A Closed-Form Solution of the Multi-Period Portfolio Choice Problem for a Quadratic Utility Function

In the present paper, we derive a closed-form solution of the multi-period portfolio choice problem for a quadratic utility function with and without a riskless asset. All results are derived under weak conditions on the asset returns. No assumption on the correlation structure between different time points is needed and no assumption on the distribution is imposed. All expressions are presented in terms of the conditional mean vectors and the conditional covariance matrices. If the multivariate process of the asset returns is independent it is shown that in the case without a riskless asset the solution is presented as a sequence of optimal portfolio weights obtained by solving the single-period Markowitz optimization problem. The process dynamics are included only in the shape parameter of the utility function. If a riskless asset is present then the multi-period optimal portfolio weights are proportional to the single-period solutions multiplied by time-varying constants which are depending on the process dynamics. Remarkably, in the case of a portfolio selection with the tangency portfolio the multi-period solution coincides with the sequence of the simple-period solutions. Finally, we compare the suggested strategies with existing multi-period portfolio allocation methods for real data.Comment: 38 pages, 9 figures, 3 tables, changes: VAR(1)-CCC-GARCH(1,1) process dynamics and the analysis of increasing horizon are included in the simulation study, under revision in Annals of Operations Researc

Ligation Tunes Protein Reactivity in an Ancient Haemoglobin: Kinetic Evidence for an Allosteric Mechanism in Methanosarcina acetivorans Protoglobin

Protoglobin from Methanosarcina acetivorans (MaPgb) is a dimeric globin with peculiar structural properties such as a completely buried haem and two orthogonal tunnels connecting the distal cavity to the solvent. CO binding to and dissociation from MaPgb occur through a biphasic kinetics. We show that the heterogenous kinetics arises from binding to (and dissociation from) two tertiary conformations in ligation-dependent equilibrium. Ligation favours the species with high binding rate (and low dissociation rate). The equilibrium is shifted towards the species with low binding (and high dissociation) rates for the unliganded molecules. A quantitative model is proposed to describe the observed carbonylation kinetics

Neutrophils in cancer: neutral no more

Neutrophils are indispensable antagonists of microbial infection and facilitators of wound healing. In the cancer setting, a newfound appreciation for neutrophils has come into view. The traditionally held belief that neutrophils are inert bystanders is being challenged by the recent literature. Emerging evidence indicates that tumours manipulate neutrophils, sometimes early in their differentiation process, to create diverse phenotypic and functional polarization states able to alter tumour behaviour. In this Review, we discuss the involvement of neutrophils in cancer initiation and progression, and their potential as clinical biomarkers and therapeutic targets

Conformational Determinants of Phosphotyrosine Peptides Complexed with the Src SH2 Domain

The inhibition of specific SH2 domain mediated protein-protein interactions as an effective chemotherapeutic approach in the treatment of diseases remains a challenge. That different conformations of peptide-ligands are preferred by different SH2 domains is an underappreciated observation from the structural analysis of phosphotyrosine peptide binding to SH2 domains that may aid in future drug design. To explore the nature of ligand binding, we use simulated annealing (SA) to sample the conformational space of phosphotyrosine-containing peptides complexed with the Src SH2 domain. While in good agreement with the crystallographic and NMR studies of high-affinity phosphopeptide-SH2 domain complexes, the results suggest that the structural basis for phopsphopeptide- Src SH2 interactions is more complex than the “two-pronged plug two-hole socket” model. A systematic study of peptides of type pYEEX, where pY is phosphotyrosine and X is a hydrophobic residue, indicates that these peptides can assume two conformations, one extended and one helical, representing the balance between the interaction of residue X with the hydrophobic hole on the surface of the Src SH2 domain, and its contribution to the inherent tendency of the two glutamic acids to form an α-helix. In contrast, a β-turn conformation, almost identical to that observed in the crystal structure of pYVNV bound to the Grb2 SH2 domain, predominates for pYXNX peptides, even in the presence of isoleucine at the third position. While peptide binding affinities, as measured by fluorescence polarization, correlate with the relative proportion of extended peptide conformation, these results suggest a model where all three residues C-terminal to the phosphotyrosine determine the conformation of the bound phosphopeptide. The information obtained in this work can be used in the design of specific SH2 domain inhibitors

Global Considerations in Hierarchical Clustering Reveal Meaningful Patterns in Data

