Dynamic Currency Hedging with Non-Gaussianity and Ambiguity

This paper introduces a non-Gaussian dynamic currency hedging strategy for globally diversified investors with ambiguity. Assuming that ambiguity of a typical investor can be measured from market data, we associate it to non-Gaussianity of financial asset returns and compute an optimal ambiguity-adjusted mean-variance (dynamic) currency allocation. Next, we extend the filtered historical simulation method to numerically optimize an arbitrary risk measure, such as the expected shortfall. The out-of-sample backtest results show that the derived non-Gaussian dynamic currency hedging strategy outperforms the benchmarks of constant hedging and dynamic hedging with Gaussianity for all base currencies and net of transaction costs

A Unified Framework for Fast Large-Scale Portfolio Optimization

We introduce a unified framework for rapid, large-scale portfolio optimization that incorporates both shrinkage and regularization techniques. This framework addresses multiple objectives, including minimum variance, mean-variance, and the maximum Sharpe ratio, and also adapts to various portfolio weight constraints. For each optimization scenario, we detail the translation into the corresponding quadratic programming (QP) problem and then integrate these solutions into a new open-source Python library. Using 50 years of return data from US mid to large-sized companies, and 33 distinct firm-specific characteristics, we utilize our framework to assess the out-of-sample monthly rebalanced portfolio performance of widely-adopted covariance matrix estimators and factor models, examining both daily and monthly returns. These estimators include the sample covariance matrix, linear and nonlinear shrinkage estimators, and factor portfolios based on Asset Pricing (AP) Trees, Principal Component Analysis (PCA), Risk Premium PCA (RP-PCA), and Instrumented PCA (IPCA). Our findings emphasize that AP-Trees and PCA-based factor models consistently outperform all other approaches in out-of-sample portfolio performance. Finally, we develop new l1 and l2 regularizations of factor portfolio norms which not only elevate the portfolio performance of AP-Trees and PCA-based factor models but they have a potential to reduce an excessive turnover and transaction costs often associated with these models.Comment: 35 pages, 11 figure

Heterogeneous Tail Generalized Common Factor Modeling

A multivariate normal mean-variance heterogeneous tails mixture distribution is proposed for the joint distribution of financial factors and asset returns (referred to as Factor-HGH). The proposed latent variable model incorporates a Cholesky decomposition of the dispersion matrix to ensure a rich dependency structure for capturing the stylized facts of the data. It generalizes several existing model structures, with or without financial factors. It is further applicable in large dimensions due to a fast ECME estimation algorithm of all the model parameters. The advantages of modelling financial factors and asset returns jointly under non-Gaussian errors are illustrated in an empirical comparison study between the proposed Factor-HGH model and classical financial factor models. While the results for the Fama-French 49 industry portfolios are in line with Gaussian-based models, in the case of highly tail heterogeneous cryptocurrencies, the portfolio based on the Factor HGH model doubles the average return while keeping the volatility, the maximum drawdown, the turnover, and the expected-shortfall at a low level

Complementarity in quantum walks

We study discrete-time quantum walks on $d$-cycles with a position and coin-dependent phase-shift. Such a model simulates a dynamics of a quantum particle moving on a ring with an artificial gauge field. In our case the amplitude of the phase-shift is governed by a single discrete parameter $q$. We solve the model analytically and observe that for prime $d$ there exists a strong complementarity property between the eigenvectors of two quantum walk evolution operators that act in the $2d$-dimensional Hilbert space. Namely, if $d$ is prime the corresponding eigenvectors of the evolution operators obey $|\langle v_q|v'_{q'} \rangle| \leq 1/\sqrt{d}$ for $q\neq q'$ and for all $|v_q\rangle$ and $|v'_{q'}\rangle$. We also discuss dynamical consequences of this complementarity. Finally, we show that the complementarity is still present in the continuous version of this model, which corresponds to a one-dimensional Dirac particle.Comment: 5+7 pages, 2 figures, comments welcom

The relationships between the isoelectric point and: length of proteins, taxonomy and ecology of organisms

