Dynamic Shrinkage Estimation of the High-Dimensional Minimum-Variance Portfolio

In this paper, new results in random matrix theory are derived which allow us to construct a shrinkage estimator of the global minimum variance (GMV) portfolio when the shrinkage target is a random object. More specifically, the shrinkage target is determined as the holding portfolio estimated from previous data. The theoretical findings are applied to develop theory for dynamic estimation of the GMV portfolio, where the new estimator of its weights is shrunk to the holding portfolio at each time of reconstruction. Both cases with and without overlapping samples are considered in the paper. The non-overlapping samples corresponds to the case when different data of the asset returns are used to construct the traditional estimator of the GMV portfolio weights and to determine the target portfolio, while the overlapping case allows intersections between the samples. The theoretical results are derived under weak assumptions imposed on the data-generating process. No specific distribution is assumed for the asset returns except from the assumption of finite $4+\varepsilon$, $\varepsilon>0$, moments. Also, the population covariance matrix with unbounded spectrum can be considered. The performance of new trading strategies is investigated via an extensive simulation. Finally, the theoretical findings are implemented in an empirical illustration based on the returns on stocks included in the S\&P 500 index.Comment: 27 pages, 7 figures, update1: minor fixe

Engelsk landbrug i stærk udvikling.

Engelsk landbrug i stærk udvikling

Genetic basis of arsenite and cadmium tolerance in Saccharomyces cerevisiae

<p>Abstract</p> <p>Background</p> <p>Arsenic and cadmium are widely distributed in nature and pose serious threats to the environment and human health. Exposure to these nonessential toxic metals may result in a variety of human diseases including cancer. However, arsenic and cadmium toxicity targets and the cellular systems contributing to tolerance acquisition are not fully known.</p> <p>Results</p> <p>To gain insight into metal action and cellular tolerance mechanisms, we carried out genome-wide screening of the <it>Saccharomyces cerevisiae </it>haploid and homozygous diploid deletion mutant collections and scored for reduced growth in the presence of arsenite or cadmium. Processes found to be required for tolerance to both metals included sulphur and glutathione biosynthesis, environmental sensing, mRNA synthesis and transcription, and vacuolar/endosomal transport and sorting. We also identified metal-specific defence processes. Arsenite-specific defence functions were related to cell cycle regulation, lipid and fatty acid metabolism, mitochondrial biogenesis, and the cytoskeleton whereas cadmium-specific defence functions were mainly related to sugar/carbohydrate metabolism, and metal-ion homeostasis and transport. Molecular evidence indicated that the cytoskeleton is targeted by arsenite and that phosphorylation of the Snf1p kinase is required for cadmium tolerance.</p> <p>Conclusion</p> <p>This study has pin-pointed core functions that protect cells from arsenite and cadmium toxicity. It also emphasizes the existence of both common and specific defence systems. Since many of the yeast genes that confer tolerance to these agents have homologues in humans, similar biological processes may act in yeast and humans to prevent metal toxicity and carcinogenesis.</p

In vitro blood flow model with physiological wall shear stress for hemocompatibility testing-An example of coronary stent testing

Hemocompatibility of blood contacting medical devices has to be evaluated before their intended application. To assess hemocompatibility, blood flow models are often used and can either consist of in vivo animal models or in vitro blood flow models. Given the disadvantages of animal models, in vitro blood flow models are an attractive alternative. The in vitro blood flow models available nowadays mostly focus on generating continuous flow instead of generating a pulsatile flow with certain wall shear stress, which has shown to be more relevant in maintaining hemostasis. To address this issue, the authors introduce a blood flow model that is able to generate a pulsatile flow and wall shear stress resembling the physiological situation, which the authors have coined the "Haemobile." The authors have validated the model by performing Doppler flow measurements to calculate velocity profiles and ( wall) shear stress profiles. As an example, the authors evaluated the thrombogenicity of two drug eluting stents, one that was already on the market and one that was still under development. After identifying proper conditions resembling the wall shear stress in coronary arteries, the authors compared the stents with each other and often used reference materials. These experiments resulted in high contrast between hemocompatible and incompatible materials, showing the exceptional testing capabilities of the Haemobile. In conclusion, the authors have developed an in vitro blood flow model which is capable of mimicking physiological conditions of blood flow as close as possible. The model is convenient in use and is able to clearly discriminate between hemocompatible and incompatible materials, making it suitable for evaluating the hemocompatible properties of medical devices. (C) 2016 Author(s)