Measuring portfolio performance using a modified measure of risk

This paper reports the results of an investigation into the properties of a theoretical modification of beta proposed by Leland (1999) and based on earlier work of Rubinstein (1976). It is shown that when returns are elliptically symmetric, beta is the appropriate measure of risk and that there are other situations in which the modified beta will be similar to the traditional measure based on the capital asset pricing model. For the case where returns have a normal distribution, it is shown that the criterion either does not exist or reduces exactly to the conventional beta. It is therefore conjectured that the modified measure will only be useful for portfolios that have nonstandard return distributions which incorporate skewness. For such situations, it is shown how to estimate the measure using regression and how to compare the resulting statistic with a traditional estimated beta using Hotelling's test. An empirical study based on stocks from the FTSE350 does not find evidence to support the use of the new measure even in the presence of skewness.Journal of Asset Management (2007) 7, 388-403. doi:10.1057/palgrave.jam.225005

Multisensory causal inference in the brain

At any given moment, our brain processes multiple inputs from its different sensory modalities (vision, hearing, touch, etc.). In deciphering this array of sensory information, the brain has to solve two problems: (1) which of the inputs originate from the same object and should be integrated and (2) for the sensations originating from the same object, how best to integrate them. Recent behavioural studies suggest that the human brain solves these problems using optimal probabilistic inference, known as Bayesian causal inference. However, how and where the underlying computations are carried out in the brain have remained unknown. By combining neuroimaging-based decoding techniques and computational modelling of behavioural data, a new study now sheds light on how multisensory causal inference maps onto specific brain areas. The results suggest that the complexity of neural computations increases along the visual hierarchy and link specific components of the causal inference process with specific visual and parietal regions

A stitch in time: Efficient computation of genomic DNA melting bubbles

Background: It is of biological interest to make genome-wide predictions of the locations of DNA melting bubbles using statistical mechanics models. Computationally, this poses the challenge that a generic search through all combinations of bubble starts and ends is quadratic. Results: An efficient algorithm is described, which shows that the time complexity of the task is O(NlogN) rather than quadratic. The algorithm exploits that bubble lengths may be limited, but without a prior assumption of a maximal bubble length. No approximations, such as windowing, have been introduced to reduce the time complexity. More than just finding the bubbles, the algorithm produces a stitch profile, which is a probabilistic graphical model of bubbles and helical regions. The algorithm applies a probability peak finding method based on a hierarchical analysis of the energy barriers in the Poland-Scheraga model. Conclusions: Exact and fast computation of genomic stitch profiles is thus feasible. Sequences of several megabases have been computed, only limited by computer memory. Possible applications are the genome-wide comparisons of bubbles with promotors, TSS, viral integration sites, and other melting-related regions.Comment: 16 pages, 10 figure

On the Schoenberg Transformations in Data Analysis: Theory and Illustrations

The class of Schoenberg transformations, embedding Euclidean distances into higher dimensional Euclidean spaces, is presented, and derived from theorems on positive definite and conditionally negative definite matrices. Original results on the arc lengths, angles and curvature of the transformations are proposed, and visualized on artificial data sets by classical multidimensional scaling. A simple distance-based discriminant algorithm illustrates the theory, intimately connected to the Gaussian kernels of Machine Learning

Human Female Genital Tract Infection by the Obligate Intracellular Bacterium Chlamydia trachomatis Elicits Robust Type 2 Immunity

While Chlamydia trachomatis infections are frequently asymptomatic, mechanisms that regulate host response to this intracellular Gram-negative bacterium remain undefined. This investigation thus used peripheral blood mononuclear cells and endometrial tissue from women with or without Chlamydia genital tract infection to better define this response. Initial genome-wide microarray analysis revealed highly elevated expression of matrix metalloproteinase 10 and other molecules characteristic of Type 2 immunity (e.g., fibrosis and wound repair) in Chlamydia-infected tissue. This result was corroborated in flow cytometry and immunohistochemistry studies that showed extant upper genital tract Chlamydia infection was associated with increased co-expression of CD200 receptor and CD206 (markers of alternative macrophage activation) by endometrial macrophages as well as increased expression of GATA-3 (the transcription factor regulating TH2 differentiation) by endometrial CD4+ T cells. Also among women with genital tract Chlamydia infection, peripheral CD3+ CD4+ and CD3+ CD4- cells that proliferated in response to ex vivo stimulation with inactivated chlamydial antigen secreted significantly more interleukin (IL)-4 than tumor necrosis factor, interferon-γ, or IL-17; findings that repeated in T cells isolated from these same women 1 and 4 months after infection had been eradicated. Our results thus newly reveal that genital infection by an obligate intracellular bacterium induces polarization towards Type 2 immunity, including Chlamydia-specific TH2 development. Based on these findings, we now speculate that Type 2 immunity was selected by evolution as the host response to C. trachomatis in the human female genital tract to control infection and minimize immunopathological damage to vital reproductive structures. © 2013 Vicetti Miguel et al

Vascular responses of the extremities to transdermal application of vasoactive agents in Caucasian and African descent individuals

