Portafolio selection with skewness: a comparison of methods and a generalized two fund separation result

This contribution compares existing and newly developed techniques for geometrically representing mean-variances-kewness portfolio frontiers based on the rather widely adapted methodology of polynomial goal programming (PGP) on the one hand and the more recent approach based on the shortage function on the other hand. Moreover, we explain the working of these different methodologies in detail and provide graphical illustrations. Inspired by these illustrations, we prove a generalization of the well-known two fund separation theorem from traditionalmean-variance portfolio theory.

Assembling genes from predicted exons in linear time with dynamic programming

In a number of programs for gene structure prediction in higher eukaryotic genomic sequences, exon prediction is decoupled from gene assembly: a large pool of candidate exons is predicted and scored from features located in the query DNA sequence, and candidate genes are assembled from such a pool as sequences of nonoverlapping frame-compatible exons. Genes are scored as a function of the scores of the assembled exons, and the highest scoring candidate gene is assumed to be the most likely gene encoded by the query DNA sequence. Considering additive gene scoring functions, currently available algorithms to determine such a highest scoring candidate gene run in time proportional to the square of the number of predicted exons. Here, we present an algorithm whose running time grows only linearly with the size of the set of predicted exons. Polynomial algorithms rely on the fact that, while scanning the set of predicted exons, the highest scoring gene ending in a given exon can be obtained by appending the exon to the highest scoring among the highest scoring genes ending at each compatible preceding exon. The algorithm here relies on the simple fact that such highest scoring gene can be stored and updated. This requires scanning the set of predicted exons simultaneously by increasing acceptor and donor position. On the other hand, the algorithm described here does not assume an underlying gene structure model. Indeed, the definition of valid gene structures is externally defined in the so-called Gene Model. The Gene Model specifies simply which gene features are allowed immediately upstream which other gene features in valid gene structures. This allows for great flexibility in formulating the gene identification problem. In particular it allows for multiple-gene two-strand predictions and for considering gene features other than coding exons (such as promoter elements) in valid gene structures.

Minimizing recombinations in consensus networks for phylogeographic studies

Background: We address the problem of studying recombinational variations in (human) populations. In this paper, our focus is on one computational aspect of the general task: Given two networks G1 and G2, with both mutation and recombination events, defined on overlapping sets of extant units the objective is to compute a consensus network G3 with minimum number of additional recombinations. We describe a polynomial time algorithm with a guarantee that the number of computed new recombination events is within ϵ = sz(G1, G2) (function sz is a well-behaved function of the sizes and topologies of G1 and G2) of the optimal number of recombinations. To date, this is the best known result for a network consensus problem.Results: Although the network consensus problem can be applied to a variety of domains, here we focus on structure of human populations. With our preliminary analysis on a segment of the human Chromosome X data we are able to infer ancient recombinations, population-specific recombinations and more, which also support the widely accepted 'Out of Africa' model. These results have been verified independently using traditional manual procedures. To the best of our knowledge, this is the first recombinations-based characterization of human populations. Conclusion: We show that our mathematical model identifies recombination spots in the individual haplotypes; the aggregate of these spots over a set of haplotypes defines a recombinational landscape that has enough signal to detect continental as well as population divide based on a short segment of Chromosome X. In particular, we are able to infer ancient recombinations, population-specific recombinations and more, which also support the widely accepted 'Out of Africa' model. The agreement with mutation-based analysis can be viewed as an indirect validation of our results and the model. Since the model in principle gives us more information embedded in the networks, in our future work, we plan to investigate more non-traditional questions via these structures computed by our methodology.

