A comprehensive portfolio construction under stochastic environment

Prior research has established that idiosyncratic volatility of the securities prices exhibits a positive trend. This trend and other factors have made the merits of investment diversification and portfolio construction more compelling. ^ A new optimization technique, a greedy algorithm, is proposed to optimize the weights of assets in a portfolio. The main benefits of using this algorithm are to: (a) increase the efficiency of the portfolio optimization process, (b) implement large-scale optimizations, and (c) improve the resulting optimal weights. In addition, the technique utilizes a novel approach in the construction of a time-varying covariance matrix. This involves the application of a modified integrated dynamic conditional correlation GARCH (IDCC - GARCH) model to account for the dynamics of the conditional covariance matrices that are employed. ^ The stochastic aspects of the expected return of the securities are integrated into the technique through Monte Carlo simulations. Instead of representing the expected returns as deterministic values, they are assigned simulated values based on their historical measures. The time-series of the securities are fitted into a probability distribution that matches the time-series characteristics using the Anderson-Darling goodness-of-fit criterion. Simulated and actual data sets are used to further generalize the results. Employing the S&P500 securities as the base, 2000 simulated data sets are created using Monte Carlo simulation. In addition, the Russell 1000 securities are used to generate 50 sample data sets. ^ The results indicate an increase in risk-return performance. Choosing the Value-at-Risk (VaR) as the criterion and the Crystal Ball portfolio optimizer, a commercial product currently available on the market, as the comparison for benchmarking, the new greedy technique clearly outperforms others using a sample of the S&P500 and the Russell 1000 securities. The resulting improvements in performance are consistent among five securities selection methods (maximum, minimum, random, absolute minimum, and absolute maximum) and three covariance structures (unconditional, orthogonal GARCH, and integrated dynamic conditional GARCH). ^

A Comprehensive Portfolio Construction Under Stochastic Environment

Prior research has established that idiosyncratic volatility of the securities prices exhibits a positive trend. This trend and other factors have made the merits of investment diversification and portfolio construction more compelling. A new optimization technique, a greedy algorithm, is proposed to optimize the weights of assets in a portfolio. The main benefits of using this algorithm are to: a) increase the efficiency of the portfolio optimization process, b) implement large-scale optimizations, and c) improve the resulting optimal weights. In addition, the technique utilizes a novel approach in the construction of a time-varying covariance matrix. This involves the application of a modified integrated dynamic conditional correlation GARCH (IDCC - GARCH) model to account for the dynamics of the conditional covariance matrices that are employed. The stochastic aspects of the expected return of the securities are integrated into the technique through Monte Carlo simulations. Instead of representing the expected returns as deterministic values, they are assigned simulated values based on their historical measures. The time-series of the securities are fitted into a probability distribution that matches the time-series characteristics using the Anderson-Darling goodness-of-fit criterion. Simulated and actual data sets are used to further generalize the results. Employing the S&P500 securities as the base, 2000 simulated data sets are created using Monte Carlo simulation. In addition, the Russell 1000 securities are used to generate 50 sample data sets. The results indicate an increase in risk-return performance. Choosing the Value-at-Risk (VaR) as the criterion and the Crystal Ball portfolio optimizer, a commercial product currently available on the market, as the comparison for benchmarking, the new greedy technique clearly outperforms others using a sample of the S&P500 and the Russell 1000 securities. The resulting improvements in performance are consistent among five securities selection methods (maximum, minimum, random, absolute minimum, and absolute maximum) and three covariance structures (unconditional, orthogonal GARCH, and integrated dynamic conditional GARCH).

Eddy covariance and meteorological tower in a long-hydroperiod Everglades marsh during the height of the wet season, 2008 (at SRS-2), Shark River Slough

This material is based upon work supported by the National Science Foundation through the Florida Coastal Everglades Long-Term Ecological Research program under Cooperative Agreements #DBI-0620409 and #DEB-9910514. This image is made available for non-commercial or educational use only.

Eddy covariance tower in long-hydroperiod Everglades marsh in mid-dry season, 2009 (at SRS-2), Shark River Slough

This material is based upon work supported by the National Science Foundation through the Florida Coastal Everglades Long-Term Ecological Research program under Cooperative Agreements #DBI-0620409 and #DEB-9910514. This image is made available for non-commercial or educational use only.

