Single period Markowitz portfolio selection, performance gauging and duality: a variation on Luenberger's shortage function

Markowitz portfolio theory (1952) has induced research into the efficiency of portfolio management. This paper studies existing nonparametric efficiency measurement approaches for single period portfolio selection from a theoretical perspective and generalises currently used efficiency measures into the full mean-variance space. Therefore, we introduce the efficiency improvement possibility function (a variation on the shortage function), study its axiomatic properties in the context of Markowitz efficient frontier, and establish a link to the indirect mean-variance utility function. This framework allows distinguishing between portfolio efficiency and allocative efficiency. Furthermore, it permits retrieving information about the revealed risk aversion of investors. The efficiency improvement possibility function thus provides a more general framework for gauging the efficiency of portfolio management using nonparametric frontier envelopment methods based on quadratic optimisation.

A Characterization of single-peaked preferences

We identify in this paper two conditions that characterize the domain of single-peaked preferences on the line in the following sense: a preference profile satisfies these two properties if and only if there exists a linear order $L$ over the set of alternatives such that these preferences are single-peaked with respect L. The first property states that for any subset of alternatives the set of alternatives considered as the worst by all agents cannot contains more than 2 elements. The second property states that two agents cannot disagree on the relative ranking of two alternatives with respect to a third alternative but agree on the (relative) ranking of a fourth one. Classification-JEL: D71, C78

A note on the separability principle in economies with single-peaked

We consider the problem of allocating an infinitely divisible commodity among a group of agents with single-peaked preferences. A rule that has played a central role in the analysis of the problem is the so-called uniform rule. Chun (2001) proves that the uniform rule is the only rule satisfying Pareto optimality, no-envy, separability, and continuity (with respect to the social endowment). We obtain an alternative characterization by using a weak replication-invariance condition, called duplication-invariance, instead of continuity. Furthermore, we prove that Pareto optimality, equal division lower bound, and separability imply no-envy. Using this result, we strengthen one of Chun's (2001) characterizations of the uniform rule by showing that the uniform rule is the only rule satisfying Pareto optimality, equal división lower bound, separability, and either continuity or duplication-invariance.

Effect of single nucleotide polymorphisms in cytochrome P450 isoenzyme and N-acetyltransferase 2 genes on the metabolism of artemisinin-based combination therapies in malaria patients from Cambodia and Tanzania.

The pharmacogenetics of antimalarial agents are poorly known, although the application of pharmacogenetics might be critical in optimizing treatment. This population pharmacokinetic-pharmacogenetic study aimed at assessing the effects of single nucleotide polymorphisms (SNPs) in cytochrome P450 isoenzyme genes (CYP, namely, CYP2A6, CYP2B6, CYP2C8, CYP2C9, CYP2C19, CYP2D6, CYP3A4, and CYP3A5) and the N-acetyltransferase 2 gene (NAT2) on the pharmacokinetics of artemisinin-based combination therapies in 150 Tanzanian patients treated with artemether-lumefantrine, 64 Cambodian patients treated with artesunate-mefloquine, and 61 Cambodian patients treated with dihydroartemisinin-piperaquine. The frequency of SNPs varied with the enzyme and the population. Higher frequencies of mutant alleles were found in Cambodians than Tanzanians for CYP2C9*3, CYP2D6*10 (100C → T), CYP3A5*3, NAT2*6, and NAT2*7. In contrast, higher frequencies of mutant alleles were found in Tanzanians for CYP2D6*17 (1023C → T and 2850C → T), CYP3A4*1B, NAT2*5, and NAT2*14. For 8 SNPs, no significant differences in frequencies were observed. In the genetic-based population pharmacokinetic analyses, none of the SNPs improved model fit. This suggests that pharmacogenetic data need not be included in appropriate first-line treatments with the current artemisinin derivatives and quinolines for uncomplicated malaria in specific populations. However, it cannot be ruled out that our results represent isolated findings, and therefore more studies in different populations, ideally with the same artemisinin-based combination therapies, are needed to evaluate the influence of pharmacogenetic factors on the clearance of antimalarials.

Aplicaciones Single Program Multiple Data (SPMD) en ambientes distribuidos

Un reto al ejecutar las aplicaciones en un cluster es lograr mejorar las prestaciones utilizando los recursos de manera eficiente, y este reto es mayor al utilizar un ambiente distribuido. Teniendo en cuenta este reto, se proponen un conjunto de reglas para realizar el cómputo en cada uno de los nodos, basado en el análisis de cómputo y comunicaciones de las aplicaciones, se analiza un esquema de mapping de celdas y un método para planificar el orden de ejecución, tomando en consideración la ejecución por prioridad, donde las celdas de fronteras tienen una mayor prioridad con respecto a las celdas internas. En la experimentación se muestra el solapamiento del computo interno con las comunicaciones de las celdas fronteras, obteniendo resultados donde el Speedup aumenta y los niveles de eficiencia se mantienen por encima de un 85%, finalmente se obtiene ganancias de los tiempos de ejecución, concluyendo que si se puede diseñar un esquemas de solapamiento que permita que la ejecución de las aplicaciones SPMD en un cluster se hagan de forma eficiente.

