Honey, I shrunk the sample covariance matrix

The central message of this paper is that nobody should be using the samplecovariance matrix for the purpose of portfolio optimization. It containsestimation error of the kind most likely to perturb a mean-varianceoptimizer. In its place, we suggest using the matrix obtained from thesample covariance matrix through a transformation called shrinkage. Thistends to pull the most extreme coefficients towards more central values,thereby systematically reducing estimation error where it matters most.Statistically, the challenge is to know the optimal shrinkage intensity,and we give the formula for that. Without changing any other step in theportfolio optimization process, we show on actual stock market data thatshrinkage reduces tracking error relative to a benchmark index, andsubstantially increases the realized information ratio of the activeportfolio manager.

Improved estimation of the covariance matrix of stock returns with an application to portofolio selection

This paper proposes to estimate the covariance matrix of stock returnsby an optimally weighted average of two existing estimators: the samplecovariance matrix and single-index covariance matrix. This method isgenerally known as shrinkage, and it is standard in decision theory andin empirical Bayesian statistics. Our shrinkage estimator can be seenas a way to account for extra-market covariance without having to specifyan arbitrary multi-factor structure. For NYSE and AMEX stock returns from1972 to 1995, it can be used to select portfolios with significantly lowerout-of-sample variance than a set of existing estimators, includingmulti-factor models.

Amelioration of Duchenne muscular dystrophy in mdx mice by elimination of matrix-associated fibrin-driven inflammation coupled to the αMβ2 leukocyte integrin receptor

In Duchenne muscular dystrophy (DMD), a persistently altered and reorganizing extracellular matrix (ECM) within inflamed muscle promotes damage and dysfunction. However, the molecular determinants of the ECM that mediate inflammatory changes and faulty tissue reorganization remain poorly defined. Here, we show that fibrin deposition is a conspicuous consequence of muscle-vascular damage in dystrophic muscles of DMD patients and mdx mice and that elimination of fibrin(ogen) attenuated dystrophy progression in mdx mice. These benefits appear to be tied to: (i) a decrease in leukocyte integrin α(M)β(2)-mediated proinflammatory programs, thereby attenuating counterproductive inflammation and muscle degeneration; and (ii) a release of satellite cells from persistent inhibitory signals, thereby promoting regeneration. Remarkably, Fib-gamma(390-396A) (Fibγ(390-396A)) mice expressing a mutant form of fibrinogen with normal clotting function, but lacking the α(M)β(2) binding motif, ameliorated dystrophic pathology. Delivery of a fibrinogen/α(M)β(2) blocking peptide was similarly beneficial. Conversely, intramuscular fibrinogen delivery sufficed to induce inflammation and degeneration in fibrinogen-null mice. Thus, local fibrin(ogen) deposition drives dystrophic muscle inflammation and dysfunction, and disruption of fibrin(ogen)-α(M)β(2) interactions may provide a novel strategy for DMD treatment.

Botulinum neurotoxin type A blocks the morphological changes induced by chemical stimulation on the presynaptic membrane of Torpedo synaptosomes.

The action of botulinum neurotoxin on acetylcholine release, and on the structural changes at the presynaptic membrane associated with the transmitter release,was studied by using a subcellular fraction of cholinergic nerve terminals (synaptosomes) isolated from the Torpedo electric organ. Acetylcholine and ATP release were continuously monitored by chemiluminescent methods.To catch the membrane morphological changes, the quick-freezing method was applied. Our results show that botulinum neurotoxin inhibits the release of acetylcholine from these isolated nerve terminals in a dose-dependent manner, whereas ATP release is not affected. The maximal inhibition (70%) is achieved at neurotoxin concentrations as low as 125 pM with an incubation time of 6 min. This effect is not linked to an alteration of the integrity of the synaptosomes since, after poisoning by botulinum neurotoxin type A, they show a nonmodified occluded lactate dehydrogenase activity. Moreover, membrane potential is not altered by the toxin with respect to the control, either in resting condition or after potassium depolarization. In addition to acetylcholine release inhibition, botulinum neurotoxin blocks the rearrangement of the presynaptic intramembrane particles induced by potassium stimulation. The action of botulinum neurotoxin suggests that the intramembrane particle rearrangement is related to the acetylcholine secretion induced by potassium stimulation in synaptosomes isolated from the electric organ of Torpedo marmorata.

Mapping cell-matrix stresses during stretch reveals inelastic reorganization of the cytoskeleton.

The mechanical properties of the living cell are intimately related to cell signaling biology through cytoskeletal tension. The tension borne by the cytoskeleton (CSK) is in part generated internally by the actomyosin machinery and externally by stretch. Here we studied how cytoskeletal tension is modified during stretch and the tensional changes undergone by the sites of cell-matrix interaction. To this end we developed a novel technique to map cell-matrix stresses during application of stretch. We found that cell-matrix stresses increased with imposition of stretch but dropped below baseline levels on stretch release. Inhibition of the actomyosin machinery resulted in a larger relative increase in CSK tension with stretch and in a smaller drop in tension after stretch release. Cell-matrix stress maps showed that the loci of cell adhesion initially bearing greater stress also exhibited larger drops in traction forces after stretch removal. Our results suggest that stretch partially disrupts the actin-myosin apparatus and the cytoskeletal structures that support the largest CSK tension. These findings indicate that cells use the mechanical energy injected by stretch to rapidly reorganize their structure and redistribute tension.

