Different risk measures: different portfolio compositions?

Traditionally, the measure of risk used in portfolio optimisation models is the variance. However, alternative measures of risk have many theoretical and practical advantages and it is peculiar therefore that they are not used more frequently. This may be because of the difficulty in deciding which measure of risk is best and any attempt to compare different risk measures may be a futile exercise until a common risk measure can be identified. To overcome this, another approach is considered, comparing the portfolio holdings produced by different risk measures, rather than the risk return trade-off. In this way we can see whether the risk measures used produce asset allocations that are essentially the same or very different. The results indicate that the portfolio compositions produced by different risk measures vary quite markedly from measure to measure. These findings have a practical consequence for the investor or fund manager because they suggest that the choice of model depends very much on the individual’s attitude to risk rather than any theoretical and/or practical advantages of one model over another.

A simple device for multiplex ELISA made from melt-extruded plastic microcapillary film

We present a simple device for multiplex quantitative enzyme-linked immunosorbant assays (ELISA) made from a novel melt-extruded microcapillary film (MCF) containing a parallel array of 200µm capillaries along its length. To make ELISA devices different protein antigens or antibodies were immobilised inside individual microcapillaries within long reels of MCF extruded from fluorinated ethylene propylene (FEP). Short pieces of coated film were cut and interfaced with a pipette, allowing sequential uptake of samples and detection solutions into all capillaries from a reagent well. As well as being simple to produce, these FEP MCF devices have excellent light transmittance allowing direct optical interrogation of the capillaries for simple signal quantification. Proof of concept experiments demonstrate both quantitative and multiplex assays in FEP MCF devices using a standard direct ELISA procedure and read using a flatbed scanner. This new multiplex immunoassay platform should find applications ranging from lab detection to point-of-care and field diagnostics.

The development of organized structures in polyethylene crystallized from a sheared melt, analyzed by WAXS and TEM

The development of global orientation and morphological features in linear polyethylene crystallizing from a sheared melt are studied using in-situ time-resolving wide angle X-ray scattering (WAXS) and ex-situ transmission electron microscopy. It is found that samples subjected to a shear rate above a critical value of ~1s-1 result in macroscopically oriented structures in the crystallized sample. This critical shear rate appears to be independent of the differences in molecular weight distribution of the samples studied although the morphologies which develop are sensitive to quite small differences in molecular weight distributions. The presence of shish kebabs in the morphology is shown to differ markedly according to variations in the upper molecular weight fraction of the molecular weight distribution, even though the resulting global orientation does not. The WAXS also reveals that areas which evidence no row nucleated structures still realize high degrees of molecular orientation. It is proposed that the formation of shish kebab or lamellar morphologies in these samples is dependent on the critical density of contiguous elongated crystallization nuclei rather than any specific global criteria.

Incorporation of a physically based melt pond scheme into the sea ice component of a climate model

The extent and thickness of the Arctic sea ice cover has decreased dramatically in the past few decades with minima in sea ice extent in September 2005 and 2007. These minima have not been predicted in the IPCC AR4 report, suggesting that the sea ice component of climate models should more realistically represent the processes controlling the sea ice mass balance. One of the processes poorly represented in sea ice models is the formation and evolution of melt ponds. Melt ponds accumulate on the surface of sea ice from snow and sea ice melt and their presence reduces the albedo of the ice cover, leading to further melt. Toward the end of the melt season, melt ponds cover up to 50% of the sea ice surface. We have developed a melt pond evolution theory. Here, we have incorporated this melt pond theory into the Los Alamos CICE sea ice model, which has required us to include the refreezing of melt ponds. We present results showing that the presence, or otherwise, of a representation of melt ponds has a significant effect on the predicted sea ice thickness and extent. We also present a sensitivity study to uncertainty in the sea ice permeability, number of thickness categories in the model representation, meltwater redistribution scheme, and pond albedo. We conclude with a recommendation that our melt pond scheme is included in sea ice models, and the number of thickness categories should be increased and concentrated at lower thicknesses.