<p>Abstract</p> <p>Background</p> <p>The distribution of isoelectric point (pI) of proteins in a proteome is universal for all organisms. It is bimodal dividing the proteome into two sets of acidic and basic proteins. Different species however have different abundance of acidic and basic proteins that may be correlated with taxonomy, subcellular localization, ecological niche of organisms and proteome size.</p> <p>Results</p> <p>We have analysed 1784 proteomes encoded by chromosomes of Archaea, Bacteria, Eukaryota, and also mitochondria, plastids, prokaryotic plasmids, phages and viruses. We have found significant correlation in more than 95% of proteomes between the protein length and pI in proteomes – positive for acidic proteins and negative for the basic ones. Plastids, viruses and plasmids encode more basic proteomes while chromosomes of Archaea, Bacteria, Eukaryota, mitochondria and phages more acidic ones. Mitochondrial proteomes of Viridiplantae, Protista and Fungi are more basic than Metazoa. It results from the presence of basic proteins in the former proteomes and their absence from the latter ones and is related with reduction of metazoan genomes. Significant correlation was found between the pI bias of proteomes encoded by prokaryotic chromosomes and proteomes encoded by plasmids but there is no correlation between eukaryotic nuclear-coded proteomes and proteomes encoded by organelles. Detailed analyses of prokaryotic proteomes showed significant relationships between pI distribution and habitat, relation to the host cell and salinity of the environment, but no significant correlation with oxygen and temperature requirements. The salinity is positively correlated with acidicity of proteomes. Host-associated organisms and especially intracellular species have more basic proteomes than free-living ones. The higher rate of mutations accumulation in the intracellular parasites and endosymbionts is responsible for the basicity of their tiny proteomes that explains the observed positive correlation between the decrease of genome size and the increase of basicity of proteomes. The results indicate that even conserved proteins subjected to strong selectional constraints follow the global trend in the pI distribution.</p> <p>Conclusion</p> <p>The distribution of pI of proteins in proteomes shows clear relationships with length of proteins, subcellular localization, taxonomy and ecology of organisms. The distribution is also strongly affected by mutational pressure especially in intracellular organisms.</p

Model of the distribution of diastolic left ventricular posterior wall thickness in healthy adults and its impact on the behavior of a string of virtual cardiomyocytes

Correlation of the thickness of the left ventricular posterior wall (LVPWd) with various parameters, including age, gender, weight and height, was investigated in this study using regression models. Multicenter derived database comprised over 4,000 healthy individuals. The developed models were further utilized in the in vitro-in vivo (IVIV) translation of the drug cardiac safety data with use of the mathematical model of human cardiomyocytes operating at the virtual healthy population level. LVPWd was assumed to be equivalent to the length of one-dimensional string of virtual cardiomyocyte cells which was presented, as other physiological factors, to be a parameter influencing the simulated pseudo-ECG (pseudoelectrocardiogram), QTcF and $\Delta$QTcF, both native and modified by exemplar drug (disopyramide) after $I_{Kr}$ current disruption. Simulation results support positive correlation between the LVPWd and QTcF/$\Delta$QTc. Developed models allow more detailed description of the virtual population and thus inter-individual variability influence on the drug cardiac safet

Overview of cattle diseases listed under category C, D or E in the animal health law for wich control programmes are in place within Europe

13 páginas, 5 figuras, 3 tablas.The COST action “Standardising output-based surveillance to control non-regulated diseases of cattle in the European Union (SOUND control),” aims to harmonise the results of surveillance and control programmes (CPs) for non-EU regulated cattle diseases to facilitate safe trade and improve overall control of cattle infectious diseases. In this paper we aimed to provide an overview on the diversity of control for these diseases in Europe. A non-EU regulated cattle disease was defined as an infectious disease of cattle with no or limited control at EU level, which is not included in the European Union Animal health law Categories A or B under Commission Implementing Regulation (EU) 2020/2002. A CP was defined as surveillance and/or intervention strategies designed to lower the incidence, prevalence, mortality or prove freedom from a specific disease in a region or country. Passive surveillance, and active surveillance of breeding bulls under Council Directive 88/407/EEC were not considered as CPs. A questionnaire was designed to obtain country-specific information about CPs for each disease. Animal health experts from 33 European countries completed the questionnaire. Overall, there are 23 diseases for which a CP exists in one or more of the countries studied. The diseases for which CPs exist in the highest number of countries are enzootic bovine leukosis, bluetongue, infectious bovine rhinotracheitis, bovine viral diarrhoea and anthrax (CPs reported by between 16 and 31 countries). Every participating country has on average, 6 CPs (min–max: 1–13) in place. Most programmes are implemented at a national level (86%) and are applied to both dairy and non-dairy cattle (75%). Approximately one-third of the CPs are voluntary, and the funding structure is divided between government and private resources. Countries that have eradicated diseases like enzootic bovine leukosis, bluetongue, infectious bovine rhinotracheitis and bovine viral diarrhoea have implemented CPs for other diseases to further improve the health status of cattle in their country. The control of non-EU regulated cattle diseases is very heterogenous in Europe. Therefore, the standardising of the outputs of these programmes to enable comparison represents a challenge.Peer reviewe