In situ evaluation of single-cell lysis by cytosol extraction observation through fluorescence decay and dielectrophoretic trapping time

We present a new method for lysis of single cells in continuous flow, where cells are sequentially trapped, lysed and released in an automatic process. Using optimized frequencies, dielectrophoretic trapping allows exposing cells in a reproducible way to high electrical fields for long durations, thereby giving good control on the lysis parameters. In situ evaluation of cytosol extraction on single cells has been studied for Chinese hamster ovary (CHO) cells through out-diffusion of fluorescent molecules for different voltage amplitudes. A diffusion model is proposed to correlate this out-diffusion to the total area of the created pores, which is dependent on the potential drop across the cell membrane and enables evaluation of the total pore area in the membrane. The dielectrophoretic trapping is no longer effective after lysis because of the reduced conductivity inside the cells, leading to cell release. The trapping time is linked to the time required for cytosol extraction and can thus provide additional validation of the effective cytosol extraction for non-fluorescent cells. Furthermore, the application of one single voltage for both trapping and lysis provides a fully automatic process including cell trapping, lysis, and release, allowing operating the device in continuous flow without human intervention.

Routine use of point-of-care tests: usefulness and application in clinical microbiology.

Point-of-care (POC) tests offer potentially substantial benefits for the management of infectious diseases, mainly by shortening the time to result and by making the test available at the bedside or at remote care centres. Commercial POC tests are already widely available for the diagnosis of bacterial and viral infections and for parasitic diseases, including malaria. Infectious diseases specialists and clinical microbiologists should be aware of the indications and limitations of each rapid test, so that they can use them appropriately and correctly interpret their results. The clinical applications and performance of the most relevant and commonly used POC tests are reviewed. Some of these tests exhibit insufficient sensitivity, and should therefore be coupled to confirmatory tests when the results are negative (e.g. Streptococcus pyogenes rapid antigen detection test), whereas the results of others need to be confirmed when positive (e.g. malaria). New molecular-based tests exhibit better sensitivity and specificity than former immunochromatographic assays (e.g. Streptococcus agalactiae detection). In the coming years, further evolution of POC tests may lead to new diagnostic approaches, such as panel testing, targeting not just a single pathogen, but all possible agents suspected in a specific clinical setting. To reach this goal, the development of serology-based and/or molecular-based microarrays/multiplexed tests will be needed. The availability of modern technology and new microfluidic devices will provide clinical microbiologists with the opportunity to be back at the bedside, proposing a large variety of POC tests that will allow quicker diagnosis and improved patient care.

Stochastic Search Variable Selection in Vector Error Correction Models with an Application to a Model of the UK Macroeconomy

This paper develops methods for Stochastic Search Variable Selection (currently popular with regression and Vector Autoregressive models) for Vector Error Correction models where there are many possible restrictions on the cointegration space. We show how this allows the researcher to begin with a single unrestricted model and either do model selection or model averaging in an automatic and computationally efficient manner. We apply our methods to a large UK macroeconomic model.

Choledocholithiasis: repetitive thick-slab single-shot projection magnetic resonance cholangiopancreaticography versus endoscopic ultrasonography.

This prospective study compares repetitive thick-slab single-shot projection magnetic resonance cholangiopancreatography (MRCP) with endoscopic ultrasonography (EUS) for the detection of choledocholithiasis. Fifty-seven consecutive patients (36 women, mean age 61) referred for suspected choledocholithiasis underwent MRCP, followed by EUS. Each procedure was performed by different operators blinded to the results of the other investigation. MR technique included a turbo spin-echo T2-weighted axial sequence with selective fat saturation (SPIR/TSE, TE=70 ms, TR=1,600 ms), followed by coronal dynamic MRCP. The same thick-slab slice was sequentially acquired 12 times as breath-hold single-shot projection imaging (SSh, TE=900 ms, TE=8,000 ms) centred on the common bile duct (CBD). Two experienced radiologists independently and blindly evaluated MR images for the detection of CBD stones. Their inter-observer agreement kappa was determined. Secondly, the two observers read MR images in consensus again. CBD stones were demonstrated in 18 out of 57 patients (31.6 %) and confirmed by endoscopic retrograde cholangiography (ERCP, n=17) or intraoperative cholangiography (n=1). Clinical follow-up served as the "gold standard" in patients with negative results without following invasive procedure (n=28). Sensitivity, specificity, accuracy, positive and negative predictive value for MRCP resulting from consensus reading were 94.9%, 94.4%, 94.7%, 97.4% and 89.5%, respectively. Corresponding values of EUS were 97.4%, 94.4%, 96.5%, 97.4% and 94.4%. Inter-observer agreement kappa was 0.81. Repetitive thick-slab single-shot projection MRCP is an accurate non-invasive imaging modality for suspected choledocholithiasis and should be increasingly used to select those patients who require a subsequent therapeutic procedure, namely ERCP.

