A robust optimization approach for index tracking problem

Index tracking is an investment approach where the primary objective is to keep portfolio return as close as possible to a target index without purchasing all index components. The main purpose is to minimize the tracking error between the returns of the selected portfolio and a benchmark. In this paper, quadratic as well as linear models are presented for minimizing the tracking error. The uncertainty is considered in the input data using a tractable robust framework that controls the level of conservatism while maintaining linearity. The linearity of the proposed robust optimization models allows a simple implementation of an ordinary optimization software package to find the optimal robust solution. The proposed model of this paper employs Morgan Stanley Capital International Index as the target index and the results are reported for six national indices including Japan, the USA, the UK, Germany, Switzerland and France. The performance of the proposed models is evaluated using several financial criteria e.g. information ratio, market ratio, Sharpe ratio and Treynor ratio. The preliminary results demonstrate that the proposed model lowers the amount of tracking error while raising values of portfolio performance measures.

Connecting soundscape to landscape: Which acoustic index best describes landscape configuration?

Soundscape assessment has been proposed as a remote ecological monitoring tool for measuring biodiversity, but few studies have examined how soundscape patterns vary with landscape configuration and condition. The goal of our study was to examine a suite of published acoustic indices to determine whether they provide comparable results relative to varying levels of landscape fragmentation and ecological condition in nineteen forest sites in eastern Australia. Our comparison of six acoustic indices according to time of day revealed that two indices, the acoustic complexity and the bioacoustic index, presented a similar pattern that was linked to avian song intensity, but was not related to landscape and biodiversity attributes. The diversity indices, acoustic entropy and acoustic diversity, and the normalized difference soundscape index revealed high nighttime sound, as well as a dawn and dusk chorus. These indices appear to be sensitive to nocturnal biodiversity which is abundant at night in warm, subtropical environments. We argue that there is need to better understand temporal partitioning of the soundscape by specific taxonomic groups, and this should involve integrated research on amphibians, insects and birds during a 24 h cycle. The three indices that best connected the soundscape with landscape characteristics, ecological condition and bird species richness were acoustic entropy, acoustic evenness and the normalized difference soundscape index. This study has demonstrated that remote soundscape assessment can be implemented as an ecological monitoring tool in fragmented Australian forest landscapes. However, further investigation should be dedicated to refining and/or combining existing acoustic indices and also to determine if these indices are appropriate in other landscapes and for other survey purposes.

Effect of atmospheric aging on volatility and reactive oxygen species of biodiesel exhaust nano-particles

In the prospect of limited energy resources and climate change, effects of alternative biofuels on primary emissions are being extensively studied. Our two recent studies have shown that biodiesel fuel composition has a significant impact on primary particulate matter emissions. It was also shown that particulate matter caused by biodiesels was substantially different from the emissions due to petroleum diesel. Emissions appeared to have higher oxidative potential with the increase in oxygen content and decrease of carbon chain length and unsaturation levels of fuel molecules. Overall, both studies concluded that chemical composition of biodiesel is more important than its physical properties in controlling exhaust particle emissions. This suggests that the atmospheric aging processes, including secondary organic aerosol formation, of emissions from different fuels will be different as well. In this study, measurements were conducted on a modern common-rail diesel engine. To get more information on realistic properties of tested biodiesel particulate matter once they are released into the atmosphere, particulate matter was exposed to atmospheric oxidants, ozone and ultra-violet light; and the change in their properties was monitored for different biodiesel blends. Upon the exposure to oxidative agents, the chemical composition of the exhaust changes. It triggers the cascade of photochemical reactions resulting in the partitioning of semi-volatile compounds between the gas and particulate phase. In most of the cases, aging lead to the increase in volatility and oxidative potential, and the increment of change was mainly dependent on the chemical composition of fuels as the leading cause for the amount and the type of semi-volatile compounds present in the exhaust.

Volatility transmission in global financial markets

As financial markets have become increasingly integrated internationally, the topic of volatility transmission across these markets has become more important. This thesis investigates how the volatility patterns of the world's main financial centres differ across foreign exchange, equity, and bond markets.

