Applying a global optimisation algorithm to Fund of Hedge Funds portfolio optimisation

Portfolio optimisation for a Fund of Hedge Funds (“FoHF”) has to address the asymmetric, non-Gaussian nature of the underlying returns distributions. Furthermore, the objective functions and constraints are not necessarily convex or even smooth. Therefore traditional portfolio optimisation methods such as mean-variance optimisation are not appropriate for such problems and global search optimisation algorithms could serve better to address such problems. Also, in implementing such an approach the goal is to incorporate information as to the future expected outcomes to determine the optimised portfolio rather than optimise a portfolio on historic performance. In this paper, we consider the suitability of global search optimisation algorithms applied to FoHF portfolios, and using one of these algorithms to construct an optimal portfolio of investable hedge fund indices given forecast views of the future and our confidence in such views.portfolio optimisation; optimization; fund of hedge funds; global search optimisation; direct search; pgsl; hedge fund portfolio

Too Big to Fail: Motives, Countermeasures, and the Dodd-Frank Response

Government forbearance, support, and bailouts of banks and other financial institutions deemed 'too big to fail' (TBTF) are widely recognized as encouraging large companies to take excessive risk, placing smaller ones at a competitive disadvantage and influencing banks in general to grow inefficiently to a 'protected' size and complexity. During periods of financial stress, with bailouts under way, government officials have promised 'never again'. During periods of financial stability and economic growth, they have sanctioned large-bank growth by merger and ignored the ongoing competitive imbalance. Repeated efforts to do away with TBTF practices over the last several decades have been unsuccessful. Congress has typically found the underlying problem to be inadequate regulation and/or supervision that has permitted important financial companies to undertake excessive risk. It has responded by strengthening regulation and supervision. Others have located the underlying problem in inadequate regulators, suggesting the need for modifying the incentives that motivate their behavior. A third explanation is that TBTF practices reflect the government’s perception that large financial firms serve a public interest - they constitute a 'national resource' to be preserved. In this case, a structural solution would be necessary. Breakups of the largest financial firms would distribute the 'public interest' among a larger group than the handful that currently hold a disproportionate concentration of financial resources. The Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 constitutes the most recent effort to eliminate TBTF practices. Its principal focus is on the extension and augmentation of regulation and supervision, which it envisions as preventing excessive risk taking by large financial companies; Congress has again found the cause for TBTF practices in the inadequacy of regulation and supervision. There is no indication that Congress has given any credence to the contention that regulatory motivations have been at fault. Finally, Dodd-Frank eschews a structural solution, leaving the largest financial companies intact and bank regulatory agencies still with extensive discretion in passing on large bank mergers. As a result, the elimination of TBTF will remain problematic for years to come

Global Financial Crisis: A Minskyan Interpretation of the Causes, the Fed’s Bailout, and the Future

This paper provides a quick review of the causes of the Global Financial Crisis that began in 2007. There were many contributing factors, but among the most important were rising inequality and stagnant incomes for most American workers, growing private sector debt in the United States and many other countries, financialization of the global economy (itself a very complex process), deregulation and desupervision of financial institutions, and overly tight fiscal policy in many nations. The analysis adopts the stages approach developed by Hyman P. Minsky, according to which a gradual transformation of the economy over the postwar period has in many ways reproduced the conditions that led to the Great Depression. The paper then moves on to an examination of the US government's bailout of the global financial system. While other governments played a role, the US Treasury and the Federal Reserve assumed much of the responsibility for the bailout. A detailed examination of the Fed's response shows how unprecedented - and possibly illegal - was its extension of the government's safety net to the biggest financial institutions. The paper closes with an assessment of the problems the bailout itself poses for the future

Definitive Liver Radiotherapy for Intrahepatic Cholangiocarcinoma with Extrahepatic Metastases

INTRODUCTION: Tumor-related liver failure (TRLF) is the most common cause of death in patients with intrahepatic cholangiocarcinoma (ICC). Though we previously showed that liver radiotherapy (L-RT) for locally advanced ICC is associated with less frequent TRLF and longer overall survival (OS), the role of L-RT for patients with extrahepatic metastatic disease (M1) remains undefined. We sought to compare outcomes for M1 ICC patients treated with and without L-RT. METHODS: We reviewed ICC patients that found to have M1 disease at initial diagnosis at a single institution between 2010 and 2021 who received L-RT, matching them with an institutional cohort by propensity score and a National Cancer Database (NCDB) cohort by frequency technique. The median biologically effective dose was 97.5 Gy (interquartile range 80.5-97.9 Gy) for L-RT. Patients treated with other local therapies or supportive care alone were excluded. We analyzed survival with Cox proportional hazard modeling. RESULTS: We identified 61 patients who received L-RT and 220 who received chemotherapy alone. At median follow-up of 11 months after diagnosis, median OS was 9 months (95% confidence interval [CI] 8-11) and 21 months (CI: 17-26) for patients receiving chemotherapy alone and L-RT, respectively. TRLF was the cause of death more often in the patients who received chemotherapy alone compared to those who received L-RT (82% vs. 47%; CONCLUSION: For M1 ICC, L-RT associated with a lower rate of death due to TRLF and longer OS versus those treated with chemotherapy alone. Prospective studies of L-RT in this setting are warranted

