Optimal leverage from non-ergodicity

In modern portfolio theory, the balancing of expected returns on investments against uncertainties in those returns is aided by the use of utility functions. The Kelly criterion offers another approach, rooted in information theory, that always implies logarithmic utility. The two approaches seem incompatible, too loosely or too tightly constraining investors' risk preferences, from their respective perspectives. The conflict can be understood on the basis that the multiplicative models used in both approaches are non-ergodic which leads to ensemble-average returns differing from time-average returns in single realizations. The classic treatments, from the very beginning of probability theory, use ensemble-averages, whereas the Kelly-result is obtained by considering time-averages. Maximizing the time-average growth rates for an investment defines an optimal leverage, whereas growth rates derived from ensemble-average returns depend linearly on leverage. The latter measure can thus incentivize investors to maximize leverage, which is detrimental to time-average growth and overall market stability. The Sharpe ratio is insensitive to leverage. Its relation to optimal leverage is discussed. A better understanding of the significance of time-irreversibility and non-ergodicity and the resulting bounds on leverage may help policy makers in reshaping financial risk controls.Comment: 17 pages, 3 figures. Updated figures and extended discussion of ergodicit

Proliferation and estrogen signaling can distinguish patients at risk for early versus late relapse among estrogen receptor positive breast cancers

Introduction: We examined if a combination of proliferation markers and estrogen receptor (ER) activity could predict early versus late relapses in ER-positive breast cancer and inform the choice and length of adjuvant endocrine therapy. Methods: Baseline affymetrix gene-expression profiles from ER-positive patients who received no systemic therapy (n = 559), adjuvant tamoxifen for 5 years (cohort-1: n = 683, cohort-2: n = 282) and from 58 patients treated with neoadjuvant letrozole for 3 months (gene-expression available at baseline, 14 and 90 days) were analyzed. A proliferation score based on the expression of mitotic kinases (MKS) and an ER-related score (ERS) adopted from Oncotype DX® were calculated. The same analysis was performed using the Genomic Grade Index as proliferation marker and the luminal gene score from the PAM50 classifier as measure of estrogen-related genes. Median values were used to define low and high marker groups and four combinations were created. Relapses were grouped into time cohorts of 0-2.5, 0-5, 5-10 years. Results: In the overall 10 years period, the proportional hazards assumption was violated for several biomarker groups indicating time-dependent effects. In tamoxifen-treated patients Low-MKS/Low-ERS cancers had continuously increasing risk of relapse that was higher after 5 years than Low-MKS/High-ERS cancers [0 to 10 year, HR 3.36; p = 0.013]. High-MKS/High-ERS cancers had low risk of early relapse [0-2.5 years HR 0.13; p = 0.0006], but high risk of late relapse which was higher than in the High-MKS/Low-ERS group [after 5 years HR 3.86; p = 0.007]. The High-MKS/Low-ERS subset had most of the early relapses [0 to 2.5 years, HR 6.53; p < 0.0001] especially in node negative tumors and showed minimal response to neoadjuvant letrozole. These findings were qualitatively confirmed in a smaller independent cohort of tamoxifen-treated patients. Using different biomarkers provided similar results. Conclusions: Early relapses are highest in highly proliferative/low-ERS cancers, in particular in node negative tumors. Relapses occurring after 5 years of adjuvant tamoxifen are highest among the highly-proliferative/high-ERS tumors although their risk of recurrence is modest in the first 5 years on tamoxifen. These tumors could be the best candidates for extended endocrine therapy

A numerical study on the evolution of portfolio rules

In this paper we test computationally the performance of CAPM in an evolutionary setting. In particular we study the stability of distribution of wealth in a financial market where some traders invest as prescribed by CAPM and others behave according to different portfolio rules. Our study is motivated by recent analytical results that show that, whenever a logarithmic utility maximiser enters the market, CAPM traders vanish in the long run. Our analysis provides further insights and extends these results. We simulate a sequence of trades in a financial market and: first, we address the issue of how long is the long run in different parametric settings; second, we study the effect of heterogeneous savings behaviour on asymptotic wealth shares. We find that CAPM is particularly “unfit” for highly risky environments

Zircon ages in granulite facies rocks: decoupling from geochemistry above 850 °C?

Granulite facies rocks frequently show a large spread in their zircon ages, the interpretation of which raises questions: Has the isotopic system been disturbed? By what process(es) and conditions did the alteration occur? Can the dates be regarded as real ages, reflecting several growth episodes? Furthermore, under some circumstances of (ultra-)high-temperature metamorphism, decoupling of zircon U–Pb dates from their trace element geochemistry has been reported. Understanding these processes is crucial to help interpret such dates in the context of the P–T history. Our study presents evidence for decoupling in zircon from the highest grade metapelites (> 850 °C) taken along a continuous high-temperature metamorphic field gradient in the Ivrea Zone (NW Italy). These rocks represent a well-characterised segment of Permian lower continental crust with a protracted high-temperature history. Cathodoluminescence images reveal that zircons in the mid-amphibolite facies preserve mainly detrital cores with narrow overgrowths. In the upper amphibolite and granulite facies, preserved detrital cores decrease and metamorphic zircon increases in quantity. Across all samples we document a sequence of four rim generations based on textures. U–Pb dates, Th/U ratios and Ti-in-zircon concentrations show an essentially continuous evolution with increasing metamorphic grade, except in the samples from the granulite facies, which display significant scatter in age and chemistry. We associate the observed decoupling of zircon systematics in high-grade non-metamict zircon with disturbance processes related to differences in behaviour of non-formula elements (i.e. Pb, Th, U, Ti) at high-temperature conditions, notably differences in compatibility within the crystal structure

