Portfolio-optimization models for small investors

Since 2010, the client base of online-trading service providers has grown significantly. Such companies enable small investors to access the stock market at advantageous rates. Because small investors buy and sell stocks in moderate amounts, they should consider fixed transaction costs, integral transaction units, and dividends when selecting their portfolio. In this paper, we consider the small investor’s problem of investing capital in stocks in a way that maximizes the expected portfolio return and guarantees that the portfolio risk does not exceed a prescribed risk level. Portfolio-optimization models known from the literature are in general designed for institutional investors and do not consider the specific constraints of small investors. We therefore extend four well-known portfolio-optimization models to make them applicable for small investors. We consider one nonlinear model that uses variance as a risk measure and three linear models that use the mean absolute deviation from the portfolio return, the maximum loss, and the conditional value-at-risk as risk measures. We extend all models to consider piecewise-constant transaction costs, integral transaction units, and dividends. In an out-of-sample experiment based on Swiss stock-market data and the cost structure of the online-trading service provider Swissquote, we apply both the basic models and the extended models; the former represent the perspective of an institutional investor, and the latter the perspective of a small investor. The basic models compute portfolios that yield on average a slightly higher return than the portfolios computed with the extended models. However, all generated portfolios yield on average a higher return than the Swiss performance index. There are considerable differences between the four risk measures with respect to the mean realized portfolio return and the standard deviation of the realized portfolio return.

A catalog of high-impact windstorms in Switzerland since 1859

In recent decades, extremely hazardous windstorms have caused enormous losses to buildings, infrastructure and forests in Switzerland. This has increased societal and scientific interest in the intensity and frequency of historical high-impact storms. However, high-resolution wind data and damage statistics mostly span recent decades only. For this study, we collected quantitative (e.g., volumes of windfall timber, losses relating to buildings) and descriptive (e.g., forestry or insurance reports) information on the impact of historical windstorms. To define windstorm severity, normalized and declustered quantitative data were processed by extreme value statistics. Descriptive information was classified using a conceptual guideline. Validation with independent damage information, as well as comparison with wind measurements and a reanalysis, indicates that the most hazardous winter storms are captured, while too few moderate windstorms are detected. Strong storms in the wind measurements and reanalysis are thus added to the catalog. The final catalog encompasses approximately 240 high-impact windstorms in Switzerland since 1859. It features three robust severity classes and contains eight extreme windstorms. Evidence of high winter storm activity in the early and late 20th century compared to the mid-20th century in both damage and wind data indicates a co-variability of hazard and related damage on decadal timescales.

Acute muscular sarcocystosis: an international investigation among ill travelers returning from tioman island, malaysia, 2011-2012.

BACKGROUND Through 2 international traveler-focused surveillance networks (GeoSentinel and TropNet), we identified and investigated a large outbreak of acute muscular sarcocystosis (AMS), a rarely reported zoonosis caused by a protozoan parasite of the genus Sarcocystis, associated with travel to Tioman Island, Malaysia, during 2011-2012. METHODS Clinicians reporting patients with suspected AMS to GeoSentinel submitted demographic, clinical, itinerary, and exposure data. We defined a probable case as travel to Tioman Island after 1 March 2011, eosinophilia (>5%), clinical or laboratory-supported myositis, and negative trichinellosis serology. Case confirmation required histologic observation of sarcocysts or isolation of Sarcocystis species DNA from muscle biopsy. RESULTS Sixty-eight patients met the case definition (62 probable and 6 confirmed). All but 2 resided in Europe; all were tourists and traveled mostly during the summer months. The most frequent symptoms reported were myalgia (100%), fatigue (91%), fever (82%), headache (59%), and arthralgia (29%); onset clustered during 2 distinct periods: "early" during the second and "late" during the sixth week after departure from the island. Blood eosinophilia and elevated serum creatinine phosphokinase (CPK) levels were observed beginning during the fifth week after departure. Sarcocystis nesbitti DNA was recovered from 1 muscle biopsy. CONCLUSIONS Clinicians evaluating travelers returning ill from Malaysia with myalgia, with or without fever, should consider AMS, noting the apparent biphasic aspect of the disease, the later onset of elevated CPK and eosinophilia, and the possibility for relapses. The exact source of infection among travelers to Tioman Island remains unclear but needs to be determined to prevent future illnesses.