Maternal pregravid body mass index and child hospital admissions in the first 5 years of life: results from an Australian birth cohort

Objectives: To examine the association of maternal pregravid body mass index (BMI) and child offspring, all-cause hospitalisations in the first 5 years of life. Methods: Prospective birth cohort study. From 2006 to 2011, 2779 pregnant women (2807 children) were enrolled in the Environments for Healthy Living: Griffith birth cohort study in South-East Queensland, Australia. Hospital delivery record and self-report baseline survey of maternal, household and demographic factors during pregnancy were linked to the Queensland Hospital Admitted Patients Data Collection from 1 November 2006 to 30 June 2012, for child admissions. Maternal pregravid BMI was classified as underweight (<18.5 kg m−2), normal weight (18.5–24.9 kg m−2), overweight (25.0–29.9 kg m−2) or obese (30 kg m−2). Main outcomes were the total number of child hospital admissions and ICD-10-AM diagnostic groupings in the first 5 years of life. Negative binomial regression models were calculated, adjusting for follow-up duration, demographic and health factors. The cohort comprised 8397.9 person years (PYs) follow-up. Results: Children of mothers who were classified as obese had an increased risk of all-cause hospital admissions in the first 5 years of life than the children of mothers with a normal BMI (adjusted rate ratio (RR) =1.48, 95% confidence interval 1.10–1.98). Conditions of the nervous system, infections, metabolic conditions, perinatal conditions, injuries and respiratory conditions were excessive, in both absolute and relative terms, for children of obese mothers, with RRs ranging from 1.3–4.0 (PYs adjusted). Children of mothers who were underweight were 1.8 times more likely to sustain an injury or poisoning than children of normal-weight mothers (PYs adjusted). Conclusion: Results suggest that if the intergenerational impact of maternal obesity (and similarly issues related to underweight) could be addressed, a significant reduction in child health care use, costs and public health burden would be likely.

Robust principal component analysis in water quality index development

Some statistical procedures already available in literature are employed in developing the water quality index, WQI. The nature of complexity and interdependency that occur in physical and chemical processes of water could be easier explained if statistical approaches were applied to water quality indexing. The most popular statistical method used in developing WQI is the principal component analysis (PCA). In literature, the WQI development based on the classical PCA mostly used water quality data that have been transformed and normalized. Outliers may be considered in or eliminated from the analysis. However, the classical mean and sample covariance matrix used in classical PCA methodology is not reliable if the outliers exist in the data. Since the presence of outliers may affect the computation of the principal component, robust principal component analysis, RPCA should be used. Focusing in Langat River, the RPCA-WQI was introduced for the first time in this study to re-calculate the DOE-WQI. Results show that the RPCA-WQI is capable to capture similar distribution in the existing DOE-WQI.

Adjustment of apnea-hypopnea index with severity of obstruction events enhances detection of sleep apnea patients with the highest risk of severe health consequences

Introduction Presently, the severity of obstructive sleep apnea (OSA) is estimated based on the apnea-hypopnea index (AHI). Unfortunately, AHI does not provide information on the severity of individual obstruction events. Previously, the severity of individual obstruction events has been suggested to be related to the outcome of the disease. In this study, we incorporate this information into AHI and test whether this novel approach would aid in discriminating patients with the highest risk. We hypothesize that the introduced adjusted AHI parameter provides a valuable supplement to AHI in the diagnosis of the severity of OSA. Methods This hypothesis was tested by means of retrospective follow-up (mean ± sd follow-up time 198.2 ± 24.7 months) of 1,068 men originally referred to night polygraphy due to suspected OSA. After exclusion of the 264 patients using CPAP, the remaining 804 patients were divided into normal (AHI < 5) and OSA (AHI ≥ 5) categories based on conventional AHI and adjusted AHI. For a more detailed analysis, the patients were divided into normal, mild, moderate, and severe OSA categories based on conventional AHI and adjusted AHI. Subsequently, the mortality and cardiovascular morbidity in these groups were determined. Results Use of the severity of individual obstruction events for adjustment of AHI led to a significant rearrangement of patients between severity categories. Due to this rearrangement, the number of deceased patients diagnosed to have OSA was increased when adjusted AHI was used as the diagnostic index. Importantly, risk ratios of all-cause mortality and cardiovascular morbidity were higher in moderate and severe OSA groups formed based on the adjusted AHI parameter than in those formed based on conventional AHI. Conclusions The adjusted AHI parameter was found to give valuable supplementary information to AHI and to potentially improve the recognition of OSA patients with the highest risk of mortality or cardiovascular morbidity.

