Asset allocation, cross-class correlation and the structure of property returns

Practical applications of portfolio optimisation tend to proceed on a “top down” basis where funds are allocated first at asset class level (between, say, bonds, cash, equities and real estate) and then, progressively, at sub-class level (within property to sectors, office, retail, industrial for example). While there are organisational benefits from such an approach, it can potentially lead to sub-optimal allocations when compared to a “global” or “side-by-side” optimisation. This will occur where there are correlations between sub-classes across the asset divide that are masked in aggregation – between, for instance, City offices and the performance of financial services stocks. This paper explores such sub-class linkages using UK monthly stock and property data. Exploratory analysis using clustering procedures and factor analysis suggests that property performance and equity performance are distinctive: there is little persuasive evidence of contemporaneous or lagged sub-class linkages. Formal tests of the equivalence of optimised portfolios using top-down and global approaches failed to demonstrate significant differences, whether or not allocations were constrained. While the results may be a function of measurement of market returns, it is those returns that are used to assess fund performance. Accordingly, the treatment of real estate as a distinct asset class with diversification potential seems justified.

Correlation between Fourier series expansion and Hückel orbital theory

The Fourier series can be used to describe periodic phenomena such as the one-dimensional crystal wave function. By the trigonometric treatements in Hückel theory it is shown that Hückel theory is a special case of Fourier series theory. Thus, the conjugated π system is in fact a periodic system. Therefore, it can be explained why such a simple theorem as Hückel theory can be so powerful in organic chemistry. Although it only considers the immediate neighboring interactions, it implicitly takes account of the periodicity in the complete picture where all the interactions are considered. Furthermore, the success of the trigonometric methods in Hückel theory is not accidental, as it based on the fact that Hückel theory is a specific example of the more general method of Fourier series expansion. It is also important for education purposes to expand a specific approach such as Hückel theory into a more general method such as Fourier series expansion.

Mismatch Negativity (MMN) reveals inefficient auditory ventral stream function in chronic auditory comprehension impairments

Background: Auditory discrimination is significantly impaired in Wernicke’s aphasia (WA) and thought to be causatively related to the language comprehension impairment which characterises the condition. This study used mismatch negativity (MMN) to investigate the neural responses corresponding to successful and impaired auditory discrimination in WA. Methods: Behavioural auditory discrimination thresholds of CVC syllables and pure tones were measured in WA (n=7) and control (n=7) participants. Threshold results were used to develop multiple-deviant mismatch negativity (MMN) oddball paradigms containing deviants which were either perceptibly or non-perceptibly different from the standard stimuli. MMN analysis investigated differences associated with group, condition and perceptibility as well as the relationship between MMN responses and comprehension (within which behavioural auditory discrimination profiles were examined). Results: MMN waveforms were observable to both perceptible and non-perceptible auditory changes. Perceptibility was only distinguished by MMN amplitude in the PT condition. The WA group could be distinguished from controls by an increase in MMN response latency to CVC stimuli change. Correlation analyses displayed relationship between behavioural CVC discrimination and MMN amplitude in the control group, where greater amplitude corresponded to better discrimination. The WA group displayed the inverse effect; both discrimination accuracy and auditory comprehension scores were reduced with increased MMN amplitude. In the WA group, a further correlation was observed between the lateralisation of MMN response and CVC discrimination accuracy; the greater the bilateral involvement the better the discrimination accuracy. Conclusions: The results from this study provide further evidence for the nature of auditory comprehension impairment in WA and indicate that the auditory discrimination deficit is grounded in a reduced ability to engage in efficient hierarchical processing and the construction of invariant auditory objects. Correlation results suggest that people with chronic WA may rely on an inefficient, noisy right hemisphere auditory stream when attempting to process speech stimuli.

Short-term variability of solar wind number density, speed and dynamic pressure as a function of the interplanetary magnetic field components: A survey over two solar cycles

The variability of hourly values of solar wind number density, number density variation, speed, speed variation and dynamic pressure with IMF Bz and magnitude |B| has been examined for the period 1965–1986. We wish to draw attention to a strong correlation in number density and number density fluctuation with IMF Bz characterised by a symmetric increasing trend in these quantities away from Bz = 0 nT. The fluctuation level in solar wind speed is found to be relatively independent of Bz. We infer that number density and number density variability dominate in controlling solar wind dynamic pressure and dynamic pressure variability. It is also found that dynamic pressure is correlated with each component of IMF and that there is evidence of morphological differences between the variation with each component. Finally, we examine the variation of number density, speed, dynamic pressure and fluctuation level in number density and speed with IMF magnitude |B|. Again we find that number density variation dominates over solar wind speed in controlling dynamic pressure.