On codes, matroids, and secure multiparty computation from linear secret-sharing schemes

Error-correcting codes and matroids have been widely used in the study of ordinary secret sharing schemes. In this paper, the connections between codes, matroids, and a special class of secret sharing schemes, namely, multiplicative linear secret sharing schemes (LSSSs), are studied. Such schemes are known to enable multiparty computation protocols secure against general (nonthreshold) adversaries.Two open problems related to the complexity of multiplicative LSSSs are considered in this paper. The first one deals with strongly multiplicative LSSSs. As opposed to the case of multiplicative LSSSs, it is not known whether there is an efficient method to transform an LSSS into a strongly multiplicative LSSS for the same access structure with a polynomial increase of the complexity. A property of strongly multiplicative LSSSs that could be useful in solving this problem is proved. Namely, using a suitable generalization of the well-known Berlekamp–Welch decoder, it is shown that all strongly multiplicative LSSSs enable efficient reconstruction of a shared secret in the presence of malicious faults. The second one is to characterize the access structures of ideal multiplicative LSSSs. Specifically, the considered open problem is to determine whether all self-dual vector space access structures are in this situation. By the aforementioned connection, this in fact constitutes an open problem about matroid theory, since it can be restated in terms of representability of identically self-dual matroids by self-dual codes. A new concept is introduced, the flat-partition, that provides a useful classification of identically self-dual matroids. Uniform identically self-dual matroids, which are known to be representable by self-dual codes, form one of the classes. It is proved that this property also holds for the family of matroids that, in a natural way, is the next class in the above classification: the identically self-dual bipartite matroids.

On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives

This paper analyses the robustness of Least-Squares Monte Carlo, a techniquerecently proposed by Longstaff and Schwartz (2001) for pricing Americanoptions. This method is based on least-squares regressions in which theexplanatory variables are certain polynomial functions. We analyze theimpact of different basis functions on option prices. Numerical resultsfor American put options provide evidence that a) this approach is veryrobust to the choice of different alternative polynomials and b) few basisfunctions are required. However, these conclusions are not reached whenanalyzing more complex derivatives.

La Acumulación de concursos

La Ley Concursal, en sus artículos 3 y 25, regula la posibilidad de acumular concursos instados o ya declarados frente a varios deudores. Dado que dichos artículos se limitan a autorizar la acumulación de acciones y procesos sin establecer una pauta sobre el alcance y significado de tal acumulación, en este trabajo se analizan y plantean diferentes problemas procesales referidos a la Ley Concursal, así como se sugieren reformas legales para determinar las consecuencias procesales derivadas de dicha acumulación.

Development of the femur - Implications for age and sex determination.

Growth of four variables of the femur (diapyseal length, diaphyseal length plus distal epiphysis, maximum length and vertical diameter of the head) was analyzed by polynomial regression for the purpose of evaluating its significance and capacity for age and sex determination throughout the entire life continuum. Materials included in analysis consisted of 346 specimens ranging from birth to 97 years of age from five documented osteological collections of Western European descent. Linear growth was displayed by each of the four variables. Significant sexual dimorphism was identified in two of the femoral measurements, including maximum length and vertical diameter of the head, from age 15 onward. These results indicate that the two variables may be of use in the determination of sex in sex determination from that age onward. Strong correlation coefficients were identified between femoral size and age for each of the four metric variables. These results indicate that any of the femoral measurements is likely to serve as a useful source to estimate sub-adult age in both archaeological and forensic samples.

Equidistribution of Fekete Points on the Sphere

Fekete points are the points that maximize a Vandermonde-type determinant that appears in the polynomial Lagrange interpolation formula. They are well suited points for interpolation formulas and numerical integration. We prove the asymptotic equidistribution of Fekete points in the sphere. The way we proceed is by showing their connection to other arrays of points, the so-called Marcinkiewicz-Zygmund arrays and interpolating arrays, that have been studied recently.

Dynamics of flow: a nonlinear perspective

The aims of this study are to consider the experience of flow from a nonlinear dynamics perspective. The processes and temporal nature of intrinsic motivation and flow, would suggest that flow experiences fluctuate over time in a dynamical fashion. Thus it can be argued that the potential for chaos is strong. The sample was composed of 20 employees (both full and part time) recruited from a number of different organizations and work backgrounds. The Experience Sampling Method (ESM) was used for data collection. Once obtained the temporal series, they were subjected to various analyses proper to the com- plexity theory (Visual Recurrence Analysis and Surrogate Data Analysis). Results showed that in 80% of the cases, flow presented a chaotic dynamic, in that, flow experiences delineated a complex dynamic whose patterns of change were not easy to predict. Implications of the study, its limitations and future research are discussed.

