A robust optimization approach for index tracking problem

Index tracking is an investment approach where the primary objective is to keep portfolio return as close as possible to a target index without purchasing all index components. The main purpose is to minimize the tracking error between the returns of the selected portfolio and a benchmark. In this paper, quadratic as well as linear models are presented for minimizing the tracking error. The uncertainty is considered in the input data using a tractable robust framework that controls the level of conservatism while maintaining linearity. The linearity of the proposed robust optimization models allows a simple implementation of an ordinary optimization software package to find the optimal robust solution. The proposed model of this paper employs Morgan Stanley Capital International Index as the target index and the results are reported for six national indices including Japan, the USA, the UK, Germany, Switzerland and France. The performance of the proposed models is evaluated using several financial criteria e.g. information ratio, market ratio, Sharpe ratio and Treynor ratio. The preliminary results demonstrate that the proposed model lowers the amount of tracking error while raising values of portfolio performance measures.

Assessing acculturation over time: A four-year prospective study of Asian American young adults

Acculturation is commonly defined as a dynamic and multidimensional process in which individuals and groups change over time when coming into contact with another culture. Despite the emphasis on acculturation as a process of change over time, few researchers have directly assessed this hypothesis. The current study first identifies and then examines "stable" and "dynamic" dimensions of acculturation within a 4-year prospective study of 433 first- and second-generation Chinese- and Korean-American college students. Separate growth model analyses revealed significant linear change for first-generation students toward greater U.S. acculturation. In comparison, tests of linear and quadratic change for second-generation students were not significant. When stratifying by gender, acculturation increased for women but there was no significant change in acculturation for men. While all students reported increases in alcohol consumption over the study period, changes in acculturation predicted changes in alcohol consumption only for women. Chinese men showed greater increases in alcohol consumption than Korean men but there was no effect for ethnicity among women. There was significant individual variability in the models, which underscores the importance of examining change prospectively through within and between person analyses. The findings highlight the importance of examining acculturation changes over time for different migrant groups with implications for further development of acculturation measures, research methodologies, and health interventions. More prospective research designs of acculturation are needed to examine changes in health behavior and overall adaptation across migrant groups at varying stages of development.

Tracking adversarial targets

We study linear control problems with quadratic losses and adversarially chosen tracking targets. We present an efficient algorithm for this problem and show that, under standard conditions on the linear system, its regret with respect to an optimal linear policy grows as O(log^2 T), where T is the number of rounds of the game. We also study a problem with adversarially chosen transition dynamics; we present an exponentiallyweighted average algorithm for this problem, and we give regret bounds that grow as O(sqtr p T).

Model selection with misspecified spatial covariance structure

Spatial data analysis has become more and more important in the studies of ecology and economics during the last decade. One focus of spatial data analysis is how to select predictors, variance functions and correlation functions. However, in general, the true covariance function is unknown and the working covariance structure is often misspecified. In this paper, our target is to find a good strategy to identify the best model from the candidate set using model selection criteria. This paper is to evaluate the ability of some information criteria (corrected Akaike information criterion, Bayesian information criterion (BIC) and residual information criterion (RIC)) for choosing the optimal model when the working correlation function, the working variance function and the working mean function are correct or misspecified. Simulations are carried out for small to moderate sample sizes. Four candidate covariance functions (exponential, Gaussian, Matern and rational quadratic) are used in simulation studies. With the summary in simulation results, we find that the misspecified working correlation structure can still capture some spatial correlation information in model fitting. When the sample size is large enough, BIC and RIC perform well even if the the working covariance is misspecified. Moreover, the performance of these information criteria is related to the average level of model fitting which can be indicated by the average adjusted R square ( [GRAPHICS] ), and overall RIC performs well.

On the order of the fractional Laplacian in determining the spatio-temporal evolution of a space-fractional model of cardiac electrophysiology

Space-fractional operators have been used with success in a variety of practical applications to describe transport processes in media characterised by spatial connectivity properties and high structural heterogeneity altering the classical laws of diffusion. This study provides a systematic investigation of the spatio-temporal effects of a space-fractional model in cardiac electrophysiology. We consider a simplified model of electrical pulse propagation through cardiac tissue, namely the monodomain formulation of the Beeler-Reuter cell model on insulated tissue fibres, and obtain a space-fractional modification of the model by using the spectral definition of the one-dimensional continuous fractional Laplacian. The spectral decomposition of the fractional operator allows us to develop an efficient numerical method for the space-fractional problem. Particular attention is paid to the role played by the fractional operator in determining the solution behaviour and to the identification of crucial differences between the non-fractional and the fractional cases. We find a positive linear dependence of the depolarization peak height and a power law decay of notch and dome peak amplitudes for decreasing orders of the fractional operator. Furthermore, we establish a quadratic relationship in conduction velocity, and quantify the increasingly wider action potential foot and more pronounced dispersion of action potential duration, as the fractional order is decreased. A discussion of the physiological interpretation of the presented findings is made.

Double-authentication-preventing signatures

Digital signatures are often used by trusted authorities to make unique bindings between a subject and a digital object; for example, certificate authorities certify a public key belongs to a domain name, and time-stamping authorities certify that a certain piece of information existed at a certain time. Traditional digital signature schemes however impose no uniqueness conditions, so a trusted authority could make multiple certifications for the same subject but different objects, be it intentionally, by accident, or following a (legal or illegal) coercion. We propose the notion of a double-authentication-preventing signature, in which a value to be signed is split into two parts: a subject and a message. If a signer ever signs two different messages for the same subject, enough information is revealed to allow anyone to compute valid signatures on behalf of the signer. This double-signature forgeability property discourages signers from misbehaving—a form of self-enforcement—and would give binding authorities like CAs some cryptographic arguments to resist legal coercion. We give a generic construction using a new type of trapdoor functions with extractability properties, which we show can be instantiated using the group of sign-agnostic quadratic residues modulo a Blum integer; we show an additional application of these new extractable trapdoor functions to standard digital signatures.

A new type of high-order elements based on the mesh-free interpolations

We propose a new type of high-order elements that incorporates the mesh-free Galerkin formulations into the framework of finite element method. Traditional polynomial interpolation is replaced by mesh-free interpolations in the present high-order elements, and the strain smoothing technique is used for integration of the governing equations based on smoothing cells. The properties of high-order elements, which are influenced by the basis function of mesh-free interpolations and boundary nodes, are discussed through numerical examples. It can be found that the basis function has significant influence on the computational accuracy and upper-lower bounds of energy norm, when the strain smoothing technique retains the softening phenomenon. This new type of high-order elements shows good performance when quadratic basis functions are used in the mesh-free interpolations and present elements prove advantageous in adaptive mesh and nodes refinement schemes. Furthermore, it shows less sensitive to the quality of element because it uses the mesh-free interpolations and obeys the Weakened Weak (W2) formulation as introduced in [3, 5].