The development of direct ultra-fast PCR for forensic genotyping using short channel microfluidic systems with enhanced sieving matrices

There are situations in which it is very important to quickly and positively identify an individual. Examples include suspects detained in the neighborhood of a bombing or terrorist incident, individuals detained attempting to enter or leave the country, and victims of mass disasters. Systems utilized for these purposes must be fast, portable, and easy to maintain. The goal of this project was to develop an ultra fast, direct PCR method for forensic genotyping of oral swabs. The procedure developed eliminates the need for cellular digestion and extraction of the sample by performing those steps in the PCR tube itself. Then, special high-speed polymerases are added which are capable of amplifying a newly developed 7 loci multiplex in under 16 minutes. Following the amplification, a postage stamp sized microfluidic device equipped with specially designed entangled polymer separation matrix, yields a complete genotype in 80 seconds. The entire process is rapid and reliable, reducing the time from sample to genotype from 1-2 days to under 20 minutes. Operation requires minimal equipment and can be easily performed with a small high-speed thermal-cycler, reagents, and a microfluidic device with a laptop. The system was optimized and validated using a number of test parameters and a small test population. The overall precision was better than 0.17 bp and provided a power of discrimination greater than 1 in 106. The small footprint, and ease of use will permit this system to be an effective tool to quickly screen and identify individuals detained at ports of entry, police stations and remote locations. The system is robust, portable and demonstrates to the forensic community a simple solution to the problem of rapid determination of genetic identity.

Elemental analysis of biological matrices by laser ablation high resolution inductively coupled plasma mass spectrometry (LA-HR-ICP-MS) and high resolution inductively coupled plasma mass spectrometry (HR -ICP -MS)

The need for elemental analysis of biological matrices such as bone, teeth, and plant matter for sourcing purposes has emerged within the forensic and geochemical laboratories. Trace elemental analyses for the comparison of materials such as glass by inductively coupled plasma mass spectrometry (ICP-MS) and laser ablation ICP-MS has been shown to offer a high degree of discrimination between different manufacturing sources. Unit resolution ICP-MS instruments may suffer from some polyatomic interferences including 40Ar16O+, 40Ar 16O1H+, and 40Ca 16O+ that affect iron measurement at trace levels. Iron is an important element in the analysis of glass and also of interest for the analysis of several biological matrices. A comparison of the analytical performance of two different ICP-MS systems for iron analysis in glass for determining the method detection limits (MDLs), accuracy, and precision of the measurement is presented. Acid digestion and laser ablation methods are also compared. Iron polyatomic interferences were reduced or resolved by using dynamic reaction cell and high resolution ICP-MS. MDLs as low as 0.03 μg g-1 and 0.14 μg g-1 for laser ablation and solution based analyses respectively were achieved. The use of helium as a carrier gas demonstrated improvement in the detection limits of both iron isotopes (56Fe and 57Fe) in medium resolution for the HR-ICP-MS and with a dynamic reaction cell (DRC) coupled to a quadrupole ICP-MS system. ^ The development and application of robust analytical methods for the quantification of trace elements in biological matrices has lead to a better understanding of the potential utility of these measurements in forensic chemical analyses. Standard reference materials (SRMs) were used in the development of an analytical method using HR-ICP-MS and LA-HR-ICP-MS that was subsequently applied on the analysis of real samples. Bone, teeth and ashed marijuana samples were analyzed with the developed method. ^ Elemental analysis of bone samples from 12 different individuals provided discrimination between individuals, when femur and humerus bones were considered separately. Discrimination of 14 teeth samples based on elemental composition was achieved with the exception of one case where samples from the same individual were not associated with each other. The discrimination of 49 different ashed plant (cannabis) samples was achieved using the developed method. ^

Modeling Light Use Efficiency in a Subtropical Mangrove Forest Equipped with CO2 Eddy Covariance °C

Despite the importance of mangrove ecosystems in the global carbon budget, the relationships between environmental drivers and carbon dynamics in these forests remain poorly understood. This limited understanding is partly a result of the challenges associated with in situ flux studies. Tower-based CO2 eddy covariance (EC) systems are installed in only a few mangrove forests worldwide, and the longest EC record from the Florida Everglades contains less than 9 years of observations. A primary goal of the present study was to develop a methodology to estimate canopy-scale photosynthetic light use efficiency in this forest. These tower-based observations represent a basis for associating CO2 fluxes with canopy light use properties, and thus provide the means for utilizing satellite-based reflectance data for larger scale investigations. We present a model for mangrove canopy light use efficiency utilizing the enhanced green vegetation index (EVI) derived from the Moderate Resolution Imaging Spectroradiometer (MODIS) that is capable of predicting changes in mangrove forest CO2 fluxes caused by a hurricane disturbance and changes in regional environmental conditions, including temperature and salinity. Model parameters are solved for in a Bayesian framework. The model structure requires estimates of ecosystem respiration (RE), and we present the first ever tower-based estimates of mangrove forest RE derived from nighttime CO2 fluxes. Our investigation is also the first to show the effects of salinity on mangrove forest CO2 uptake, which declines 5% per each 10 parts per thousand (ppt) increase in salinity. Light use efficiency in this forest declines with increasing daily photosynthetic active radiation, which is an important departure from the assumption of constant light use efficiency typically applied in satellite-driven models. The model developed here provides a framework for estimating CO2 uptake by these forests from reflectance data and information about environmental conditions.

