. Kidney cells (HEK-293) expressing wild-type human TRPM7 (WThTRPM7) or constructs in which the α-kinase domain was deleted (ΔKinase) or rendered inactive with a point mutation in the ATP binding site of the α-kinase domain (K1648R) were studied. Aldosterone rapidly increased [Mg2 +]i and stimulated NADPH oxidase-derived generation of reactive oxygen species (ROS) in WT hTRPM7 and TRPM7 kinase dead mutant cells. Translocation of annexin-1 and calpain-II and spectrin cleavage (calpain target) were increased by aldosterone in WT hTRPM7 cells but not in α-kinase-deficient cells. Aldosterone stimulated phosphorylation of MAP kinases and increased expression of pro-inflammatory mediators ICAM-1, Cox-2 and PAI-1 in Δkinase and K1648R cells, effects that were inhibited by eplerenone (mineralocorticoid receptor (MR) blocker). 2-APB, a TRPM7 channel inhibitor, abrogated aldosterone-induced Mg2 + responses in WT hTRPM7 and mutant cells. In 2-APB-treated ΔKinase and K1648R cells, aldosterone-stimulated inflammatory responses were unchanged. These data indicate that aldosterone stimulates Mg2 + influx and ROS production in a TRPM7-sensitive, kinase-insensitive manner, whereas activation of annexin-1 requires the TRPM7 kinase domain. Moreover TRPM7 α-kinase modulates inflammatory signaling by aldosterone in a TRPM7 channel/Mg2 +-independent manner. Our findings identify novel mechanisms for non-genomic actions of aldosterone involving differential signaling through MR-activated TRPM7 channel and α-kinase

Activation of c-Jun N-Terminal Kinase (JNK) during Mitosis in Retinal Progenitor Cells

Most studies of c-Jun N-terminal Kinase (JNK) activation in retinal tissue were done in the context of neurodegeneration. In this study, we investigated the behavior of JNK during mitosis of progenitor cells in the retina of newborn rats. Retinal explants from newborn rats were kept in vitro for 3 hours and under distinct treatments. Sections of retinal explants or freshly fixed retinal tissue were used to detect JNK phosphorylation by immunohistochemistry, and were examined through both fluorescence and confocal microscopy. Mitotic cells were identified by chromatin morphology, histone-H3 phosphorylation, and location in the retinal tissue. The subcellular localization of proteins was analyzed by double staining with both a DNA marker and an antibody to each protein. Phosphorylation of JNK was also examined by western blot. The results showed that in the retina of newborn rats (P1), JNK is phosphorylated during mitosis of progenitor cells, mainly during the early stages of mitosis. JNK1 and/or JNK2 were preferentially phosphorylated in mitotic cells. Inhibition of JNK induced cell cycle arrest, specifically in mitosis. Treatment with the JNK inhibitor decreased the number of cells in anaphase, but did not alter the number of cells in either prophase/prometaphase or metaphase. Moreover, cells with aberrant chromatin morphology were found after treatment with the JNK inhibitor. The data show, for the first time, that JNK is activated in mitotic progenitor cells of developing retinal tissue, suggesting a new role of JNK in the control of progenitor cell proliferation in the retina

A Single Nucleotide Polymorphism in the RASGRF2 Gene Is Associated with Alcoholic Liver Cirrhosis in Men

Background Genetic polymorphisms in the RAS gene family are associated with different diseases, which may include alcohol-related disorders. Previous studies showed an association of the allelic variant rs26907 in RASGRF2 gene with higher alcohol intake. Additionally, the rs61764370 polymorphism in the KRAS gene is located in a binding site for the let-7 micro-RNA family, which is potentially involved in alcohol-induced inflammation. Therefore, this study was designed to explore the association between these two polymorphisms and susceptibility to alcoholism or alcoholic liver disease (ALD). Methods We enrolled 301 male alcoholic patients and 156 healthy male volunteers in this study. Polymorphisms were genotyped by using TaqMan® PCR assays for allelic discrimination. Allelic and genotypic frequencies were compared between the two groups. Logistic regression analysis was performed to analyze the inheritance model. Results The A allele of the RASGRF2 polymorphism (rs26907) was significantly more prevalent among alcoholic patients with cirrhosis (23.2%) compared to alcoholic patients without ALD (14.2%). This difference remained significant in the group of patients with alcohol dependence (28.8% vs. 14.3%) but not in those with alcohol abuse (15.1% vs. 14.4%). Multivariable logistic regression analysis showed that the A allele of this polymorphism (AA or GA genotype) was associated with alcoholic cirrhosis both in the total group of alcoholics (odds ratio [OR]: 2.33, 95% confidence interval [CI]: 1.32–4.11; P = 0.002) and in the group of patients with alcohol dependence (OR: 3.1, 95% CI: 1.50–6.20; P = 0.001). Allelic distributions of the KRAS polymorphism (rs61764370) did not differ between the groups. Conclusions To our knowledge, this genetic association study represents the first to show an association of the RASGRF2 G>A (rs26907) polymorphism with ALD in men, particularly in the subgroup of patients with AD. The findings suggest the potential relevance of the RAS gene family in alcoholism and ALD