A characteristics framework for Semantic Information Systems Standards

Semantic Information Systems (IS) Standards play a critical role in the development of the networked economy. While their importance is undoubted by all stakeholders—such as businesses, policy makers, researchers, developers—the current state of research leaves a number of questions unaddressed. Terminological confusion exists around the notions of “business semantics”, “business-to-business interoperability”, and “interoperability standards” amongst others. And, moreover, a comprehensive understanding about the characteristics of Semantic IS Standards is missing. The paper addresses this gap in literature by developing a characteristics framework for Semantic IS Standards. Two case studies are used to check the applicability of the framework in a “real-life” context. The framework lays the foundation for future research in an important field of the IS discipline and supports practitioners in their efforts to analyze, compare, and evaluate Semantic IS Standard

Measurement of the inclusive and dijet cross-sections of b-jets in pp collisions at sqrt(s) = 7 TeV with the ATLAS detector

The inclusive and dijet production cross-sections have been measured for jets containing b-hadrons (b-jets) in proton-proton collisions at a centre-of-mass energy of sqrt(s) = 7 TeV, using the ATLAS detector at the LHC. The measurements use data corresponding to an integrated luminosity of 34 pb^-1. The b-jets are identified using either a lifetime-based method, where secondary decay vertices of b-hadrons in jets are reconstructed using information from the tracking detectors, or a muon-based method where the presence of a muon is used to identify semileptonic decays of b-hadrons inside jets. The inclusive b-jet cross-section is measured as a function of transverse momentum in the range 20 < pT < 400 GeV and rapidity in the range |y| < 2.1. The bbbar-dijet cross-section is measured as a function of the dijet invariant mass in the range 110 < m_jj < 760 GeV, the azimuthal angle difference between the two jets and the angular variable chi in two dijet mass regions. The results are compared with next-to-leading-order QCD predictions. Good agreement is observed between the measured cross-sections and the predictions obtained using POWHEG + Pythia. MC@NLO + Herwig shows good agreement with the measured bbbar-dijet cross-section. However, it does not reproduce the measured inclusive cross-section well, particularly for central b-jets with large transverse momenta.Comment: 10 pages plus author list (21 pages total), 8 figures, 1 table, final version published in European Physical Journal

Lignin biomarkers as tracers of mercury sources in lakes water column

This study presents the role of specific terrigenous organic compounds as important vectors of mercury (Hg) transported from watersheds to lakes of the Canadian boreal forest. In order to differentiate the autochthonous from the allochthonous organic matter (OM), lignin derived biomarker signatures [Lambda, S/V, C/V, P/(V ? S), 3,5-Bd/V and (Ad/Al)v] were used. Since lignin is exclusively produced by terrigenous plants, this approach can give a non equivocal picture of the watershed inputs to the lakes. Moreover, it allows a characterization of the source of OM and its state of degradation. The water column of six lakes from the Canadian Shield was sampled monthly between June and September 2005. Lake total dissolved Hg concentrations and Lambda were positively correlated, meaning that Hg and ligneous inputs are linked (dissolved OM r2 = 0.62, p\0.0001; particulate OM r2 = 0.76, p\0.0001). Ratios of P/(V ? S) and 3,5-Bd/V from both dissolved OM and particulate OM of the water column suggest an inverse relationship between the progressive state of pedogenesis and maturation of the OM in soil before entering the lake, and the Hg concentrations in the water column. No relation was found between Hg levels in the lakes and the watershed flora composition—angiosperm versus gymnosperm or woody versus non-woody compounds. This study has significant implications for watershed management of ecosystems since limiting fresh terrestrial OM inputs should reduce Hg inputs to the aquatic systems. This is particularly the case for largescale land-use impacts, such as deforestation, agriculture and urbanization, associated to large quantities of soil OM being transferred to aquatic systems

Lectin-like bacteriocins from pseudomonas spp. utilise D-rhamnose containing lipopolysaccharide as a cellular receptor

Lectin-like bacteriocins consist of tandem monocot mannose-binding domains and display a genus-specific killing activity. Here we show that pyocin L1, a novel member of this family from Pseudomonas aeruginosa, targets susceptible strains of this species through recognition of the common polysaccharide antigen (CPA) of P. aeruginosa lipopolysaccharide that is predominantly a homopolymer of d-rhamnose. Structural and biophysical analyses show that recognition of CPA occurs through the C-terminal carbohydrate-binding domain of pyocin L1 and that this interaction is a prerequisite for bactericidal activity. Further to this, we show that the previously described lectin-like bacteriocin putidacin L1 shows a similar carbohydrate-binding specificity, indicating that oligosaccharides containing d-rhamnose and not d-mannose, as was previously thought, are the physiologically relevant ligands for this group of bacteriocins. The widespread inclusion of d-rhamnose in the lipopolysaccharide of members of the genus Pseudomonas explains the unusual genus-specific activity of the lectin-like bacteriocins

Eculizumab treatment: stochastic occurrence of C3 binding to individual PNH erythrocytes

C5 blockade by eculizumab prevents complement-mediated intravascular hemolysis in paroxysmal nocturnal hemoglobinuria (PNH). However, C3-bound PNH red blood cells (RBCs), arising in almost all treated patients, may undergo extravascular hemolysis reducing clinical benefits. Despite the uniform deficiency of CD55 and of CD59, there are always two distinct populations of PNH RBCs, with (C3+) and without (C3-) C3 binding

Recent breast cancer trends among Asian/Pacific Islander, Hispanic, and African-American women in the US: changes by tumor subtype

Abstract available at publisher's website