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.

Cardiomyocyte growth and sarcomerogenesis at the intercalated disc

Cardiomyocytes grow during heart maturation or disease-related cardiac remodeling. We present evidence that the intercalated disc (ID) is integral to both longitudinal and lateral growth: increases in width are accommodated by lateral extension of the plicate tread regions and increases in length by sarcomere insertion within the ID. At the margin between myofibril and the folded membrane of the ID lies a transitional junction through which the thin filaments from the last sarcomere run to the ID membrane and it has been suggested that this junction acts as a proto Z-disc for sarcomere addition. In support of this hypothesis, we have investigated the ultrastructure of the ID in mouse hearts from control and dilated cardiomyopathy (DCM) models, the MLP-null and a cardiac-specific β-catenin mutant, cΔex3, as well as in human left ventricle from normal and DCM samples. We find that the ID amplitude can vary tenfold from 0.2 μm up to a maximum of ~2 μm allowing gradual expansion during heart growth. At the greatest amplitude, equivalent to a sarcomere length, A-bands and thick filaments are found within the ID membrane loops together with a Z-disc, which develops at the transitional junction position. Here, also, the tops of the membrane folds, which are rich in αII spectrin, become enlarged and associated with junctional sarcoplasmic reticulum. Systematically larger ID amplitudes are found in DCM samples. Other morphological differences between mouse DCM and normal hearts suggest that sarcomere inclusion is compromised in the diseased hearts.

Dominance and the maintenance of polymorphism in multiallelic migration-selection models with two demes

The maintenance of genetic variation in a spatially heterogeneous environment has been one of the main research themes in theoretical population genetics. Despite considerable progress in understanding the consequences of spatially structured environments on genetic variation, many problems remain unsolved. One of them concerns the relationship between the number of demes, the degree of dominance, and the maximum number of alleles that can be maintained by selection in a subdivided population. In this work, we study the potential of maintaining genetic variation in a two-deme model with deme-independent degree of intermediate dominance, which includes absence of G x E interaction as a special case. We present a thorough numerical analysis of a two-deme three-allele model, which allows us to identify dominance and selection patterns that harbor the potential for stable triallelic equilibria. The information gained by this approach is then used to construct an example in which existence and asymptotic stability of a fully polymorphic equilibrium can be proved analytically. Noteworthy, in this example the parameter range in which three alleles can coexist is maximized for intermediate migration rates. Our results can be interpreted in a specialist-generalist context and (among others) show when two specialists can coexist with a generalist in two demes if the degree of dominance is deme independent and intermediate. The dominance relation between the generalist allele and the specialist alleles play a decisive role. We also discuss linear selection on a quantitative trait and show that G x E interaction is not necessary for the maintenance of more than two alleles in two demes.

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 community-based geological reconstruction of Antarctic Ice Sheet deglaciation since the Last Glacial Maximum

A robust understanding of Antarctic Ice Sheet deglacial history since the Last Glacial Maximum is important in order to constrain ice sheet and glacial-isostatic adjustment models, and to explore the forcing mechanisms responsible for ice sheet retreat. Such understanding can be derived from a broad range of geological and glaciological datasets and recent decades have seen an upsurge in such data gathering around the continent and Sub-Antarctic islands. Here, we report a new synthesis of those datasets, based on an accompanying series of reviews of the geological data, organised by sector. We present a series of timeslice maps for 20 ka, 15 ka, 10 ka and 5 ka, including grounding line position and ice sheet thickness changes, along with a clear assessment of levels of confidence. The reconstruction shows that the Antarctic Ice sheet did not everywhere reach the continental shelf edge at its maximum, that initial retreat was asynchronous, and that the spatial pattern of deglaciation was highly variable, particularly on the inner shelf. The deglacial reconstruction is consistent with a moderate overall excess ice volume and with a relatively small Antarctic contribution to meltwater pulse 1a. We discuss key areas of uncertainty both around the continent and by time interval, and we highlight potential priorities for future work. The synthesis is intended to be a resource for the modelling and glacial geological community.

Comparison of 3D kinetic and hydrodynamic models to ROSINA-COPS measurements of the neutral coma of 67P/Churyumov-Gerasimenko

67P/Churyumov-Gerasimenko (67P) is a Jupiter-family comet and the object of investigation of the European Space Agency mission Rosetta. This report presents the first full 3D simulation results of 67P’s neutral gas coma. In this study we include results from a direct simulation Monte Carlo method, a hydrodynamic code, and a purely geometric calculation which computes the total illuminated surface area on the nucleus. All models include the triangulated 3D shape model of 67P as well as realistic illumination and shadowing conditions. The basic concept is the assumption that these illumination conditions on the nucleus are the main driver for the gas activity of the comet. As a consequence, the total production rate of 67P varies as a function of solar insolation. The best agreement between the model and the data is achieved when gas fluxes on the night side are in the range of 7% to 10% of the maximum flux, accounting for contributions from the most volatile components. To validate the output of our numerical simulations we compare the results of all three models to in situ gas number density measurements from the ROSINA COPS instrument. We are able to reproduce the overall features of these local neutral number density measurements of ROSINA COPS for the time period between early August 2014 and January 1 2015 with all three models. Some details in the measurements are not reproduced and warrant further investigation and refinement of the models. However, the overall assumption that illumination conditions on the nucleus are at least an important driver of the gas activity is validated by the models. According to our simulation results we find the total production rate of 67P to be constant between August and November 2014 with a value of about 1 × 10²⁶ molecules s⁻¹.

Calibrating a CGE model with NTBs that Incorporates Standard Models of Modern Trade Theory

We propose a way to incorporate NTBs for the four workhorse models of the modern trade literature in computable general equilibrium models (CGEs). CGE models feature intermediate linkages and thus allow us to study global value chains (GVCs). We show that the Ethier-Krugman monopolistic competition model, the Melitz firm heterogeneity model and the Eaton and Kortum model can be defined as an Armington model with generalized marginal costs, generalized trade costs and a demand externality. As already known in the literature in both the Ethier-Krugman model and the Melitz model generalized marginal costs are a function of the amount of factor input bundles. In the Melitz model generalized marginal costs are also a function of the price of the factor input bundles. Lower factor prices raise the number of firms that can enter the market profitably (extensive margin), reducing generalized marginal costs of a representative firm. For the same reason the Melitz model features a demand externality: in a larger market more firms can enter. We implement the different models in a CGE setting with multiple sectors, intermediate linkages, non-homothetic preferences and detailed data on trade costs. We find the largest welfare effects from trade cost reductions in the Melitz model. We also employ the Melitz model to mimic changes in Non tariff Barriers (NTBs) with a fixed cost-character by analysing the effect of changes in fixed trade costs. While we work here with a model calibrated to the GTAP database, the methods developed can also be applied to CGE models based on the WIOD database.

Stricter regulation boosts exports: the case of Maximum Residue Levels in pesticides

Constructing an original panel on Maximum Residue Levels (MRLs) in pesticides for 50 countries over 2006-2012, this paper studies the effect of heterogeneity in MRL regulation on bilateral trade. We find evidence of regulatory heterogeneity diminishing trade at the extensive margin when the exporter faces more stringent regulation abroad, suggesting compliance costs in entering the destination market. Significantly, however, we also find strong evidence of regulatory heterogeneity increasing trade at the intensive margin for exports coming from countries that set the strictest standards, alluding to the positive informative effect of such regulation.