Regularizing Portfolio Optimization

The optimization of large portfolios displays an inherent instability to estimation error. This poses a fundamental problem, because solutions that are not stable under sample fluctuations may look optimal for a given sample, but are, in effect, very far from optimal with respect to the average risk. In this paper, we approach the problem from the point of view of statistical learning theory. The occurrence of the instability is intimately related to over-fitting which can be avoided using known regularization methods. We show how regularized portfolio optimization with the expected shortfall as a risk measure is related to support vector regression. The budget constraint dictates a modification. We present the resulting optimization problem and discuss the solution. The L2 norm of the weight vector is used as a regularizer, which corresponds to a diversification "pressure". This means that diversification, besides counteracting downward fluctuations in some assets by upward fluctuations in others, is also crucial because it improves the stability of the solution. The approach we provide here allows for the simultaneous treatment of optimization and diversification in one framework that enables the investor to trade-off between the two, depending on the size of the available data set

Establishing Lagrangian connections between observations within air masses crossing the Atlantic during the International Consortium for Atmospheric Research on Transport and Transformation experiment

The ITCT-Lagrangian-2K4 (Intercontinental Transport and Chemical Transformation) experiment was conceived with an aim to quantify the effects of photochemistry and mixing on the transformation of air masses in the free troposphere away from emissions. To this end, attempts were made to intercept and sample air masses several times during their journey across the North Atlantic using four aircraft based in New Hampshire (USA), Faial (Azores) and Creil (France). This article begins by describing forecasts from two Lagrangian models that were used to direct the aircraft into target air masses. A novel technique then identifies Lagrangian matches between flight segments. Two independent searches are conducted: for Lagrangian model matches and for pairs of whole air samples with matching hydrocarbon fingerprints. The information is filtered further by searching for matching hydrocarbon samples that are linked by matching trajectories. The quality of these "coincident matches'' is assessed using temperature, humidity and tracer observations. The technique pulls out five clear Lagrangian cases covering a variety of situations and these are examined in detail. The matching trajectories and hydrocarbon fingerprints are shown, and the downwind minus upwind differences in tracers are discussed

Carers Create: carer perspectives of a creative programme for people with dementia and their carers on the relationship within the (carer and cared for) dyad

Introduction Relationships between people with dementia and their carers can prove challenging over the trajectory of the disease. Interventions with a potential to address this include arts and music-based activities. This research project aimed to evaluate a community engagement programme (Carers Create) where both people with dementia and their carers participate together in singing and other activities. A specific focus was on the impact of the sessions on the dyadic relationship. Methods A grounded theory approach involved conducting three focus group interviews with carers of people with dementia (n=16) facilitated by members of a local U3A (University of the Third Age) who were trained and supported by university researchers. Recorded conversations were transcribed and analysed using a three-stage coding and thematic development technique. Results Four overarching themes were identified from the discourse: remembering the positive qualities of the cared-for; the physical and emotional demands of caring; Carers Create as a shared, beneficial activity; the enduring value of Carers Create. Conclusion Carers found the sessions to positively influence the relationship with the person they cared for through offering some relief from the day-to-day pressures of caring and in some cases restoring elements of a previously strong relationship. Crucial to the experience was the fact that the sessions included both carer and cared-for, offering activities to do together, and that they took place within a group, thereby offering a degree of mutual support. In addition, some carers were able to build on learning which had taken place and use certain techniques, such as singing, to help manage care, thus extending the improved relationship.

Tales of the unexpected: the selection of British party leaders since 1963

Jeremy Corbyn’s election as Leader of the Labour Party in 2015 stunned observers and practitioners of British politics alike. In this article, we first outline a theoretical framework that purports to explain why political parties operating in parliamentary systems choose the leaders they do. We then examine 32 leadership successions involving five major British parties since 1963, and note that many of these were unexpected, in that they were triggered by unforeseen circumstances, such as the sudden death or resignation of the incumbent. Examining each party in turn, we briefly explain why the winners won and identify at least eight cases (a quarter of our sample) where a candidate widely expected to prevail at the outset was ultimately defeated by a ‘dark horse’, ‘second favourite’ or even ‘rank outsider’. Of these, Corbyn’s election in 2015 was the most unexpected and, consistent with the findings of studies of party leadership conventions in other parliamentary systems, namely Canada and Spain, suggests that ideological and policy concerns are sometimes more important than considerations of party unity and electability, especially when a leadership contest is dominated by party activists

Overview of the 2010 Carbonaceous Aerosols and Radiative Effects Study (CARES)