On Strategy-proofness and symmetric single-peakedness

We characterize the class of strategy-proof social choice functions on the domain of symmetric single-peaked preferences. This class is strictly larger than the set of generalized median voter schemes (the class of strategy-proof and tops-only social choice functions on the domain of single-peaked preferences characterized by Moulin (1980)) since, under the domain of symmetric single-peaked preferences, generalized median voter schemes can be disturbed by discontinuity points and remain strategy-proof on the smaller domain. Our result identifies the specific nature of these discontinuities which allow to design non-onto social choice functions to deal with feasibility constraints.

Cost evaluation of cardiovascular magnetic resonance versus coronary angiography for the diagnostic work-up of coronary artery disease: Application of the European Cardiovascular Magnetic Resonance registry data to the German, United Kingdom, Swiss, and United States health care systems.

ABSTRACT: BACKGROUND: Cardiovascular magnetic resonance (CMR) has favorable characteristics for diagnostic evaluation and risk stratification of patients with known or suspected CAD. CMR utilization in CAD detection is growing fast. However, data on its cost-effectiveness are scarce. The goal of this study is to compare the costs of two strategies for detection of significant coronary artery stenoses in patients with suspected coronary artery disease (CAD): 1) Performing CMR first to assess myocardial ischemia and/or infarct scar before referring positive patients (defined as presence of ischemia and/or infarct scar to coronary angiography (CXA) versus 2) a hypothetical CXA performed in all patients as a single test to detect CAD. METHODS: A subgroup of the European CMR pilot registry was used including 2,717 consecutive patients who underwent stress-CMR. From these patients, 21% were positive for CAD (ischemia and/or infarct scar), 73% negative, and 6% uncertain and underwent additional testing. The diagnostic costs were evaluated using invoicing costs of each test performed. Costs analysis was performed from a health care payer perspective in German, United Kingdom, Swiss, and United States health care settings. RESULTS: In the public sectors of the German, United Kingdom, and Swiss health care systems, cost savings from the CMR-driven strategy were 50%, 25% and 23%, respectively, versus outpatient CXA. If CXA was carried out as an inpatient procedure, cost savings were 46%, 50% and 48%, respectively. In the United States context, cost savings were 51% when compared with inpatient CXA, but higher for CMR by 8% versus outpatient CXA. CONCLUSION: This analysis suggests that from an economic perspective, the use of CMR should be encouraged as a management option for patients with suspected CAD.

Application of detection probabilities to the design of amphibian monitoring programs in temporary ponds

Failure to detect a species in an area where it is present is a major source of error in biological surveys. We assessed whether it is possible to optimize single-visit biological monitoring surveys of highly dynamic freshwater ecosystems by framing them a priori within a particular period of time. Alternatively, we also searched for the optimal number of visits and when they should be conducted. We developed single-species occupancy models to estimate the monthly probability of detection of pond-breeding amphibians during a four-year monitoring program. Our results revealed that detection probability was species-specific and changed among sampling visits within a breeding season and also among breeding seasons. Thereby, the optimization of biological surveys with minimal survey effort (a single visit) is not feasible as it proves impossible to select a priori an adequate sampling period that remains robust across years. Alternatively, a two-survey combination at the beginning of the sampling season yielded optimal results and constituted an acceptable compromise between sampling efficacy and survey effort. Our study provides evidence of the variability and uncertainty that likely affects the efficacy of monitoring surveys, highlighting the need of repeated sampling in both ecological studies and conservation management.