Plasmon nanofocusing with negative refraction in a high-index dielectric wedge

Here, we describe a metal-insulator-insulator nanofocusing structure formed by a high-permittivity dielectric wedge on a metal substrate. The structure is shown to produce nanofocusing of surface plasmon polaritons (SPPs) in the direction opposite to the taper of the wedge, including a range of nanoplasmonic effects such as nanofocusing of SPPs with negative refraction, formation of plasmonic caustics within a nanoscale distance from the wedge tip, mutual transformation of SPP modes, and significant local field enhancements in the adiabatic and strongly nonadiabatic regimes. A combination of approximate analytical and rigorous numerical approaches is used to analyze the strength and position of caustics in the structure. In particular, it is demonstrated that strong SPP localization within spatial regions as small as a few tens of nanometers near the caustic is achievable in the considered structures. Contrary to other nanofocusing configurations, efficient nanofocusing is shown to occur in the strongly nonadiabatic regime with taper angles of the dielectric wedge as large as ∼40° and within uniquely short distances (as small as a few dozens of nanometers) from the tip of the wedge. Physical interpretations of the obtained results are also presented and discussed.

Validation of a Spanish version of the Spine Functional Index

Background The Spine Functional Index (SFI) is a recently published, robust and clinimetrically valid patient reported outcome measure. Objectives The purpose of this study was the adaptation and validation of a Spanish-version (SFI-Sp) with cultural and linguistic equivalence. Methods A two stage observational study was conducted. The SFI was cross-culturally adapted to Spanish through double forward and backward translation then validated for its psychometric characteristics. Participants (n = 226) with various spine conditions of >12 weeks duration completed the SFI-Sp and a region specific measure: for the back, the Roland Morris Questionnaire (RMQ) and Backache Index (BADIX); for the neck, the Neck Disability Index (NDI); for general health the EQ-5D and SF-12. The full sample was employed to determine internal consistency, concurrent criterion validity by region and health, construct validity and factor structure. A subgroup (n = 51) was used to determine reliability at seven days. Results The SFI-Sp demonstrated high internal consistency (α = 0.85) and reliability (r = 0.96). The factor structure was one-dimensional and supported construct validity. Criterion specific validity for function was high with the RMQ (r = 0.79), moderate with the BADIX (r = 0.59) and low with the NDI (r = 0.46). For general health it was low with the EQ-5D and inversely correlated (r = −0.42) and fair with the Physical and Mental Components of the SF-12 and inversely correlated (r = −0.56 and r = −0.48), respectively. The study limitations included the lack of longitudinal data regarding other psychometric properties, specifically responsiveness. Conclusions The SFI-Sp was demonstrated as a valid and reliable spine-regional outcome measure. The psychometric properties were comparable to and supported those of the English-version, however further longitudinal investigations are required.

Validity of currently used cutoff values of body mass index as a measure of obesity in Sri Lankan children

The aim of the study was to determine the reliability of body mass index based (BMI) cutoff values in diagnosing obesity among Sri Lankan children. Height, weight, waist circumference (WC) and hip circumference (HC) in 282 children were measured. Total body water was determined by deuterium dilution and fat mass (FM) derived using age and gender specific constants. A percentage FM of 30% for girls and 25% for boys were considered as cutoff levels for obesity. Two hundred and eighty two children (M/F: 158/124) were studied and 99 (80%) girls and 72 (45.5%) boys were obese based on % body fat. Eight (6.4%) girls and nine (5.7%) boys were obese based on International Obesity Task Force (IOTF) cutoff values. Percentage FM and WC centile charts were able to diagnose a significant proportion of children as true obese children. The FM and BMI were closely associated in both girls (r = 0.82, p < 0.001) and boys (r = 0.87, p < 0.001). Percentage FM and BMI had a very low but significant association; girls (r = 0.32, p < 0.001) and boys (r = 0.68, p < 0.001). FM had a significant association with WC and HC. BMI based cutoff values had a specificity of 100% but a very low sensitivity, varying between 8% and 23.6%. BMI is a poor indicator of the percentage fat and the commonly used cutoff values were not sensitive to detect cases of childhood obesity in Sri Lankan children.

Volatility transmission in global financial markets

This paper considers the transmission of volatility in global foreign exchange, equity and bond markets. Using a multivariate GARCH framework which includes measures of realised volatility as explanatory variables, significant volatility and news spillovers are found to occur on the same trading day between Japan, Europe, and the United States. All markets exhibit significant degrees of asymmetry in terms of the transmission of volatility associated with good and bad news. There are also strong links between diffusive volatilities in all three markets, whereas jumpactivity is only importantwithin the equitymarkets. The results of this paper deepen our understanding of how news and volatility are propagated through global financial markets.