A model of the three-dimensional evolution of Arctic melt ponds on first-year and multiyear sea ice

During winter the ocean surface in polar regions freezes over to form sea ice. In the summer the upper layers of sea ice and snow melts producing meltwater that accumulates in Arctic melt ponds on the surface of sea ice. An accurate estimate of the fraction of the sea ice surface covered in melt ponds is essential for a realistic estimate of the albedo for global climate models. We present a melt-pond–sea-ice model that simulates the three-dimensional evolution of melt ponds on an Arctic sea ice surface. The advancements of this model compared to previous models are the inclusion of snow topography; meltwater transport rates are calculated from hydraulic gradients and ice permeability; and the incorporation of a detailed one-dimensional, thermodynamic radiative balance. Results of model runs simulating first-year and multiyear sea ice are presented. Model results show good agreement with observations, with duration of pond coverage, pond area, and ice ablation comparing well for both the first-year ice and multiyear ice cases. We investigate the sensitivity of the melt pond cover to changes in ice topography, snow topography, and vertical ice permeability. Snow was found to have an important impact mainly at the start of the melt season, whereas initial ice topography strongly controlled pond size and pond fraction throughout the melt season. A reduction in ice permeability allowed surface flooding of relatively flat, first-year ice but had little impact on the pond coverage of rougher, multiyear ice. We discuss our results, including model shortcomings and areas of experimental uncertainty.

Impact of melt ponds on Arctic sea ice simulations from 1990 to 2007

The extent and thickness of the Arctic sea ice cover has decreased dramatically in the past few decades with minima in sea ice extent in September 2007 and 2011 and climate models did not predict this decline. One of the processes poorly represented in sea ice models is the formation and evolution of melt ponds. Melt ponds form on Arctic sea ice during the melting season and their presence affects the heat and mass balances of the ice cover, mainly by decreasing the value of the surface albedo by up to 20%. We have developed a melt pond model suitable for forecasting the presence of melt ponds based on sea ice conditions. This model has been incorporated into the Los Alamos CICE sea ice model, the sea ice component of several IPCC climate models. Simulations for the period 1990 to 2007 are in good agreement with observed ice concentration. In comparison to simulations without ponds, the September ice volume is nearly 40% lower. Sensitivity studies within the range of uncertainty reveal that, of the parameters pertinent to the present melt pond parameterization and for our prescribed atmospheric and oceanic forcing, variations of optical properties and the amount of snowfall have the strongest impact on sea ice extent and volume. We conclude that melt ponds will play an increasingly important role in the melting of the Arctic ice cover and their incorporation in the sea ice component of Global Circulation Models is essential for accurate future sea ice forecasts.

Complex formation in solutions of oppositely charged polyelectrolytes at different polyion compositions and salt content

The formation of complexes in solutions containing positively charged polyions (polycations) and a variable amount of negatively charged polyions (polyanions) has been investigated by Monte Carlo simulations. The polyions were described as flexible chains of charged hard spheres interacting through a screened Coulomb potential. The systems were analyzed in terms of cluster compositions, structure factors, and radial distribution functions. At 50% charge equivalence or less, complexes involving two polycations and one polyanion were frequent, while closer to charge equivalence, larger clusters were formed. Small and neutral complexes dominated the solution at charge equivalence in a monodisperse system, while larger clusters again dominated the solution when the polyions were made polydisperse. The cluster composition and solution structure were also examined as functions of added salt by varying the electrostatic screening length. The observed formation of clusters could be rationalized by a few simple rules.

High Resolution Melt (HRM) analysis is an efficient tool to genotype EMS mutants in complex crop genomes