High-precision measurements of the co-polar correlation coefficient: non-Gaussian errors and retrieval of the dispersion parameter µ in rainfall

The co-polar correlation coefficient (ρhv) has many applications, including hydrometeor classification, ground clutter and melting layer identification, interpretation of ice microphysics and the retrieval of rain drop size distributions (DSDs). However, we currently lack the quantitative error estimates that are necessary if these applications are to be fully exploited. Previous error estimates of ρhv rely on knowledge of the unknown "true" ρhv and implicitly assume a Gaussian probability distribution function of ρhv samples. We show that frequency distributions of ρhv estimates are in fact highly negatively skewed. A new variable: L = -log10(1 - ρhv) is defined, which does have Gaussian error statistics, and a standard deviation depending only on the number of independent radar pulses. This is verified using observations of spherical drizzle drops, allowing, for the first time, the construction of rigorous confidence intervals in estimates of ρhv. In addition, we demonstrate how the imperfect co-location of the horizontal and vertical polarisation sample volumes may be accounted for. The possibility of using L to estimate the dispersion parameter (µ) in the gamma drop size distribution is investigated. We find that including drop oscillations is essential for this application, otherwise there could be biases in retrieved µ of up to ~8. Preliminary results in rainfall are presented. In a convective rain case study, our estimates show µ to be substantially larger than 0 (an exponential DSD). In this particular rain event, rain rate would be overestimated by up to 50% if a simple exponential DSD is assumed.

Functional and morphologic evaluation of kidney proximal tubuli and correlation with renal allograft prognosis

P>Renal transplant patients with stable graft function and proximal tubular dysfunction (PTD) have an increased risk for chronic allograft nephropathy (CAN). In this study, we investigated the histologic pattern associated with PTD and its correlation with graft outcome. Forty-nine transplant patients with stable graft function were submitted to a biopsy. Simultaneously, urinary retinol-binding protein (uRBP) was measured and creatinine clearance was also determined. Banff`s score and semi-quantitative histologic analyses were performed to assess tubulointerstitial alterations. Patients were followed for 24.0 +/- 7.8 months. At biopsy time, mean serum creatinine was 1.43 +/- 0.33 mg/dl. Twelve patients (24.5%) had uRBP >= 1 mg/l, indicating PTD and 67% of biopsies had some degree of tubulointerstitial injury. At the end of the study period, 18 (36.7%) patients had lost renal function. uRBP levels were not associated with morphologic findings of interstitial fibrosis and tubular atrophy (IF/TA), interstitial fibrosis measured by Sirius red or tubulointerstitial damage. However, in multivariate analysis, the only variable associated with the loss of renal function was uRBP level >= 1 mg/l, determining a risk of 5.290 of loss of renal function (P = 0.003). Renal transplant patients who present PTD have functional alteration, which is not associated with morphologic alteration. This functional alteration is associated to progressive decrease in renal function.

Effects of Side-Chain and Electron Exchange Correlation on the Band Structure of Perylene Diimide Liquid Crystals: A Density Functional Study

The structural and electronic properties of perylene diimide liquid crystal PPEEB are studied using ab initio methods based on the density functional theory (I)FT). Using available experimental crystallographic data as a guide, we propose a detailed structural model for the packing of solid PPEEB. We find that due to the localized nature of the band edge wave function, theoretical approaches beyond the standard method, such as hybrid functional (PBE0), are required to correctly characterize the band structure of this material. Moreover, unlike previous assumptions, we observe the formation of hydrogen bonds between the side chains of different molecules, which leads to a dispersion of the energy levels. This result indicates that the side chains of the molecular crystal not only are responsible for its structural conformation but also can be used for tuning the electronic and optical properties of these materials.