Width and serialization of classical planning problems

We introduce a width parameter that bounds the complexity of classical planning problems and domains, along with a simple but effective blind-search procedure that runs in time that is exponential in the problem width. We show that many benchmark domains have a bounded and small width provided thatgoals are restricted to single atoms, and hence that such problems are provably solvable in low polynomial time. We then focus on the practical value of these ideas over the existing benchmarks which feature conjunctive goals. We show that the blind-search procedure can be used for both serializing the goal into subgoals and for solving the resulting problems, resulting in a ‘blind’ planner that competes well with a best-first search planner guided by state-of-the-art heuristics. In addition, ideas like helpful actions and landmarks can be integrated as well, producing a planner with state-of-the-art performance.

Parametric Approach to Blind Deconvolution of Nonlinear Channels

A parametric procedure for the blind inversion of nonlinear channels is proposed, based on a recent method of blind source separation in nonlinear mixtures. Experiments show that the proposed algorithms perform efficiently, even in the presence of hard distortion. The method, based on the minimization of the output mutual information, needs the knowledge of log-derivative of input distribution (the so-called score function). Each algorithm consists of three adaptive blocks: one devoted to adaptive estimation of the score function, and two other blocks estimating the inverses of the linear and nonlinear parts of the channel, (quasi-)optimally adapted using the estimated score functions. This paper is mainly concerned by the nonlinear part, for which we propose two parametric models, the first based on a polynomial model and the second on a neural network, while [14, 15] proposed non-parametric approaches.

Symmetric periodic orbits near a heteroclinic loop in R3 formed by two singular points, a semistable periodic orbit and their invariant manifolds

In this paper we consider C1 vector fields X in R3 having a “generalized heteroclinic loop” L which is topologically homeomorphic to the union of a 2–dimensional sphere S2 and a diameter connecting the north with the south pole. The north pole is an attractor on S2 and a repeller on . The equator of the sphere is a periodic orbit unstable in the north hemisphere and stable in the south one. The full space is topologically homeomorphic to the closed ball having as boundary the sphere S2. We also assume that the flow of X is invariant under a topological straight line symmetry on the equator plane of the ball. For each n ∈ N, by means of a convenient Poincar´e map, we prove the existence of infinitely many symmetric periodic orbits of X near L that gives n turns around L in a period. We also exhibit a class of polynomial vector fields of degree 4 in R3 satisfying this dynamics.

Symmetric periodic orbits near a heteroclinic loop formed by two singular points and their invariant manifolds of dimension 1 and 2

In this paper we consider vector fields in R3 that are invariant under a suitable symmetry and that posses a “generalized heteroclinic loop” L formed by two singular points (e+ and e −) and their invariant manifolds: one of dimension 2 (a sphere minus the points e+ and e −) and one of dimension 1 (the open diameter of the sphere having endpoints e+ and e −). In particular, we analyze the dynamics of the vector field near the heteroclinic loop L by means of a convenient Poincar´e map, and we prove the existence of infinitely many symmetric periodic orbits near L. We also study two families of vector fields satisfying this dynamics. The first one is a class of quadratic polynomial vector fields in R3, and the second one is the charged rhomboidal four body problem.

A(-infinity)-interpolation in the ball

We give a necessary and sufficient condition for a sequence [ak}k in the unit ball of C° to be interpolating for the class A~°° of holomorphic functions with polynomial growth. The condition, which goes along the lines of the ones given by Berenstein and Li for some weighted spaces of entire functions and by Amar for H°° functions in the ball, is given in terms of the derivatives of m > n functions F Fm e A~°° vanishing on {ak)k.

Global periodicity conditions for maps and recurrences via Normal Forms

We face the problem of characterizing the periodic cases in parametric families of (real or complex) rational diffeomorphisms having a fixed point. Our approach relies on the Normal Form Theory, to obtain necessary conditions for the existence of a formal linearization of the map, and on the introduction of a suitable rational parametrization of the parameters of the family. Using these tools we can find a finite set of values p for which the map can be p-periodic, reducing the problem of finding the parameters for which the periodic cases appear to simple computations. We apply our results to several two and three dimensional classes of polynomial or rational maps. In particular we find the global periodic cases for several Lyness type recurrences