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.

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.

The calculation of Afρ and mass loss rate for comets

Ab initio calculations of Afρ are presented using Mie scattering theory and a Direct Simulation Monte Carlo (DSMC) dust outflow model in support of the Rosetta mission and its target 67P/Churyumov-Gerasimenko (CG). These calculations are performed for particle sizes ranging from 0.010 μm to 1.0 cm. The present status of our knowledge of various differential particle size distributions is reviewed and a variety of particle size distributions is used to explore their effect on Afρ , and the dust mass production View the MathML sourcem˙. A new simple two parameter particle size distribution that curtails the effect of particles below 1 μm is developed. The contributions of all particle sizes are summed to get a resulting overall Afρ. The resultant Afρ could not easily be predicted a priori and turned out to be considerably more constraining regarding the mass loss rate than expected. It is found that a proper calculation of Afρ combined with a good Afρ measurement can constrain the dust/gas ratio in the coma of comets as well as other methods presently available. Phase curves of Afρ versus scattering angle are calculated and produce good agreement with observational data. The major conclusions of our calculations are: – The original definition of A in Afρ is problematical and Afρ should be: qsca(n,λ)×p(g)×f×ρqsca(n,λ)×p(g)×f×ρ. Nevertheless, we keep the present nomenclature of Afρ as a measured quantity for an ensemble of coma particles.– The ratio between Afρ and the dust mass loss rate View the MathML sourcem˙ is dominated by the particle size distribution. – For most particle size distributions presently in use, small particles in the range from 0.10 to 1.0 μm contribute a large fraction to Afρ. – Simplifying the calculation of Afρ by considering only large particles and approximating qsca does not represent a realistic model. Mie scattering theory or if necessary, more complex scattering calculations must be used. – For the commonly used particle size distribution, dn/da ∼ a−3.5 to a−4, there is a natural cut off in Afρ contribution for both small and large particles. – The scattering phase function must be taken into account for each particle size; otherwise the contribution of large particles can be over-estimated by a factor of 10. – Using an imaginary index of refraction of i = 0.10 does not produce sufficient backscattering to match observational data. – A mixture of dark particles with i ⩾ 0.10 and brighter silicate particles with i ⩽ 0.04 matches the observed phase curves quite well. – Using current observational constraints, we find the dust/gas mass-production ratio of CG at 1.3 AU is confined to a range of 0.03–0.5 with a reasonably likely value around 0.1.

Monte Carlo dose calculation improvements for low energy electron beams using eMC

The electron Monte Carlo (eMC) dose calculation algorithm in Eclipse (Varian Medical Systems) is based on the macro MC method and is able to predict dose distributions for high energy electron beams with high accuracy. However, there are limitations for low energy electron beams. This work aims to improve the accuracy of the dose calculation using eMC for 4 and 6 MeV electron beams of Varian linear accelerators. Improvements implemented into the eMC include (1) improved determination of the initial electron energy spectrum by increased resolution of mono-energetic depth dose curves used during beam configuration; (2) inclusion of all the scrapers of the applicator in the beam model; (3) reduction of the maximum size of the sphere to be selected within the macro MC transport when the energy of the incident electron is below certain thresholds. The impact of these changes in eMC is investigated by comparing calculated dose distributions for 4 and 6 MeV electron beams at source to surface distance (SSD) of 100 and 110 cm with applicators ranging from 6 x 6 to 25 x 25 cm(2) of a Varian Clinac 2300C/D with the corresponding measurements. Dose differences between calculated and measured absolute depth dose curves are reduced from 6% to less than 1.5% for both energies and all applicators considered at SSD of 100 cm. Using the original eMC implementation, absolute dose profiles at depths of 1 cm, d(max) and R50 in water lead to dose differences of up to 8% for applicators larger than 15 x 15 cm(2) at SSD 100 cm. Those differences are now reduced to less than 2% for all dose profiles investigated when the improved version of eMC is used. At SSD of 110 cm the dose difference for the original eMC version is even more pronounced and can be larger than 10%. Those differences are reduced to within 2% or 2 mm with the improved version of eMC. In this work several enhancements were made in the eMC algorithm leading to significant improvements in the accuracy of the dose calculation for 4 and 6 MeV electron beams of Varian linear accelerators.

