Omega Portfolio Construction with Johnson Distributions

The Omega performance measure is equiped with the original family of Johnson distributions. Explicit representations for Omega or Sharpe with all four Johnson cumulated densities were derived to construct portfolios with respect to 4 mutually independent moments. Additionally, decompositions of higher portfolio moments were derived to include expected higher moments on an individual fund or strategy level. Hedge fund index back-testing has shown that Johnson-Omega gives significantly higher returns without sacrificing capital protection needs. Omega with Johnson distributions solves the weaknesses from Sharpe and achieves a more predictable and stable performance by exploiting the persistence of potentially significant higher moments up to fourth order.Sharpe,Omega, Johnson distribution, Skewness, Higher Moments,Significant Moments, Portfolio Construction, Hedge Funds, Market Neutral

Transparent Exopolymer Particles (TEP): an overlooked factor in the process of biofilm formation in aquatic environments

We hypothesize that transparent exopolymer particles (TEP), present in high concentrations in most sea and freshwaters, are critical agents for biofilm initiation and development in many natural and anthropogenic aquatic environments. These gel-like particles appear in many forms; amorphous blobs, clouds, sheets, filaments or clumps ranging in size from ~2 to ~200 µm. TEP are mostly polysaccharide, negatively charged, very sticky and are frequently colonized by bacteria. TEP may be considered a "planktonic" subgroup of exopolymeric substances (EPS), widely studied in biofilm research. Recognition of TEP involvement in biofilm formation has important implications for a comprehensive understanding of the complexities of this process in aquatic environments and may also contribute to the considerable efforts being made in the global water industry to mitigate the harmful effects of biofouling in water treatment and desalination plants

Quantitative Selection of Long-Short Hedge Funds

We develop a quantitative model to select hedge funds in the long-short equity sector. The selection strategy is verified on a survivorship-bias-free hedge fund database, from January 1990 to September 2002. We focus on the hedge funds acting exclusively in the U.S. market. We identify Fama-French factors and GSCI as the risk factors. Based on the evidence that many hedge funds do not exhibit persistent performance, we believe that persistent alpha is not generated based on publicly available information and opportunistic changes of exposure with respect to the risk factors. Instead we expect moderate exposure funds to be those who establish investment decisions based on special information or proprietary research. A hedge fund selection strategy is introduced and checked with out-of-sample data. A simulation of hedge funds from 1927 to 2002 is conducted. The funds selected according to our strategy demonstrate superior performance persistently.Hedge Fund; Long Short Strategy; Fama-French; Commodity; Performance Persistence; Skewness; Selection

Robustness analysis of evolutionary controller tuning using real systems

A genetic algorithm (GA) presents an excellent method for controller parameter tuning. In our work, we evolved the heading as well as the altitude controller for a small lightweight helicopter. We use the real flying robot to evaluate the GA's individuals rather than an artificially consistent simulator. By doing so we avoid the ldquoreality gaprdquo, taking the controller from the simulator to the real world. In this paper we analyze the evolutionary aspects of this technique and discuss the issues that need to be considered for it to perform well and result in robust controllers

MULTIPLE MATING IN XIPHOPHORUS BIRCHMANNI, A LIVE-BEARING SWORDTAIL FISH

Male and female mating behaviors have been extensively studied in Xiphophorus birchmanni; however the genetic mating system has not been characterized in this species. X. birchmanni is a live-bearing fish, so females can be easily collected with their young. Gravid females were collected from two populations of sheepshead swordtail, X. birchmanni in the state of Hidalgo, Mexico. To determine if female phenotype is related to number of mates, we examined female body size, number of offspring, and number of mates. We used four polymorphic microsatellite markers to genotype 40 wild caught X. birchmanni females and their offspring. COLONY was then used to assign parentage and estimate the rate of multiple mating (Wang 2004). From our analysis, we can conclude that X. birchmanni females mate multiply at rates between one and eight male sires per brood. There was also a positive correlation between the number of mates and size of the females, as well as the number of offspring per brood and size of the females. Interestingly, X. birchmanni females have a higher average rate of multiple mating compared to other species in this genus. These results suggest that sexual selection may be acting very differently in X. birchmanni compared to congeneric species. In particular, the high rate of multiple mating by females may open the door for post-copulatory sexual selection to play a significant role in determining reproductive success