Index Tracking Using Data-Mining Techniques and Mixed-Binary Linear Programming

Index tracking has become one of the most common strategies in asset management. The index-tracking problem consists of constructing a portfolio that replicates the future performance of an index by including only a subset of the index constituents in the portfolio. Finding the most representative subset is challenging when the number of stocks in the index is large. We introduce a new three-stage approach that at first identifies promising subsets by employing data-mining techniques, then determines the stock weights in the subsets using mixed-binary linear programming, and finally evaluates the subsets based on cross validation. The best subset is returned as the tracking portfolio. Our approach outperforms state-of-the-art methods in terms of out-of-sample performance and running times.

Life style habits such as alcohol consumption and physical activity in relation to serum apoB / apoA-I ratio amongst 64-year-old women with varying degrees of glucose tolerance.

OBJECTIVES To investigate how life style factors such as alcohol consumption and physical activity relate to the serum apoB / apoA-I ratio in a cohort of middle-aged women with varying degrees of glucose tolerance. DESIGN Observational, cross-sectional cohort study. SETTING Research laboratory at a University Hospital. SUBJECTS A screened cohort of 64-year-old postmenopausal women with varying degrees of glucose tolerance, ranging from diabetes (n = 232), impaired (n = 212) and normal (n = 191) glucose tolerance. MAIN OUTCOME MEASURE ApoB / apoA-I ratio in relation to alcohol consumption and physical activity as assessed by questionnaires. RESULTS Alcohol consumption and regular physical activity at high levels were inversely associated with the serum apoB / apoA-I ratio independently of confounding factors such as obesity, lipid-lowering treatment, degree of glucose tolerance and hormone replacement therapy. Alcohol seemed related to the apoB / apoA-I ratio mainly through increasing apoA-I, whereas physical activity seemed mainly related to lowering of apoB. Alcohol consumption above a daily intake of 8.9 g, i.e. less than a glass of wine was accompanied by a decrease in apoB / apoA-I ratio. CONCLUSIONS Amongst these 64-year-old women with varying degrees of glucose tolerance, a moderate alcohol intake and regular physical exercise leading to sweating were associated with lower apoB / apoA-I ratio and these effects seem to be additive.

Fetal programming and epigenetic mechanisms in arterial hypertension.

PURPOSE OF REVIEW To provide an overview of available evidence of the potential role of epigenetics in the pathogenesis of hypertension and vascular dysfunction. RECENT FINDINGS Arterial hypertension is a highly heritable condition. Surprisingly, however, genetic variants only explain a tiny fraction of the phenotypic variation and the term 'missing heritability' has been coined to describe this phenomenon. Recent evidence suggests that phenotypic alteration that is unrelated to changes in DNA sequence (thereby escaping detection by classic genetic methodology) offers a potential explanation. Here, we present some basic information on epigenetics and review recent work consistent with the hypothesis of epigenetically induced arterial hypertension. SUMMARY New technologies that enable the rigorous assessment of epigenetic changes and their phenotypic consequences may provide the basis for explaining the missing heritability of arterial hypertension and offer new possibilities for treatment and/or prevention.

SOMS: SurrOgate MultiStart algorithm for use with nonlinear programming for global optimization

SOMS is a general surrogate-based multistart algorithm, which is used in combination with any local optimizer to find global optima for computationally expensive functions with multiple local minima. SOMS differs from previous multistart methods in that a surrogate approximation is used by the multistart algorithm to help reduce the number of function evaluations necessary to identify the most promising points from which to start each nonlinear programming local search. SOMS’s numerical results are compared with four well-known methods, namely, Multi-Level Single Linkage (MLSL), MATLAB’s MultiStart, MATLAB’s GlobalSearch, and GLOBAL. In addition, we propose a class of wavy test functions that mimic the wavy nature of objective functions arising in many black-box simulations. Extensive comparisons of algorithms on the wavy testfunctions and on earlier standard global-optimization test functions are done for a total of 19 different test problems. The numerical results indicate that SOMS performs favorably in comparison to alternative methods and does especially well on wavy functions when the number of function evaluations allowed is limited.