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

An Experimental Study on Pool Boiling Performance Enhancement and Effect of Aging

The miniaturization of electronic devices requires advanced thermal management techniques. The two-phase heat transfer process offers more effective and sustainable approach compared to the presently used single-phase cooling techniques. The boiling heat transfer is a two-phase cooling technique, that dissipates a high heat flux while maintaining the low surface temperature thereby, offering an efficient heat transfer mechanism compared to the single-phase process. Furthermore, the surface enhancement techniques such as micro/nano porous coatings help to maintain the low surface temperature thus improving the overall heat transfer performance. Electrodeposition is a simple technique that enhances this performance by creating the porous structure on the surface. This research focuses on developing an enhanced microscale structures on plain copper surfaces to improve the pool boiling performance. Additionally, the longevity (or the long-term stability) and aging of these enhanced structures, and their effects on the pool-boiling performance is also investigated. Initially the pool boiling performance of enhanced surfaces is studied. The enhanced surfaces were prepared using electrodeposition of copper and graphene oxide. Later, the effects of repetitive boiling on the morphology of the surfaces were examined using various characterization techniques such as Scanning Electron Microscope (SEM), X-Ray Diffraction (XRD), and Fourier Transform Infrared (FTIR). The chips coated with electrodeposition method rendered a high pool boiling performance for GS-4 (2.5% GO-Cu electrodeposited chip) with CHF of 220 W/cm² at wall superheat of 14°C, giving ~76% improvement in CHF compared to plain copper chip. While, copper on copper electrodeposited chip, deposited with a different technique, performed better in both CHF and aging. CHF of 192 W/cm² at wall superheat of 18.8°C was achieved for copper electrodeposited chip, giving ~30% enhancement compared to literature and ~54% enhancement when compared to plain copper chip. Moreover, surface characterization techniques including Scanning Electron Microscope (SEM) with Energy- Dispersive X-Ray Spectroscopy (EDS), Fourier Transform Infrared (FTIR), and X-Ray Diffraction (XRD) were employed to study the morphologies, elemental species, and to confirm the presence of graphene and graphene oxide on the test surfaces

Standards of Legitimacy in Criminal Negotiations

Scholarship on negotiation theory and practice is rich and well-developed. Almost no work has been done, however, to translateto the criminal context the lessons learned about negotiationfrom extensive empirical study using the disciplines of econom-ics, game theory, and psychology. This Article suggests that de-fense lawyers in criminal negotiations can employ toolsfrequently useful to negotiators in other arenas: neutral criteria as a standard of legitimacy. Judges sometimes exercise a type of discretion analogous to prosecutorial discretion. When they do so, they offer an independent, reasoned, and publicly available assessment of the factors that a prosecutor ought to consider in deciding whether to grant leniency. In negotiations, defense lawyers can use these guidelines offered by judges as a soft limitation on the largely unchecked power of prosecutors. Judges have been reluctant, however, to exercise the power clearly assigned to them, and defense lawyers have been slow to recognize the value of the guidance that judges have provided

Electronic screening and damping in magnetars

We calculate the screening of the ion-ion potential due to electrons in the presence of a large background magnetic field, at densities of relevance to neutron star crusts. Using the standard approach to incorporate electron screening through the one-loop polarization function, we show that the magnetic field produces important corrections both at short and long distances. In extreme fields, realized in highly magnetized neutron stars called magnetars, electrons occupy only the lowest Landau levels in the relatively low density region of the crust. Here our results show that the screening length for Coulomb interactions between ions can be smaller than the inter-ion spacing. More interestingly, we find that the screening is anisotropic and the screened potential between two static charges exhibits long range Friedel oscillations parallel to the magnetic field. This long-range oscillatory behavior is likely to affect the lattice structure of ions, and can possibly create rod-like structures in the magnetar crusts. We also calculate the imaginary part of the electron polarization function which determines the spectrum of electron-hole excitations and plays a role in damping lattice phonon excitations. We demonstrate that even for modest magnetic fields this damping is highly anisotropic and will likely lead to anisotropic phonon heat transport in the outer neutron star crust.Comment: 14 pages, 5 Figure

Plugging gaps in professionalism education: a resident-generated curriculum

Background: Professionalism is often taught to residents and medical students in case-based sessions using faculty-developed curriculum and faculty-led discussion. Resident-generated curriculum has been rarely published. After professional misconduct by a faculty member and reports of unprofessional conduct by residents from internal surveys of medical students, we surveyed our internal medicine residents to ask about gaps in professionalism training and optimal venues for professionalism education. Purpose: To develop case-based discussions within the morning report structure for resident-led discussion on professionalism topics that were not addressed by our standard faculty-generated curriculum. Description: A paper-based 9 item survey was distributed to residents at an attendance-required educational conference. 39 residents returned the survey. The survey revealed that a significant number of residents had engaged in less than ideal standards of professionalism at some time and that many residents had observed unprofessional behavior among attendings. Based on the results of this survey, one of the authors (RM) wrote 7 clinical cases involving ethical or professional dilemmas faced by residents that were infrequently addressed in our program. Topics addressed in these scenarios included respect for patients (specifically use of disparaging comments or labels), placing patient care needs above individual physicians needs, working through conflicts with other admitting services, providing medical care to a family member or significant other, inter-professional relationships with consulting residents, appropriate means of dealing with non-compliant patients who frequently \u27bounce,\u27 patient ownership when one resident admits a patient to another team\u27s service, appropriate use of social media, and appropriate use of cut-and-paste function in the electronic health record. All of the scenarios also discussed responding to colleagues (including faculty) who were observed to engage in the unprofessional conduct highlighted in the case. Once per month instead of our usual morning report, one resident chose one or two cases of their choice and led discussion with residents and students. Faculty were invited to attend, but the chief resident requested that their input be restricted to posing questions instead of leading discusions. Over the course of twelve months, all cases were discussed at least once. Cases discussing respect for patients and appropriate use of social media were especially popular and chosen for over 50% of the sessions. Compared to our regular ethics conferences, these sessions were better attended and had more discussion by medical students. Conclusions: Resident-led discussion of resident-generated scenarios addressed perceived gaps in professionalism education in our internal medicine training program. Respect for patients and appropriate use of social media were the most frequently discussed topics.\u2

Testing the Ginzburg-Landau approximation for three-flavor crystalline color superconductivity

It is an open challenge to analyze the crystalline color superconducting phases that may arise in cold dense, but not asymptotically dense, three-flavor quark matter. At present the only approximation within which it seems possible to compare the free energies of the myriad possible crystal structures is the Ginzburg-Landau approximation. Here, we test this approximation on a particularly simple "crystal" structure in which there are only two condensates $\sim \Delta \exp(i {\bf q_2}\cdot {\bf r})$ and $\sim \Delta \exp(i {\bf q_3}\cdot {\bf r})$ whose position-space dependence is that of two plane waves with wave vectors ${\bf q_2}$ and ${\bf q_3}$ at arbitrary angles. For this case, we are able to solve the mean-field gap equation without making a Ginzburg-Landau approximation. We find that the Ginzburg-Landau approximation works in the $\Delta\to 0$ limit as expected, find that it correctly predicts that $\Delta$ decreases with increasing angle between ${\bf q_2}$ and ${\bf q_3}$ meaning that the phase with ${\bf q_2}\parallel {\bf q_3}$ has the lowest free energy, and find that the Ginzburg-Landau approximation is conservative in the sense that it underestimates $\Delta$ at all values of the angle between ${\bf q_2}$ and ${\bf q_3}$.Comment: 16 pages, 6 figures. Small changes only. Version to appear in Phys. Rev.