BACKGROUND: A hierarchy, characterized by tree-like relationships, is a natural method of organizing data in various domains. When considering an unsupervised machine learning routine, such as clustering, a bottom-up hierarchical (BU, agglomerative) algorithm is used as a default and is often the only method applied. METHODOLOGY/PRINCIPAL FINDINGS: We show that hierarchical clustering that involve global considerations, such as top-down (TD, divisive), or glocal (global-local) algorithms are better suited to reveal meaningful patterns in the data. This is demonstrated, by testing the correspondence between the results of several algorithms (TD, glocal and BU) and the correct annotations provided by experts. The correspondence was tested in multiple domains including gene expression experiments, stock trade records and functional protein families. The performance of each of the algorithms is evaluated by statistical criteria that are assigned to clusters (nodes of the hierarchy tree) based on expert-labeled data. Whereas TD algorithms perform better on global patterns, BU algorithms perform well and are advantageous when finer granularity of the data is sought. In addition, a novel TD algorithm that is based on genuine density of the data points is presented and is shown to outperform other divisive and agglomerative methods. Application of the algorithm to more than 500 protein sequences belonging to ion-channels illustrates the potential of the method for inferring overlooked functional annotations. ClustTree, a graphical Matlab toolbox for applying various hierarchical clustering algorithms and testing their quality is made available. CONCLUSIONS: Although currently rarely used, global approaches, in particular, TD or glocal algorithms, should be considered in the exploratory process of clustering. In general, applying unsupervised clustering methods can leverage the quality of manually-created mapping of proteins families. As demonstrated, it can also provide insights in erroneous and missed annotations

Measurement of the inclusive and dijet cross-sections of b-jets in pp collisions at sqrt(s) = 7 TeV with the ATLAS detector

The inclusive and dijet production cross-sections have been measured for jets containing b-hadrons (b-jets) in proton-proton collisions at a centre-of-mass energy of sqrt(s) = 7 TeV, using the ATLAS detector at the LHC. The measurements use data corresponding to an integrated luminosity of 34 pb^-1. The b-jets are identified using either a lifetime-based method, where secondary decay vertices of b-hadrons in jets are reconstructed using information from the tracking detectors, or a muon-based method where the presence of a muon is used to identify semileptonic decays of b-hadrons inside jets. The inclusive b-jet cross-section is measured as a function of transverse momentum in the range 20 < pT < 400 GeV and rapidity in the range |y| < 2.1. The bbbar-dijet cross-section is measured as a function of the dijet invariant mass in the range 110 < m_jj < 760 GeV, the azimuthal angle difference between the two jets and the angular variable chi in two dijet mass regions. The results are compared with next-to-leading-order QCD predictions. Good agreement is observed between the measured cross-sections and the predictions obtained using POWHEG + Pythia. MC@NLO + Herwig shows good agreement with the measured bbbar-dijet cross-section. However, it does not reproduce the measured inclusive cross-section well, particularly for central b-jets with large transverse momenta.Comment: 10 pages plus author list (21 pages total), 8 figures, 1 table, final version published in European Physical Journal

Fine Mapping of Posttranslational Modifications of the Linker Histone H1 from Drosophila melanogaster

The linker histone H1 binds to the DNA in between adjacent nucleosomes and contributes to chromatin organization and transcriptional control. It is known that H1 carries diverse posttranslational modifications (PTMs), including phosphorylation, lysine methylation and ADP-ribosylation. Their biological functions, however, remain largely unclear. This is in part due to the fact that most of the studies have been performed in organisms that have several H1 variants, which complicates the analyses. We have chosen Drosophila melanogaster, a model organism, which has a single H1 variant, to approach the study of the role of H1 PTMs during embryonic development. Mass spectrometry mapping of the entire sequence of the protein showed phosphorylation only in the ten N-terminal amino acids, mostly at S10. For the first time, changes in the PTMs of a linker H1 during the development of a multicellular organism are reported. The abundance of H1 monophosphorylated at S10 decreases as the embryos age, which suggests that this PTM is related to cell cycle progression and/or cell differentiation. Additionally, we have found a polymorphism in the protein sequence that can be mistaken with lysine methylation if the analysis is not rigorous

Chemoprevention of Colonic Polyps with Balsalazide: An Exploratory, Double-Blind, Placebo-Controlled Study

A number of agents, including aspirin, nonsteroidal antiinflammatory drugs, cyclooxygenase-2 inhibitors, folic acid, calcium, and vitamins, have been evaluated for their potential in chemoprevention of sporadic colorectal adenomas or cancer. Preclinical data suggest that 5-aminosalicylates also may have a chemopreventive effect. To investigate chemoprevention of colonic polyps with balsalazide, a 5-aminosalicylate prodrug. In this randomized, double-blind, placebo-controlled study, adults diagnosed with small polyps in the rectosigmoid colon were treated with either balsalazide 3 g/d or placebo for 6 months. Follow-up lower endoscopy was performed, and all polyps were measured and analyzed histologically. The primary endpoint was reduction in mean size of the largest polyp per subject. Among 241 participants screened, 86 were randomized to treatment, with 75 subjects evaluable. Balsalazide 3 g/d (n = 38) did not significantly reduce the mean size of the largest colonic polyp or the number of polyps compared with placebo (n = 37). Although not significant, post-hoc analysis revealed that total adenoma burden per subject, calculated as the sum of the volumes of all adenomas in mm3, increased by 55% in the balsalazide group compared with 95% in the placebo group. Although balsalazide did not have significant chemopreventive effects on established colonic polyps, these results can aid in designing future prospective studies

