Computing Markowitz efficient frontiers using a spreadsheet optimiser

Markowitz showed that assets can be combined to produce an 'Efficient' portfolio that will give the highest level of portfolio return for any level of portfolio risk, as measured by the variance or standard deviation. These portfolios can then be connected to generate what is termed an 'Efficient Frontier' (EF). In this paper we discuss the calculation of the Efficient Frontier for combinations of assets, again using the spreadsheet Optimiser. To illustrate the derivation of the Efficient Frontier, we use the data from the Investment Property Databank Long Term Index of Investment Returns for the period 1971 to 1993. Many investors might require a certain specific level of holding or a restriction on holdings in at least some of the assets. Such additional constraints may be readily incorporated into the model to generate a constrained EF with upper and/or lower bounds. This can then be compared with the unconstrained EF to see whether the reduction in return is acceptable. To see the effect that these additional constraints may have, we adopt a fairly typical pension fund profile, with no more than 20% of the total held in Property. The paper shows that it is now relatively easy to use the Optimiser available in at least one spreadsheet (EXCEL) to calculate efficient portfolios for various levels of risk and return, both constrained and unconstrained, so as to be able to generate any number of Efficient Frontiers.

Toward a new generation of world climate research and computing facilities

The impending threat of global climate change and its regional manifestations is among the most important and urgent problems facing humanity. Society needs accurate and reliable estimates of changes in the probability of regional weather variations to develop science-based adaptation and mitigation strategies. Recent advances in weather prediction and in our understanding and ability to model the climate system suggest that it is both necessary and possible to revolutionize climate prediction to meet these societal needs. However, the scientific workforce and the computational capability required to bring about such a revolution is not available in any single nation. Motivated by the success of internationally funded infrastructure in other areas of science, this paper argues that, because of the complexity of the climate system, and because the regional manifestations of climate change are mainly through changes in the statistics of regional weather variations, the scientific and computational requirements to predict its behavior reliably are so enormous that the nations of the world should create a small number of multinational high-performance computing facilities dedicated to the grand challenges of developing the capabilities to predict climate variability and change on both global and regional scales over the coming decades. Such facilities will play a key role in the development of next-generation climate models, build global capacity in climate research, nurture a highly trained workforce, and engage the global user community, policy-makers, and stakeholders. We recommend the creation of a small number of multinational facilities with computer capability at each facility of about 20 peta-flops in the near term, about 200 petaflops within five years, and 1 exaflop by the end of the next decade. Each facility should have sufficient scientific workforce to develop and maintain the software and data analysis infrastructure. Such facilities will enable questions of what resolution, both horizontal and vertical, in atmospheric and ocean models, is necessary for more confident predictions at the regional and local level. Current limitations in computing power have placed severe limitations on such an investigation, which is now badly needed. These facilities will also provide the world's scientists with the computational laboratories for fundamental research on weather–climate interactions using 1-km resolution models and on atmospheric, terrestrial, cryospheric, and oceanic processes at even finer scales. Each facility should have enabling infrastructure including hardware, software, and data analysis support, and scientific capacity to interact with the national centers and other visitors. This will accelerate our understanding of how the climate system works and how to model it. It will ultimately enable the climate community to provide society with climate predictions, which are based on our best knowledge of science and the most advanced technology.

Pocket data mining: towards collaborative data mining in mobile computing environments

Pocket Data Mining (PDM) is our new term describing collaborative mining of streaming data in mobile and distributed computing environments. With sheer amounts of data streams are now available for subscription on our smart mobile phones, the potential of using this data for decision making using data stream mining techniques has now been achievable owing to the increasing power of these handheld devices. Wireless communication among these devices using Bluetooth and WiFi technologies has opened the door wide for collaborative mining among the mobile devices within the same range that are running data mining techniques targeting the same application. This paper proposes a new architecture that we have prototyped for realizing the significant applications in this area. We have proposed using mobile software agents in this application for several reasons. Most importantly the autonomic intelligent behaviour of the agent technology has been the driving force for using it in this application. Other efficiency reasons are discussed in details in this paper. Experimental results showing the feasibility of the proposed architecture are presented and discussed.

Grid computing solutions for distributed repositories of protein folding and unfolding simulations

The P-found protein folding and unfolding simulation repository is designed to allow scientists to perform analyses across large, distributed simulation data sets. There are two storage components in P-found: a primary repository of simulation data and a data warehouse. Here we demonstrate how grid technologies can support multiple, distributed P-found installations. In particular we look at two aspects, first how grid data management technologies can be used to access the distributed data warehouses; and secondly, how the grid can be used to transfer analysis programs to the primary repositories --- this is an important and challenging aspect of P-found because the data volumes involved are too large to be centralised. The grid technologies we are developing with the P-found system will allow new large data sets of protein folding simulations to be accessed and analysed in novel ways, with significant potential for enabling new scientific discoveries.