Environmental analysis of polar herbicides in complex organic-rich matrices by high performance liquid chromatography atmospheric pressure ionization mass spectrometry (HPLC-API-MS)

A comprehensive forensic investigation of sensitive ecosystems in the Everglades Area is presented. Assessing the background levels of contamination in these ecosystems represents a vital resource to build up forensic evidence required to enforce future environmental crimes within the studied areas. This investigation presents the development and validation of a fractionation and isolation method for two families of herbicides commonly applied in the vicinity of the study area, including phenoxy acids like 2,4-D, MCPA, and silvex; as well as the most common triazine-based herbicides like atrazine, prometyne, simazine and related metabolites like DIA and DEA. Accelerated solvent extraction (ASE) and solid phase extraction (SPE) were used to isolate the analytes from abiotic matrices containing large amounts of organic material. Atmospheric-pressure ionization (API) with electrospray ionization in negative mode (ESP-), and Chemical Ionization in the positive mode (APCI+) were used to perform the characterization of the herbicides of interest.

Dr. Greg Starr and Dr. Justin Cummings working on the eddy covariance and meteorological tower near TS/Ph-1

http://digitalcommons.fiu.edu/fce_lter_photos/1348/thumbnail.jpg

Dr. Greg Starr and Dr. Justin Cummings working on the eddy covariance and meteorological tower near TS/Ph-1

http://digitalcommons.fiu.edu/fce_lter_photos/1347/thumbnail.jpg

Elemental Analysis of Biological Matrices by Laser Ablation High Resolution Inductively Coupled Plasma Mass Spectrometry (LA-HR-ICP-MS) and High Resolution Inductively Coupled Plasma Mass Spectrometry (HR-ICP-MS)

The need for elemental analysis of biological matrices such as bone, teeth, and plant matter for sourcing purposes has emerged within the forensic and geochemical laboratories. Trace elemental analyses for the comparison of aterials such as glass by inductively coupled plasma mass spectrometry (ICP-MS) and laser ablation ICP-MS has been shown to offer a high degree of discrimination between different manufacturing sources. Unit resolution ICP-MS instruments may suffer from some polyatomic interferences including 40Ar16O+, 40Ar16O1H+, and 40Ca16O+ that affect iron measurement at trace levels. Iron is an important element in the analysis of glass and also of interest for the analysis of several biological matrices. A comparison of the nalytical performance of two different ICP-MS systems for iron analysis in glass for determining the method detection limits (MDLs), accuracy, and precision of the measurement is presented. Acid digestion and laser ablation methods are also compared. Iron polyatomic interferences were reduced or resolved by using dynamic reaction cell and high resolution ICP-MS. MDLs as low as 0.03 ìg g-1 and 0.14 ìg g-1 for laser ablation and solution based analyses respectively were achieved. The use of helium as a carrier gas demonstrated improvement in the detection limits of both iron isotopes (56Fe and 57Fe) in medium resolution for the HR-ICP-MS and with a dynamic reaction cell (DRC) coupled to a quadrupole ICP-MS system. The development and application of robust analytical methods for the quantification of trace elements in biological matrices has lead to a better understanding of the potential utility of these measurements in forensic chemical analyses. Standard reference materials (SRMs) were used in the development of an analytical method using HR-ICP-MS and LA-HR-ICP-MS that was subsequently applied on the analysis of real samples. Bone, teeth and ashed marijuana samples were analyzed with the developed method. Elemental analysis of bone samples from 12 different individuals provided discrimination between individuals, when femur and humerus bones were considered separately. Discrimination of 14 teeth samples based on elemental composition was achieved with the exception of one case where samples from the same individual were not associated with each other. The discrimination of 49 different ashed plant (cannabis)samples was achieved using the developed method.