Macro Monte Carlo for dose calculation of proton beams

Although the Monte Carlo (MC) method allows accurate dose calculation for proton radiotherapy, its usage is limited due to long computing time. In order to gain efficiency, a new macro MC (MMC) technique for proton dose calculations has been developed. The basic principle of the MMC transport is a local to global MC approach. The local simulations using GEANT4 consist of mono-energetic proton pencil beams impinging perpendicularly on slabs of different thicknesses and different materials (water, air, lung, adipose, muscle, spongiosa, cortical bone). During the local simulation multiple scattering, ionization as well as elastic and inelastic interactions have been taken into account and the physical characteristics such as lateral displacement, direction distributions and energy loss have been scored for primary and secondary particles. The scored data from appropriate slabs is then used for the stepwise transport of the protons in the MMC simulation while calculating the energy loss along the path between entrance and exit position. Additionally, based on local simulations the radiation transport of neutrons and the generated ions are included into the MMC simulations for the dose calculations. In order to validate the MMC transport, calculated dose distributions using the MMC transport and GEANT4 have been compared for different mono-energetic proton pencil beams impinging on different phantoms including homogeneous and inhomogeneous situations as well as on a patient CT scan. The agreement of calculated integral depth dose curves is better than 1% or 1 mm for all pencil beams and phantoms considered. For the dose profiles the agreement is within 1% or 1 mm in all phantoms for all energies and depths. The comparison of the dose distribution calculated using either GEANT4 or MMC in the patient also shows an agreement of within 1% or 1 mm. The efficiency of MMC is up to 200 times higher than for GEANT4. The very good level of agreement in the dose comparisons demonstrate that the newly developed MMC transport results in very accurate and efficient dose calculations for proton beams.

Early loss of arteriolar smooth muscle cells: more than just a pericyte loss in diabetic retinopathy

Incipient diabetic retinopathy is characterized by increased capillary permeability and progressive capillary occlusion. The earliest structural change is the loss of pericytes (PC) from the retinal capillaries. With the availability of the XLacZ mouse, which expresses the LacZ reporter in a PC/vascular smooth muscle cell (vSMC) specific fashion, we quantitatively assessed the temporal dynamics of smooth muscle cells in arterioles under hyperglycemic conditions. We induced stable hyperglycemia in XLacZ mice. After 4, 8, and 12 weeks of diabetes retinae were isolated and beta-galactosidase/lectin stained. The numbers of smooth muscle cells were counted in retinal whole mounts, and diameters of retinal radial and branching arterioles and venules were analyzed at different distances apart from the center of the retina. After eight weeks of diabetes, the numbers of vSMCs were significantly reduced in radial arterioles 1000 microm distant from the optic disc. At proximal sites of branching arterioles (400 microm distant from the center), and at distal sites (1000 microm), vSMC were significantly reduced already after 4 weeks (to a maximum of 31 %). These changes were not associated with any measurable variation in vessel diameters. These data indicate quantitatively that hyperglycemia not only causes pericyte loss, but also loss of vSMCs in the retinal vasculature. Our data suggest that arteriolar vSMC in the eye underlie similar regulations which induce early pericyte loss in the diabetic retina.

Parton energy loss and momentum broadening at NLO in high temperature QCD plasmas

We present an overview of a perturbative-kinetic approach to jet propagation, energy loss, and momentum broadening in a high temperature quark–gluon plasma. The leading-order kinetic equations describe the interactions between energetic jet-particles and a non-abelian plasma, consisting of on-shell thermal excitations and soft gluonic fields. These interactions include ↔ scatterings, collinear bremsstrahlung, and drag and momentum diffusion. We show how the contribution from the soft gluonic fields can be factorized into a set of Wilson line correlators on the light-cone. We review recent field-theoretical developments, rooted in the causal properties of these correlators, which simplify the calculation of the appropriate Wilson lines in thermal field theory. With these simplifications lattice measurements of transverse momentum broadening have become possible, and the kinetic equations describing parton transport have been extended to next-to-leading order in the coupling g.