This is an accepted manuscript of an article published by Springer in European Journal of Applied Physiology on 04/04/2015, available online: https://doi.org/10.1007/s00421-015-3164-2 The accepted version of the publication may differ from the final published version.© 2015, Springer-Verlag Berlin Heidelberg. Purpose: Individuals of African descent (AFD) are more susceptible to non-freezing cold injury than Caucasians (CAU) which may be due, in part, to differences in the control of skin blood flow. We investigated the skin blood flow responses to transdermal application of vasoactive agents. Methods: Twenty-four young males (12 CAU and 12 AFD) undertook three tests in which iontophoresis was used to apply acetylcholine (ACh 1 w/v %), sodium nitroprusside (SNP 0.01 w/v %) and noradrenaline (NA 0.5 mM) to the skin. The skin sites tested were: volar forearm, non-glabrous finger and toe, and glabrous finger (pad) and toe (pad). Results: In response to SNP on the forearm, AFD had less vasodilatation for a given current application than CAU (P = 0.027–0.004). ACh evoked less vasodilatation in AFD for a given application current in the non-glabrous finger and toe compared with CAU (P = 0.043–0.014) with a lower maximum vasodilatation in the non-glabrous finger (median [interquartile], AFD n = 11, 41[234] %, CAU n = 12, 351[451] %, P = 0.011) and non-glabrous toe (median [interquartile], AFD n = 9, 116[318] %, CAU n = 12, 484[720] %, P = 0.018). ACh and SNP did not elicit vasodilatation in the glabrous skin sites of either group. There were no ethnic differences in response to NA. Conclusion: AFD have an attenuated endothelium-dependent vasodilatation in non-glabrous sites of the fingers and toes compared with CAU. This may contribute to lower skin temperature following cold exposure and the increased risk of cold injuries experienced by AFD.Published versio

The Expression and Localization of N-Myc Downstream-Regulated Gene 1 in Human Trophoblasts

The protein N-Myc downstream-regulated gene 1 (NDRG1) is implicated in the regulation of cell proliferation, differentiation, and cellular stress response. NDRG1 is expressed in primary human trophoblasts, where it promotes cell viability and resistance to hypoxic injury. The mechanism of action of NDRG1 remains unknown. To gain further insight into the intracellular action of NDRG1, we analyzed the expression pattern and cellular localization of endogenous NDRG1 and transfected Myc-tagged NDRG1 in human trophoblasts exposed to diverse injuries. In standard conditions, NDRG1 was diffusely expressed in the cytoplasm at a low level. Hypoxia or the hypoxia mimetic cobalt chloride, but not serum deprivation, ultraviolet (UV) light, or ionizing radiation, induced the expression of NDRG1 in human trophoblasts and the redistribution of NDRG1 into the nucleus and cytoplasmic membranes associated with the endoplasmic reticulum (ER) and microtubules. Mutation of the phosphopantetheine attachment site (PPAS) within NDRG1 abrogated this pattern of redistribution. Our results shed new light on the impact of cell injury on NDRG1 expression patterns, and suggest that the PPAS domain plays a key role in NDRG1's subcellular distribution. © 2013 Shi et al

Magnetism, FeS colloids, and Origins of Life

A number of features of living systems: reversible interactions and weak bonds underlying motor-dynamics; gel-sol transitions; cellular connected fractal organization; asymmetry in interactions and organization; quantum coherent phenomena; to name some, can have a natural accounting via $physical$ interactions, which we therefore seek to incorporate by expanding the horizons of `chemistry-only' approaches to the origins of life. It is suggested that the magnetic 'face' of the minerals from the inorganic world, recognized to have played a pivotal role in initiating Life, may throw light on some of these issues. A magnetic environment in the form of rocks in the Hadean Ocean could have enabled the accretion and therefore an ordered confinement of super-paramagnetic colloids within a structured phase. A moderate H-field can help magnetic nano-particles to not only overcome thermal fluctuations but also harness them. Such controlled dynamics brings in the possibility of accessing quantum effects, which together with frustrations in magnetic ordering and hysteresis (a natural mechanism for a primitive memory) could throw light on the birth of biological information which, as Abel argues, requires a combination of order and complexity. This scenario gains strength from observations of scale-free framboidal forms of the greigite mineral, with a magnetic basis of assembly. And greigite's metabolic potential plays a key role in the mound scenario of Russell and coworkers-an expansion of which is suggested for including magnetism.Comment: 42 pages, 5 figures, to be published in A.R. Memorial volume, Ed Krishnaswami Alladi, Springer 201

Impact Factor: outdated artefact or stepping-stone to journal certification?

A review of Garfield's journal impact factor and its specific implementation as the Thomson Reuters Impact Factor reveals several weaknesses in this commonly-used indicator of journal standing. Key limitations include the mismatch between citing and cited documents, the deceptive display of three decimals that belies the real precision, and the absence of confidence intervals. These are minor issues that are easily amended and should be corrected, but more substantive improvements are needed. There are indications that the scientific community seeks and needs better certification of journal procedures to improve the quality of published science. Comprehensive certification of editorial and review procedures could help ensure adequate procedures to detect duplicate and fraudulent submissions.Comment: 25 pages, 12 figures, 6 table