Equine dendritic cells generated with horse serum have enhanced functionality in comparison to dendritic cells generated with fetal bovine serum

BACKGROUND: Dendritic cells are professional antigen-presenting cells that play an essential role in the initiation and modulation of T cell responses. They have been studied widely for their potential clinical applications, but for clinical use to be successful, alternatives to xenogeneic substances like fetal bovine serum (FBS) in cell culture need to be found. Protocols for the generation of dendritic cells ex vivo from monocytes are well established for several species, including horses. Currently, the gold standard protocol for generating dendritic cells from monocytes across various species relies upon a combination of GM-CSF and IL-4 added to cell culture medium which is supplemented with FBS. The aim of this study was to substitute FBS with heterologous horse serum. For this purpose, equine monocyte-derived dendritic cells (eqMoDC) were generated in the presence of horse serum or FBS and analysed for the effect on morphology, phenotype and immunological properties. Changes in the expression of phenotypic markers (CD14, CD86, CD206) were assessed during dendritic cell maturation by flow cytometry. To obtain a more complete picture of the eqMoDC differentiation and assess possible differences between FBS- and horse serum-driven cultures, a transcriptomic microarray analysis was performed. Lastly, immature eqMoDC were primed with a primary antigen (ovalbumin) or a recall antigen (tetanus toxoid) and, after maturation, were co-cultured with freshly isolated autologous CD5+ T lymphocytes to assess their T cell stimulatory capacity. RESULTS: The microarray analysis demonstrated that eqMoDC generated with horse serum were indistinguishable from those generated with FBS. However, eqMoDC incubated with horse serum-supplemented medium exhibited a more characteristic dendritic cell morphology during differentiation from monocytes. A significant increase in cell viability was also observed in eqMoDC cultured with horse serum. Furthermore, eqMoDC generated in the presence of horse serum were found to be superior in their functional T lymphocyte priming capacity and to elicit significantly less non-specific proliferation. CONCLUSIONS: EqMoDC generated with horse serum-supplemented medium showed improved morphological characteristics, higher cell viability and exhibited a more robust performance in the functional T cell assays. Therefore, horse serum was found to be superior to FBS for generating equine monocyte-derived dendritic cells

Jet energy measurement with the ATLAS detector in proton-proton collisions at root s=7 TeV

The jet energy scale and its systematic uncertainty are determined for jets measured with the ATLAS detector at the LHC in proton-proton collision data at a centre-of-mass energy of √s = 7TeV corresponding to an integrated luminosity of 38 pb-1. Jets are reconstructed with the anti-kt algorithm with distance parameters R=0. 4 or R=0. 6. Jet energy and angle corrections are determined from Monte Carlo simulations to calibrate jets with transverse momenta pT≥20 GeV and pseudorapidities {pipe}η{pipe}<4. 5. The jet energy systematic uncertainty is estimated using the single isolated hadron response measured in situ and in test-beams, exploiting the transverse momentum balance between central and forward jets in events with dijet topologies and studying systematic variations in Monte Carlo simulations. The jet energy uncertainty is less than 2. 5 % in the central calorimeter region ({pipe}η{pipe}<0. 8) for jets with 60≤pT<800 GeV, and is maximally 14 % for pT<30 GeV in the most forward region 3. 2≤{pipe}η{pipe}<4. 5. The jet energy is validated for jet transverse momenta up to 1 TeV to the level of a few percent using several in situ techniques by comparing a well-known reference such as the recoiling photon pT, the sum of the transverse momenta of tracks associated to the jet, or a system of low-pT jets recoiling against a high-pT jet. More sophisticated jet calibration schemes are presented based on calorimeter cell energy density weighting or hadronic properties of jets, aiming for an improved jet energy resolution and a reduced flavour dependence of the jet response. The systematic uncertainty of the jet energy determined from a combination of in situ techniques is consistent with the one derived from single hadron response measurements over a wide kinematic range. The nominal corrections and uncertainties are derived for isolated jets in an inclusive sample of high-pT jets. Special cases such as event topologies with close-by jets, or selections of samples with an enhanced content of jets originating from light quarks, heavy quarks or gluons are also discussed and the corresponding uncertainties are determined. © 2013 CERN for the benefit of the ATLAS collaboration