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.

3G network traffic sources measurement and analysis

In this paper, we show statistical analyses of several types of traffic sources in a 3G network, namely voice, video and data sources. For each traffic source type, measurements were collected in order to, on the one hand, gain better understanding of the statistical characteristics of the sources and, on the other hand, enable forecasting traffic behaviour in the network. The latter can be used to estimate service times and quality of service parameters. The probability density function, mean, variance, mean square deviation, skewness and kurtosis of the interarrival times are estimated by Wolfram Mathematica and Crystal Ball statistical tools. Based on evaluation of packet interarrival times, we show how the gamma distribution can be used in network simulations and in evaluation of available capacity in opportunistic systems. As a result, from our analyses, shape and scale parameters of gamma distribution are generated. Data can be applied also in dynamic network configuration in order to avoid potential network congestions or overflows. Copyright © 2013 John Wiley & Sons, Ltd.

Biodiversity Effects on Plant Stoichiometry

In the course of the biodiversity-ecosystem functioning debate, the issue of multifunctionality of species communities has recently become a major focus. Elemental stoichiometry is related to a variety of processes reflecting multiple plant responses to the biotic and abiotic environment. It can thus be expected that the diversity of a plant assemblage alters community level plant tissue chemistry. We explored elemental stoichiometry in aboveground plant tissue (ratios of carbon, nitrogen, phosphorus, and potassium) and its relationship to plant diversity in a 5-year study in a large grassland biodiversity experiment (Jena Experiment). Species richness and functional group richness affected community stoichiometry, especially by increasing C:P and N:P ratios. The primacy of either species or functional group richness effects depended on the sequence of testing these terms, indicating that both aspects of richness were congruent and complementary to expected strong effects of legume presence and grass presence on plant chemical composition. Legumes and grasses had antagonistic effects on C:N (−27.7% in the presence of legumes, +32.7% in the presence of grasses). In addition to diversity effects on mean ratios, higher species richness consistently decreased the variance of chemical composition for all elemental ratios. The diversity effects on plant stoichiometry has several non-exclusive explanations: The reduction in variance can reflect a statistical averaging effect of species with different chemical composition or a optimization of nutrient uptake at high diversity, leading to converging ratios at high diversity. The shifts in mean ratios potentially reflect higher allocation to stem tissue as plants grew taller at higher richness. By showing a first link between plant diversity and stoichiometry in a multiyear experiment, our results indicate that losing plant species from grassland ecosystems will lead to less reliable chemical composition of forage for herbivorous consumers and belowground litter input.

On the use of Cramér-Rao minimum variance bounds for the design of magnetic resonance spectroscopy experiments

Localized Magnetic Resonance Spectroscopy (MRS) is in widespread use for clinical brain research. Standard acquisition sequences to obtain one-dimensional spectra suffer from substantial overlap of spectral contributions from many metabolites. Therefore, specially tuned editing sequences or two-dimensional acquisition schemes are applied to extend the information content. Tuning specific acquisition parameters allows to make the sequences more efficient or more specific for certain target metabolites. Cramér-Rao bounds have been used in other fields for optimization of experiments and are now shown to be very useful as design criteria for localized MRS sequence optimization. The principle is illustrated for one- and two-dimensional MRS, in particular the 2D separation experiment, where the usual restriction to equidistant echo time spacings and equal acquisition times per echo time can be abolished. Particular emphasis is placed on optimizing experiments for quantification of GABA and glutamate. The basic principles are verified by Monte Carlo simulations and in vivo for repeated acquisitions of generalized two-dimensional separation brain spectra obtained from healthy subjects and expanded by bootstrapping for better definition of the quantification uncertainties.