Substantial uncertainties still exist in the scientific understanding of the possible interactions between urban and natural (biogenic) emissions in the production and transformation of atmospheric aerosol and the resulting impact on climate change. The US Department of Energy (DOE) Atmospheric Radiation Measurement (ARM) program's Carbonaceous Aerosol and Radiative Effects Study (CARES) carried out in June 2010 in Central Valley, California, was a comprehensive effort designed to improve this understanding. The primary objective of the field study was to investigate the evolution of secondary organic and black carbon aerosols and their climate-related properties in the Sacramento urban plume as it was routinely transported into the forested Sierra Nevada foothills area. Urban aerosols and trace gases experienced significant physical and chemical transformations as they mixed with the reactive biogenic hydrocarbons emitted from the forest. Two heavily-instrumented ground sites – one within the Sacramento urban area and another about 40 km to the northeast in the foothills area – were set up to characterize the evolution of meteorological variables, trace gases, aerosol precursors, aerosol size, composition, and climate-related properties in freshly polluted and "aged" urban air. On selected days, the DOE G-1 aircraft was deployed to make similar measurements upwind and across the evolving Sacramento plume in the morning and again in the afternoon. The NASA B-200 aircraft, carrying remote sensing instruments, was also deployed to characterize the vertical and horizontal distribution of aerosols and aerosol optical properties within and around the plume. This overview provides: (a) the scientific background and motivation for the study, (b) the operational and logistical information pertinent to the execution of the study, (c) an overview of key observations and initial findings from the aircraft and ground-based sampling platforms, and (d) a roadmap of planned data analyses and focused modeling efforts that will facilitate the integration of new knowledge into improved representations of key aerosol processes and properties in climate models.United States. Dept. of Energy. Atmospheric System Research Program (Contract DE-AC06-76RLO 1830)United States. National Oceanic and Atmospheric AdministrationUnited States. National Aeronautics and Space Administration. HQ Science Mission Directorate Radiation Sciences ProgramUnited States. National Aeronautics and Space Administration. CALIPSO ProgramUnited States. Dept. of Energy. Atmospheric Radiation Measurement Program (Interagency Agreement No. DE-AI02-05ER63985

Source Evaluation and Trace Metal Contamination in Benthic Sediments from Equatorial Ecosystems Using Multivariate Statistical Techniques

race metals (Cd, Cr, Cu, Ni and Pb) concentrations in benthic sediments were analyzed through multi-step fractionation scheme to assess the levels and sources of contamination in estuarine, riverine and freshwater ecosystems in Niger Delta (Nigeria). The degree of contamination was assessed using the individual contamination factors (ICF) and global contamination factor (GCF). Multivariate statistical approaches including principal component analysis (PCA), cluster analysis and correlation test were employed to evaluate the interrelationships and associated sources of contamination. The spatial distribution of metal concentrations followed the pattern Pb>Cu>Cr>Cd>Ni. Ecological risk index by ICF showed significant potential mobility and bioavailability for Cu, Cu and Ni. The ICF contamination trend in the benthic sediments at all studied sites was Cu>Cr>Ni>Cd>Pb. The principal component and agglomerative clustering analyses indicate that trace metals contamination in the ecosystems was influenced by multiple pollution sources

Genome-Wide Association Study in BRCA1 Mutation Carriers Identifies Novel Loci Associated with Breast and Ovarian Cancer Risk

BRCA1-associated breast and ovarian cancer risks can be modified by common genetic variants. To identify further cancer risk-modifying loci, we performed a multi-stage GWAS of 11,705 BRCA1 carriers (of whom 5,920 were diagnosed with breast and 1,839 were diagnosed with ovarian cancer), with a further replication in an additional sample of 2,646 BRCA1 carriers. We identified a novel breast cancer risk modifier locus at 1q32 for BRCA1 carriers (rs2290854, P = 2.7×10-8, HR = 1.14, 95% CI: 1.09-1.20). In addition, we identified two novel ovarian cancer risk modifier loci: 17q21.31 (rs17631303, P = 1.4×10-8, HR = 1.27, 95% CI: 1.17-1.38) and 4q32.3 (rs4691139, P = 3.4×10-8, HR = 1.20, 95% CI: 1.17-1.38). The 4q32.3 locus was not associated with ovarian cancer risk in the general population or BRCA2 carriers, suggesting a BRCA1-specific associat

Discovery of the rpl10 Gene in Diverse Plant Mitochondrial Genomes and Its Probable Replacement by the Nuclear Gene for Chloroplast RPL10 in Two Lineages of Angiosperms

Mitochondrial genomes of plants are much larger than those of mammals and often contain conserved open reading frames (ORFs) of unknown function. Here, we show that one of these conserved ORFs is actually the gene for ribosomal protein L10 (rpl10) in plant. No rpl10 gene has heretofore been reported in any mitochondrial genome other than the exceptionally gene-rich genome of the protist Reclinomonas americana. Conserved ORFs corresponding to rpl10 are present in a wide diversity of land plant and green algal mitochondrial genomes. The mitochondrial rpl10 genes are transcribed in all nine land plants examined, with five seed plant genes subject to RNA editing. In addition, mitochondrial-rpl10-like cDNAs were identified in EST libraries from numerous land plants. In three lineages of angiosperms, rpl10 is either lost from the mitochondrial genome or a pseudogene. In two of them (Brassicaceae and monocots), no nuclear copy of mitochondrial rpl10 is identifiably present, and instead a second copy of nuclear-encoded chloroplast rpl10 is present. Transient assays using green fluorescent protein indicate that this duplicate gene is dual targeted to mitochondria and chloroplasts. We infer that mitochondrial rpl10 has been functionally replaced by duplicated chloroplast counterparts in Brassicaceae and monocots

Local Analysis of Dissipative Dynamical Systems

Linear transformation techniques such as singular value decomposition (SVD) have been used widely to gain insight into the qualitative dynamics of data generated by dynamical systems. There have been several reports in the past that had pointed out the susceptibility of linear transformation approaches in the presence of nonlinear correlations. In this tutorial review, local dispersion along with the surrogate testing is proposed to discriminate nonlinear correlations arising in deterministic and non-deterministic settings.Comment: 85 Pages, 13 Figure