Background: Targeted Induced Loci Lesions IN Genomes (TILLING) is increasingly being used to generate and identify mutations in target genes of crop genomes. TILLING populations of several thousand lines have been generated in a number of crop species including Brassica rapa. Genetic analysis of mutants identified by TILLING requires an efficient, high-throughput and cost effective genotyping method to track the mutations through numerous generations. High resolution melt (HRM) analysis has been used in a number of systems to identify single nucleotide polymorphisms (SNPs) and insertion/deletions (IN/DELs) enabling the genotyping of different types of samples. HRM is ideally suited to high-throughput genotyping of multiple TILLING mutants in complex crop genomes. To date it has been used to identify mutants and genotype single mutations. The aim of this study was to determine if HRM can facilitate downstream analysis of multiple mutant lines identified by TILLING in order to characterise allelic series of EMS induced mutations in target genes across a number of generations in complex crop genomes. Results: We demonstrate that HRM can be used to genotype allelic series of mutations in two genes, BraA.CAX1a and BraA.MET1.a in Brassica rapa. We analysed 12 mutations in BraA.CAX1.a and five in BraA.MET1.a over two generations including a back-cross to the wild-type. Using a commercially available HRM kit and the Lightscanner™ system we were able to detect mutations in heterozygous and homozygous states for both genes. Conclusions: Using HRM genotyping on TILLING derived mutants, it is possible to generate an allelic series of mutations within multiple target genes rapidly. Lines suitable for phenotypic analysis can be isolated approximately 8-9 months (3 generations) from receiving M3 seed of Brassica rapa from the RevGenUK TILLING service.

A continuum model of melt pond evolution on Arctic sea ice

[1] During the Northern Hemisphere summer, absorbed solar radiation melts snow and the upper surface of Arctic sea ice to generate meltwater that accumulates in ponds. The melt ponds reduce the albedo of the sea ice cover during the melting season, with a significant impact on the heat and mass budget of the sea ice and the upper ocean. We have developed a model, designed to be suitable for inclusion into a global circulation model (GCM), which simulates the formation and evolution of the melt pond cover. In order to be compatible with existing GCM sea ice models, our melt pond model builds upon the existing theory of the evolution of the sea ice thickness distribution. Since this theory does not describe the topography of the ice cover, which is crucial to determining the location, extent, and depth of individual ponds, we have needed to introduce some assumptions. We describe our model, present calculations and a sensitivity analysis, and discuss our results.

Modeling the summertime evolution of sea-ice melt ponds

1] We present a mathematical model describing the summer melting of sea ice. We simulate the evolution of melt ponds and determine area coverage and total surface ablation. The model predictions are tested for sensitivity to the melt rate of unponded ice, enhanced melt rate beneath the melt ponds, vertical seepage, and horizontal permeability. The model is initialized with surface topographies derived from laser altimetry corresponding to first-year sea ice and multiyear sea ice. We predict that there are large differences in the depth of melt ponds and the area of coverage between the two types of ice. We also find that the vertical seepage rate and the melt rate of unponded ice are important in determining the total surface ablation and area covered by melt ponds.

A model of melt pond evolution on sea ice

A one-dimensional, thermodynamic, and radiative model of a melt pond on sea ice is presented that explicitly treats the melt pond as an extra phase. A two-stream radiation model, which allows albedo to be determined from bulk optical properties, and a parameterization of the summertime evolution of optical properties, is used. Heat transport within the sea ice is described using an equation describing heat transport in a mushy layer of a binary alloy (salt water). The model is tested by comparison of numerical simulations with SHEBA data and previous modeling. The presence of melt ponds on the sea ice surface is demonstrated to have a significant effect on the heat and mass balance. Sensitivity tests indicate that the maximum melt pond depth is highly sensitive to optical parameters and drainage. INDEX TERMS: 4207 Oceanography: General: Arctic and Antarctic oceanography; 4255 Oceanography: General: Numerical modeling; 4299 Oceanography: General: General or miscellaneous; KEYWORDS: sea ice, melt pond, albedo, Arctic Ocean, radiation model, thermodynamic

Analytical and numerical solutions describing the inward solidification of a binary melt

We present a mathematical model describing the inward solidification of a slab, a circular cylinder and a sphere of binary melt kept below its equilibrium freezing temperature. The thermal and physical properties of the melt and solid are assumed to be identical. An asymptotic method, valid in the limit of large Stefan number is used to decompose the moving boundary problem for a pure substance into a hierarchy of fixed-domain diffusion problems. Approximate, analytical solutions are derived for the inward solidification of a slab and a sphere of a binary melt which are compared with numerical solutions of the unapproximated system. The solutions are found to agree within the appropriate asymptotic regime of large Stefan number and small time. Numerical solutions are used to demonstrate the dependence of the solidification process upon the level of impurity and other parameters. We conclude with a discussion of the solutions obtained, their stability and possible extensions and refinements of our study.