Beamlet based direct aperture optimization for MERT using a photon MLC

PURPOSE A beamlet based direct aperture optimization (DAO) for modulated electron radiotherapy (MERT) using photon multileaf collimator (pMLC) shaped electron fields is developed and investigated. METHODS The Swiss Monte Carlo Plan (SMCP) allows the calculation of dose distributions for pMLC shaped electron beams. SMCP is interfaced with the Eclipse TPS (Varian Medical Systems, Palo Alto, CA) which can thus be included into the inverse treatment planning process for MERT. This process starts with the import of a CT-scan into Eclipse, the contouring of the target and the organs at risk (OARs), and the choice of the initial electron beam directions. For each electron beam, the number of apertures, their energy, and initial shape are defined. Furthermore, the DAO requires dose-volume constraints for the structures contoured. In order to carry out the DAO efficiently, the initial electron beams are divided into a grid of beamlets. For each of those, the dose distribution is precalculated using a modified electron beam model, resulting in a dose list for each beamlet and energy. Then the DAO is carried out, leading to a set of optimal apertures and corresponding weights. These optimal apertures are now converted into pMLC shaped segments and the dose calculation for each segment is performed. For these dose distributions, a weight optimization process is launched in order to minimize the differences between the dose distribution using the optimal apertures and the pMLC segments. Finally, a deliverable dose distribution for the MERT plan is obtained and loaded back into Eclipse for evaluation. For an idealized water phantom geometry, a MERT treatment plan is created and compared to the plan obtained using a previously developed forward planning strategy. Further, MERT treatment plans for three clinical situations (breast, chest wall, and parotid metastasis of a squamous cell skin carcinoma) are created using the developed inverse planning strategy. The MERT plans are compared to clinical standard treatment plans using photon beams and the differences between the optimal and the deliverable dose distributions are determined. RESULTS For the idealized water phantom geometry, the inversely optimized MERT plan is able to obtain the same PTV coverage, but with an improved OAR sparing compared to the forwardly optimized plan. Regarding the right-sided breast case, the MERT plan is able to reduce the lung volume receiving more than 30% of the prescribed dose and the mean lung dose compared to the standard plan. However, the standard plan leads to a better homogeneity within the CTV. The results for the left-sided thorax wall are similar but also the dose to the heart is reduced comparing MERT to the standard treatment plan. For the parotid case, MERT leads to lower doses for almost all OARs but to a less homogeneous dose distribution for the PTV when compared to a standard plan. For all cases, the weight optimization successfully minimized the differences between the optimal and the deliverable dose distribution. CONCLUSIONS A beamlet based DAO using multiple beam angles is implemented and successfully tested for an idealized water phantom geometry and clinical situations.

Improved VMAT planning for head and neck tumors with an advanced optimization algorithm

OBJECTIVE In this study, the "Progressive Resolution Optimizer PRO3" (Varian Medical Systems) is compared to the previous version "PRO2" with respect to its potential to improve dose sparing to the organs at risk (OAR) and dose coverage of the PTV for head and neck cancer patients. MATERIALS AND METHODS For eight head and neck cancer patients, volumetric modulated arc therapy (VMAT) treatment plans were generated in this study. All cases have 2-3 phases and the total prescribed dose (PD) was 60-72Gy in the PTV. The study is mainly focused on the phase 1 plans, which all have an identical PD of 54Gy, and complex PTV structures with an overlap to the parotids. Optimization was performed based on planning objectives for the PTV according to ICRU83, and with minimal dose to spinal cord, and parotids outside PTV. In order to assess the quality of the optimization algorithms, an identical set of constraints was used for both, PRO2 and PRO3. The resulting treatment plans were investigated with respect to dose distribution based on the analysis of the dose volume histograms. RESULTS For the phase 1 plans (PD=54Gy) the near maximum dose D2% of the spinal cord, could be minimized to 22±5 Gy with PRO3, as compared to 32±12Gy with PRO2, averaged for all patients. The mean dose to the parotids was also lower in PRO3 plans compared to PRO2, but the differences were less pronounced. A PTV coverage of V95%=97±1% could be reached with PRO3, as compared to 86±5% with PRO2. In clinical routine, these PRO2 plans would require modifications to obtain better PTV coverage at the cost of higher OAR doses. CONCLUSION A comparison between PRO3 and PRO2 optimization algorithms was performed for eight head and neck cancer patients. In general, the quality of VMAT plans for head and neck patients are improved with PRO3 as compared to PRO2. The dose to OARs can be reduced significantly, especially for the spinal cord. These reductions are achieved with better PTV coverage as compared to PRO2. The improved spinal cord sparing offers new opportunities for all types of paraspinal tumors and for re-irradiation of recurrent tumors or second malignancies.