The complex X-ray spectrum of NGC 4507

XMM-Newton and Chandra/HETG spectra of the Compton-thin (NH 4x10^{23} cm^{-2}) Seyfert 2 galaxy, NGC 4507, are analyzed and discussed. The main results are: a) the soft X-ray emission is rich in emission lines; an (at least) two--zone photoionization region is required to explain the large range of ionization states. b) The 6.4 keV iron line is likely emitted from Compton-thick matter, implying the presence of two circumnuclear cold regions, one Compton-thick (the emitter), one Compton-thin (the cold absorber). c) Evidence of an Fe xxv absorption line is found in the Chandra/HETG spectrum. The column density of the ionized absorber is estimated to be a few x10^{22} cm^{-2}.Comment: accepted for publication in A&

Phase II study of preoperative radiation plus concurrent daily tegafur-uracil (UFT) with leucovorin for locally advanced rectal cancer

<p>Abstract</p> <p>Background</p> <p>Considerable variation in intravenous 5-fluorouracil (5-FU) metabolism can occur due to the wide range of dihydropyrimidine dehydrogenase (DPD) enzyme activity, which can affect both tolerability and efficacy. The oral fluoropyrimidine tegafur-uracil (UFT) is an effective, well-tolerated and convenient alternative to intravenous 5-FU. We undertook this study in patients with locally advanced rectal cancer to evaluate the efficacy and tolerability of UFT with leucovorin (LV) and preoperative radiotherapy and to evaluate the utility and limitations of multicenter staging using pre- and post-chemoradiotherapy ultrasound. We also performed a validated pretherapy assessment of DPD activity and assessed its potential influence on the tolerability of UFT treatment.</p> <p>Methods</p> <p>This phase II study assessed preoperative UFT with LV and radiotherapy in 85 patients with locally advanced T3 rectal cancer. Patients with potentially resectable tumors received UFT (300 mg/m/²/day), LV (75 mg/day), and pelvic radiotherapy (1.8 Gy/day, 45 Gy total) 5 days/week for 5 weeks then surgery 4-6 weeks later. The primary endpoints included tumor downstaging and the pathologic complete response (pCR) rate.</p> <p>Results</p> <p>Most adverse events were mild to moderate in nature. Preoperative grade 3/4 adverse events included diarrhea (n = 18, 21%) and nausea/vomiting (n = 5, 6%). Two patients heterozygous for dihydropyrimidine dehydrogenase gene (<it>DPYD</it>) experienced early grade 4 neutropenia (variant IVS14+1G > A) and diarrhea (variant 2846A > T). Pretreatment ultrasound TNM staging was compared with postchemoradiotherapy pathology TN staging and a significant shift towards earlier TNM stages was observed (p < 0.001). The overall downstaging rate was 42% for primary tumors and 44% for lymph nodes. The pCR rate was 8%. The sensitivity and specificity of ultrasound for staging was poor. Anal sphincter function was preserved in 55 patients (65%). Overall and recurrence-free survival at 3 years was 86.1% and 66.7%, respectively. Adjuvant chemotherapy was administered to 36 node-positive patients (mean duration 118 days).</p> <p>Conclusion</p> <p>Preoperative chemoradiotherapy using UFT with LV plus radiotherapy was well tolerated and effective and represents a convenient alternative to 5-FU-based chemoradiotherapy for the treatment of resectable rectal cancer. Pretreatment detection of DPD deficiency should be performed to avoid severe adverse events.</p

Endogenous Money: Structuralist and Horizontalist

While the mainstream long argued that the central bank could use quantitative constraints as a means to controlling the private creation of money, most economists now recognize that the central bank can only set the overnight interest ratewhich has only an indirect impact on the quantity of reserves and the quantity of privately created money. Indeed, in order to hit the overnight rate target, the central bank must accommodate the demand for reserves, draining the excess or supplying reserves when the system is short. Thus, the supply of reserves is best characterized as horizontal, at the central bank's target rate. Because reserves pay relatively low rates, or even zero rates (as in the United States), banks try to minimize their holdings. Over time, they continually innovate, as they seek to minimize costs and increase profits. This includes innovations that reduce the quantity of reserves they need to hold (either to satisfy legal requirements, or to meet the needs of check cashing and clearing), and also innovations that allow them to increase the rate of return on equity within regulatory constraints, such as those associated with Basle agreements. Such behavior has been a central concern of the structuralist approachwhich argued that it is too simplistic to hypothesize simple horizontal loan-and-deposit supply curves

Ageing and Financial Stability

Abstract: Although the precise details are subject to major uncertainty, it seems likely that the process of population ageing will involve major shifts in financing, which may give rise to financial turbulence and systemic risk. The locus and scale of these effects will also depend on the predominant approach to retirement income provision. It is argued that the financial-stability risks arising from continuing with unsustainable pay-as-you-go systems would be more threatening than those arising from funding. Fiscal crises can have incalculable consequences for private financial markets, while pension funding involves more an adaptation by regulatory authorities to a more securitised and institutionalised financial system, that is likely to develop in any case. Concerning policy, for social security, the key issue is reform, so that the fiscal difficulties and their consequences for financial stability foreshadowed above do not arise. For institutional investors involved in funding, policy issues arising include the need for prudent person asset regulation, absence of guarantees generating moral hazard and international diversification of institutional portfolios, so that they are less dependent on the performance of the domestic economy than would otherwise be the case. Banks would not be immune to the side-effects of the various patterns ageing will generate, and an awareness of such risks as well a