Building a Social Accounting Matrix within the ESA95 Framework: Obtaining a Dataset for Applied General Equilibrium Modelling

This research provides a description of the process followed in order to assemble a "Social Accounting Matrix" for Spain corresponding to the year 2000 (SAMSP00). As argued in the paper, this process attempts to reconcile ESA95 conventions with requirements of applied general equilibrium modelling. Particularly, problems related to the level of aggregation of net taxation data, and to the valuation system used for expressing the monetary value of input-output transactions have deserved special attention. Since the adoption of ESA95 conventions, input-output transactions have been preferably valued at basic prices, which impose additional difficulties on modellers interested in computing applied general equilibrium models. This paper addresses these difficulties by developing a procedure that allows SAM-builders to change the valuation system of input-output transactions conveniently. In addition, this procedure produces new data related to net taxation information.

The mean-variance model from the inverse of the variance-covariance matrix

En este artículo, a partir de la inversa de la matriz de varianzas y covarianzas se obtiene el modelo Esperanza-Varianza de Markowitz siguiendo un camino más corto y matemáticamente riguroso. También se obtiene la ecuación de equilibrio del CAPM de Sharpe.

Security strategies and equilibria in multiobjetives matrix games

Multiobjective matrix games have been traditionally analyzed from two different points of view: equiibrium concepts and security strategies. This paper is based upon the idea that both players try to reach equilibrium points playing pairs of security strategies, as it happens in scalar matrix games. We show conditions guaranteeing the existence of equilibria in security strategies, named security equilibria

Semiclassical evaluation of average nuclear one- and two-body matrix elements

Thomas-Fermi theory is developed to evaluate nuclear matrix elements averaged on the energy shell, on the basis of independent particle Hamiltonians. One- and two-body matrix elements are compared with the quantal results, and it is demonstrated that the semiclassical matrix elements, as function of energy, well pass through the average of the scattered quantum values. For the one-body matrix elements it is shown how the Thomas-Fermi approach can be projected on good parity and also on good angular momentum. For the two-body case, the pairing matrix elements are considered explicitly.

Density matrix functional theory that includes pairing correlations

The extension of density functional theory (DFT) to include pairing correlations without formal violation of the particle-number conservation condition is described. This version of the theory can be considered as a foundation of the application of existing DFT plus pairing approaches to atoms, molecules, ultracooled and magnetically trapped atomic Fermi gases, and atomic nuclei where the number of particles is conserved exactly. The connection with Hartree-Fock-Bogoliubov (HFB) theory is discussed, and the method of quasilocal reduction of the nonlocal theory is also described. This quasilocal reduction allows equations of motion to be obtained which are much simpler for numerical solution than the equations corresponding to the nonlocal case. Our theory is applied to the study of some even Sn isotopes, and the results are compared with those obtained in the standard HFB theory and with the experimental ones.

Viscous fingering in liquid crystals: Anisotropy and morphological transitions

We show that a minimal model for viscous fingering with a nematic liquid crystal in which anisotropy is considered to enter through two different viscosities in two perpendicular directions can be mapped to a twofold anisotropy in the surface tension. We numerically integrate the dynamics of the resulting problem with the phase-field approach to find and characterize a transition between tip splitting and side branching as a function of both anisotropy and dimensionless surface tension. This anisotropy dependence could explain the experimentally observed (reentrant) transition as temperature and applied pressure are varied. Our observations are also consistent with previous experimental evidence in viscous fingering within an etched cell and simulations of solidification.

Electrical and optical properties of Zn-In-Sn-O transparent conducting thin films

Indium tin oxide (ITO) is one of the widely used transparent conductive oxides (TCO) for application as transparent electrode in thin film silicon solar cells or thin film transistors owing to its low resistivity and high transparency. Nevertheless, indium is a scarce and expensive element and ITO films require high deposition temperature to achieve good electrical and optical properties. On the other hand, although not competing as ITO, doped Zinc Oxide (ZnO) is a promising and cheaper alternative. Therefore, our strategy has been to deposit ITO and ZnO multicomponent thin films at room temperature by radiofrequency (RF) magnetron co-sputtering in order to achieve TCOs with reduced indium content. Thin films of the quaternary system Zn-In-Sn-O (ZITO) with improved electrical and optical properties have been achieved. The samples were deposited by applying different RF powers to ZnO target while keeping a constant RF power to ITO target. This led to ZITO films with zinc content ratio varying between 0 and 67%. The optical, electrical and morphological properties have been thoroughly studied. The film composition was analysed by X-ray Photoelectron Spectroscopy. The films with 17% zinc content ratio showed the lowest resistivity (6.6 × 10 - 4 Ω cm) and the highest transmittance (above 80% in the visible range). Though X-ray Diffraction studies showed amorphous nature for the films, using High Resolution Transmission Electron Microscopy we found that the microstructure of the films consisted of nanometric crystals embedded in a compact amorphous matrix. The effect of post deposition annealing on the films in both reducing and oxidizing atmospheres were studied. The changes were found to strongly depend on the zinc content ratio in the films.

Squared interaction matrix Sherrington-Kirkpatrick model for a spin glass

The mean-field theory of a spin glass with a specific form of nearest- and next-nearest-neighbor interactions is investigated. Depending on the sign of the interaction matrix chosen we find either the continuous replica symmetry breaking seen in the Sherrington-Kirkpartick model or a one-step solution similar to that found in structural glasses. Our results are confirmed by numerical simulations and the link between the type of spin-glass behavior and the density of eigenvalues of the interaction matrix is discussed.