Analysis of genetic diversity of Trypanosoma cruzi: an application of riboprinting and gradient gel electrophoresis methods

Analysis of restriction fragment length polymorphism (RFLP) profiles derived from digestion of polymerase chain reaction (PCR) products of the ribosomal 18S from Trypanosoma cruzi yields a typical `riboprint' profile that can vary intraspecifically. A selection of 21 stocks of T. cruzi and three outgroup taxa: T. rangeli, T. conorhini and Leishmania braziliensis were analysed by riboprinting to assess divergence within and between taxa. T. rangeli, T. conorhini and L. braziliensis could be easily differentiated from each other and from T. cruzi. Phenetic analysis of PCR-RFLP profiles indicated that, with one or two exceptions, stocks of T. cruzi could be broadly partitioned into two groups that formally corresponded to T. cruzi I and T. cruzi II respectively. To test if ribosomal 18S sequences were homogeneous within each taxon, gradient gel electrophoresis methods were employed utilising either chemical or temperature gradients. Upon interpretation of the melting profiles of riboprints and a section of the 18S independently amplified by PCR, there would appear to be at least two divergent 18S types present within T. cruzi. Heterogeneity within copies of the ribosomal 18S within a single genome has therefore been demonstrated and interestingly, this dimorphic arrangement was also present in the outgroup taxa. Presumably the ancestral duplicative event that led to the divergent 18S types preceded that of speciation within this group. These divergent 18S paralogues may have, or had, different functional pressures or rates of molecular evolution. Whether or not these divergent types are equally transcriptionally active throughout the life cycle, remain to be assessed.

Alternative ways to estimate change points in multinomial sequences. An application to an authorship attribution problem

The statistical analysis of literary style is the part of stylometry that compares measurable characteristicsin a text that are rarely controlled by the author, with those in other texts. When thegoal is to settle authorship questions, these characteristics should relate to the author’s style andnot to the genre, epoch or editor, and they should be such that their variation between authors islarger than the variation within comparable texts from the same author.For an overview of the literature on stylometry and some of the techniques involved, see for exampleMosteller and Wallace (1964, 82), Herdan (1964), Morton (1978), Holmes (1985), Oakes (1998) orLebart, Salem and Berry (1998).Tirant lo Blanc, a chivalry book, is the main work in catalan literature and it was hailed to be“the best book of its kind in the world” by Cervantes in Don Quixote. Considered by writterslike Vargas Llosa or Damaso Alonso to be the first modern novel in Europe, it has been translatedseveral times into Spanish, Italian and French, with modern English translations by Rosenthal(1996) and La Fontaine (1993). The main body of this book was written between 1460 and 1465,but it was not printed until 1490.There is an intense and long lasting debate around its authorship sprouting from its first edition,where its introduction states that the whole book is the work of Martorell (1413?-1468), while atthe end it is stated that the last one fourth of the book is by Galba (?-1490), after the death ofMartorell. Some of the authors that support the theory of single authorship are Riquer (1990),Chiner (1993) and Badia (1993), while some of those supporting the double authorship are Riquer(1947), Coromines (1956) and Ferrando (1995). For an overview of this debate, see Riquer (1990).Neither of the two candidate authors left any text comparable to the one under study, and thereforediscriminant analysis can not be used to help classify chapters by author. By using sample textsencompassing about ten percent of the book, and looking at word length and at the use of 44conjunctions, prepositions and articles, Ginebra and Cabos (1998) detect heterogeneities that mightindicate the existence of two authors. By analyzing the diversity of the vocabulary, Riba andGinebra (2000) estimates that stylistic boundary to be near chapter 383.Following the lead of the extensive literature, this paper looks into word length, the use of the mostfrequent words and into the use of vowels in each chapter of the book. Given that the featuresselected are categorical, that leads to three contingency tables of ordered rows and therefore tothree sequences of multinomial observations.Section 2 explores these sequences graphically, observing a clear shift in their distribution. Section 3describes the problem of the estimation of a suden change-point in those sequences, in the followingsections we propose various ways to estimate change-points in multinomial sequences; the methodin section 4 involves fitting models for polytomous data, the one in Section 5 fits gamma modelsonto the sequence of Chi-square distances between each row profiles and the average profile, theone in Section 6 fits models onto the sequence of values taken by the first component of thecorrespondence analysis as well as onto sequences of other summary measures like the averageword length. In Section 7 we fit models onto the marginal binomial sequences to identify thefeatures that distinguish the chapters before and after that boundary. Most methods rely heavilyon the use of generalized linear models

Application for fault location in electrical power distribution systems

Fault location has been studied deeply for transmission lines due to its importance in power systems. Nowadays the problem of fault location on distribution systems is receiving special attention mainly because of the power quality regulations. In this context, this paper presents an application software developed in Matlabtrade that automatically calculates the location of a fault in a distribution power system, starting from voltages and currents measured at the line terminal and the model of the distribution power system data. The application is based on a N-ary tree structure, which is suitable to be used in this application due to the highly branched and the non- homogeneity nature of the distribution systems, and has been developed for single-phase, two-phase, two-phase-to-ground, and three-phase faults. The implemented application is tested by using fault data in a real electrical distribution power system