Index properties of illite-bentonite mixtures in electrolyte solutions

Bentonite, commonly used for liner constructions in waste containment systems, possesses many limitations. Illite or illite containing bentonite has been proposed as an alternative material for liner construction. Their properties in different types of pore fluids are important to assess the long-term performance of the liner. Further, the illite-bentonite interaction occurs and changes their properties. The effect of these interactions is known when the pore fluid is only water. How their properties are modified in electrolyte solutions has been brought out in this paper. The index properties have been studied since they give an indication of their engineering properties. Due to reduction in the thickness of the diffused double layer and consequent particle aggregation in bentonite, the effect of clay-clay interaction reduces in electrolyte solutions. In electrolyte solutions, the liquid limit, the plasticity index, and free swell index of bentonite are lower than illite. The plasticity index of bentonite is further reduced in KCI solution. Clays with a higher plasticity index perform better to retain pollutants and reduce permeability. Hence, the presence of both illite and bentonite ensures better performance of the liner in different fluids.

Normalized wall index specific and MRI-based stress analysis of atherosclerotic carotid plaques: A study comparing acutely symptomatic and asymptomatic patients

Background: Biomechanical stresses play an important role in determining plaque stability. Quantification of these simulated stresses can be potentially used to assess plaque vulnerability and differentiate different patient groups. Methods and Results: 54 asymptomatic and 45 acutely symptomatic patients underwent in vivo multicontrast magnetic resonance imaging (MRI) of the carotid arteries. Plaque geometry used for finite element analysis was derived from in vivo MRI at the sites of maximum and minimum plaque burden. In total, 198 slices were used for the computational simulations. A pre-shrink technique was used to refine the simulation. Maximum principle stress at the vulnerable plaque sites (ie, critical stress) was extracted for the selected slices and a comparison was performed between the 2 groups. Critical stress in the slice with maximum plaque burden is significantly higher in acutely symptomatic patients as compared to asymptomatic patients (median, inter quartile range: 198.0 kPa (119.8-359.0 kPa) vs 138.4 kPa (83.8-242.6 kPa), P=0.04). No significant difference was found in the slice with minimum plaque burden between the 2 groups (196.7 kPa (133.3-282.7 kPa) vs 182.4 kPa (117.2-310.6 kPa), P=0.82). Conclusions: Acutely symptomatic carotid plaques have significantly high biomechanical stresses than asymptomatic plaques. This might be potentially useful for establishing a biomechanical risk stratification criteria based on plaque burden in future studies.

Critical Reappraisal Of Plasticity Index Of Soils

A fundamental approach, based on Gouy-Chapman theory of double layer, has been provided to micromechanistically interpret the plasticity index of soils and their relationship with liquid limit. The relationships between plasticity index and liquid limit, developed earlier, through statistical approaches and critical state concepts, have been reexamined. The statistical analysis of extensive published data has resulted in the relationship, IP = 0.74 (wL - 8). On comparison with other relationships in vogue the proposed equation has been found to give better agreement. From the reappraisal of critical state approaches consistent with the micromechanistic interpretation, the possible range of parameters have been computed and compared with those obtained by statistical means to enhance the credibility of the proposed relationship.

Developing a new index for comparing road safety maturity: Case study of the ASEAN community

As part of the development of the ASEAN Regional Road Safety Strategy, a new index for measuring road safety maturity (RSM) was constructed from numerical weightings given to measurable factors presented for each of the pillars that guide national road safety plans and activities in WHO Global Road Safety Report 2013: road safety management, safer road and mobility, safer vehicles, safer road users and post-crash response. The index is based on both a content analysis approach and a binary methodology (report/no report) including measures which have been considered pertinent and not redundant. For instance, the use of random breath testing and/or police checkpoints in the national drink driving law are combined in the enforcement index. The value of the index per pillar ranges from 0 to 100%, taking into account whether there is total, partial or non-implementation of certain actions. In addition, when possible, the self-rated level of enforcement is included. The overall ratings for the I 0 ASEAN countries and the scores for each of the pillars are presented in the paper. The extent to which the RSM index is a valid indicator of road safety performance is also discussed.