Baculovirus superinfection: a probable restriction factor on the surface display of proteins for library screening

In addition to the expression of recombinant proteins, baculoviruses have been developed as a platform for the display of complex eukaryotic proteins on the surface of virus particles or infected insect cells. Surface display has been used extensively for antigen presentation and targeted gene delivery but is also a candidate for the display of protein libraries for molecular screening. However, although baculovirus gene libraries can be efficiently expressed and displayed on the surface of insect cells, target gene selection is inefficient probably due to super-infection which gives rise to cells expressing more than one protein. In this report baculovirus superinfection of Sf9 cells has been investigated by the use of two recombinant multiple nucleopolyhedrovirus carrying green or red fluorescent proteins under the control of both early and late promoters (vAcBacGFP and vAcBacDsRed). The reporter gene expression was detected 8 hours after the infection of vAcBacGFP and cells in early and late phases of infection could be distinguished by the fluorescence intensity of the expressed protein. Simultaneous infection with vAcBacGFP and vAcBacDsRed viruses each at 0.5 MOI resulted in 80% of infected cells coexpressing the two fluorescent proteins at 48 hours post infection (hpi), and subsequent infection with the two viruses resulted in similar co-infection rate. Most Sf9 cells were re-infectable within the first several hours post infection, but the reinfection rate then decreased to a very low level by 16 hpi. Our data demonstrate that Sf9 cells were easily super-infectable during baculovirus infection, and super-infection could occur simultaneously at the time of the primary infection or subsequently during secondary infection by progeny viruses. The efficiency of super-infection may explain the difficulties of baculovirus display library screening but would benefit the production of complex proteins requiring co-expression of multiple polypeptides.

Boots Book-lovers' Library and the novel: The impact of a circulating library market on twentieth-century fiction

In a Report for the Society of Bookmen in 1928, British publishers estimated that between a quarter to two thirds of all the books they published went to four circulating libraries: Boots, Smith’s, Mudie’s, and The Times bookclub. This essay examines the literary impact of one of the largest of these, Boots Book-lovers’ Library (1899-66), which by 1935 had around 400 libraries attached to their high-street pharmacies catering for the tastes of over one million subscribers a year. Compared to the wealth of studies examining the influence of the library market in the Victorian period, the significance of the subscription libraries as key distributors of fiction in the twentieth century is not well known. But private libraries expanded rapidly in the early twentieth century to cater for what Sidney Dark termed a ‘new reading public’, and records in publishers’ archives indicate that authors routinely adapted their unpublished manuscripts in order to meet the perceived demands of this library reader. This article examines the impact of the Boots Book-lovers’ Library market on authors’ practices of writing and revision, and on literary marketing and censorship. It focuses in particular on the author James Hanley (1897-1985), using unpublished correspondence in the Chatto & Windus archive at the University of Reading to demonstrate how the publisher’s sense of the tastes and expectations of the Boots library reader influenced the editorial process.

A design of evaluation method for SaaS in cloud computing

Purpose: This paper aims to design an evaluation method that enables an organization to assess its current IT landscape and provide readiness assessment prior to Software as a Service (SaaS) adoption. Design/methodology/approach: The research employs a mixed of quantitative and qualitative approaches for conducting an IT application assessment. Quantitative data such as end user’s feedback on the IT applications contribute to the technical impact on efficiency and productivity. Qualitative data such as business domain, business services and IT application cost drivers are used to determine the business value of the IT applications in an organization. Findings: The assessment of IT applications leads to decisions on suitability of each IT application that can be migrated to cloud environment. Research limitations/implications: The evaluation of how a particular IT application impacts on a business service is done based on the logical interpretation. Data mining method is suggested in order to derive the patterns of the IT application capabilities. Practical implications: This method has been applied in a local council in UK. This helps the council to decide the future status of the IT applications for cost saving purpose.

Construction of a Festuca pratensis BAC library for map-based cloning in Festulolium substitution lines

Introgression in Festulolium is a potentially powerful tool to isolate genes for a large number of traits which differ between Festuca pratensis Huds. and Lolium perenne L. Not only are hybrids between the two species fertile, but the two genomes can be distinguished by genomic in situ hybridisation and a high frequency of recombination occurs between homoeologous chromosomes and chromosome segments. By a programme of introgression and a series of backcrosses, L. perenne lines have been produced which contain small F. pratensis substitutions. This material is a rich source of polymorphic markers targeted towards any trait carried on the F. pratensis substitution not observed in the L. perenne background. We describe here the construction of an F. pratensis BAC library, which establishes the basis of a map-based cloning strategy in L. perenne. The library contains 49,152 clones, with an average insert size of 112 kbp, providing coverage of 2.5 haploid genome equivalents. We have screened the library for eight amplified fragment length polymorphism (AFLP) derived markers known to be linked to an F. pratensis gene introgressed into L. perenne and conferring a staygreen phenotype as a consequence of a mutation in primary chlorophyll catabolism. While for four of the markers it was possible to identify bacterial artificial chromosome (BAC) clones, the other four AFLPs were too repetitive to enable reliable identification of locus-specific BACs. Moreover, when the four BACs were partially sequenced, no obvious coding regions could be identified. This contrasted to BACs identified using cDNA sequences, when multiple genes were identified on the same BAC.