Update on the correlation of the highest energy cosmic rays with nearby extragalactic matter

Data collected by the Pierre Auger Observatory through 31 August 2007 showed evidence for anisotropy in the arrival directions of cosmic rays above the Greisen-Zatsepin-Kuz`min energy threshold, 6 x 10(19) eV. The anisotropy was measured by the fraction of arrival directions that are less than 3.1 degrees from the position of an active galactic nucleus within 75 Mpc (using the Veron-Cetty and Veron 12th catalog). An updated measurement of this fraction is reported here using the arrival directions of cosmic rays recorded above the same energy threshold through 31 December 2009. The number of arrival directions has increased from 27 to 69, allowing a more precise measurement. The correlating fraction is (38(-6)(+7))%, compared with 21% expected for isotropic cosmic rays. This is down from the early estimate of (69-(+11)(13))%. The enlarged set of arrival directions is examined also in relation to other populations of nearby extragalactic objects: galaxies in the 2 Microns All Sky Survey and active galactic nuclei detected in hard X-rays by the Swift Burst Alert Telescope. A celestial region around the position of the radiogalaxy Cen A has the largest excess of arrival directions relative to isotropic expectations. The 2-point autocorrelation function is shown for the enlarged set of arrival directions and compared to the isotropic expectation. (C) 2010 Elsevier B.V. All rights reserved.

Random sums of exchangeable variables and actuarial applications

In this paper we study the accumulated claim in some fixed time period, skipping the classical assumption of mutual independence between the variables involved. Two basic models are considered: Model I assumes that any pair of claims are equally correlated which means that the corresponding square-integrable sequence is exchangeable one. Model 2 states that the correlations between the adjacent claims are the same. Recurrence and explicit expressions for the joint probability generating function are derived and the impact of the dependence parameter (correlation coefficient) in both models is examined. The Markov binomial distribution is obtained as a particular case under assumptions of Model 2. (C) 2007 Elsevier B.V. All rights reserved.

On the positive correlation between income inequality and unemployment

Several empirical studies in the literature have documented the existence of a positive correlation between income inequalitiy and unemployment. I provide a theoretical framework under which this correlation can be better understood. The analysis is based on a dynamic job search under uncertainty. I start by proving the uniqueness of a stationary distribution of wages in the economy. Drawing upon this distribution, I provide a general expression for the Gini coefficient of income inequality. The expression has the advantage of not requiring a particular specification of the distribution of wage offers. Next, I show how the Gini coefficient varies as a function of the parameters of the model, and how it can be expected to be positively correlated with the rate of unemployment. Two examples are offered. The first, of a technical nature, to show that the convergence of the measures implied by the underlying Markov process can fail in some cases. The second, to provide a quantitative assessment of the model and of the mechanism linking unemployment and inequality.

Estimating the stochastic discount factor without a utility function

Using the Pricing Equation in a panel-data framework, we construct a novel consistent estimator of the stochastic discount factor (SDF) which relies on the fact that its logarithm is the serial-correlation ìcommon featureîin every asset return of the economy. Our estimator is a simple function of asset returns, does not depend on any parametric function representing preferences, is suitable for testing di§erent preference speciÖcations or investigating intertemporal substitution puzzles, and can be a basis to construct an estimator of the risk-free rate. For post-war data, our estimator is close to unity most of the time, yielding an average annual real discount rate of 2.46%. In formal testing, we cannot reject standard preference speciÖcations used in the literature and estimates of the relative risk-aversion coe¢ cient are between 1 and 2, and statistically equal to unity. Using our SDF estimator, we found little signs of the equity-premium puzzle for the U.S.

Fractal correlation property of heart rate variability in chronic obstructive pulmonary disease

Background: It was reported that autonomic nervous system function is altered in subjects with chronic obstructive pulmonary disease (COPD). We evaluated short-and long-term fractal exponents of heart rate variability (HRV) in COPD subjects.Patients and methods: We analyzed data from 30 volunteers, who were divided into two groups according to spirometric values: COPD (n = 15) and control (n = 15). For analysis of HRV indices, HRV was recorded beat by beat with the volunteers in the supine position for 30 minutes. We analyzed the linear indices in the time (SDNN [standard deviation of normal to normal] and RMSSD [root-mean square of differences]) and frequency domains (low frequency [LF], high frequency [HF], and LF/HF), and the short-and long-term fractal exponents were obtained by detrended fluctuation analysis. We considered P < 0.05 to be a significant difference.Results: COPD patients presented reduced levels of all linear exponents and decreased short-term fractal exponent (alpha-1: 0.899 +/- 0.18 versus 1.025 +/- 0.09, P = 0.026). There was no significant difference between COPD and control groups in alpha-2 and alpha-1/alpha-2 ratio.Conclusion: COPD subjects present reduced short-term fractal correlation properties of HRV, which indicates that this index can be used for risk stratification, assessment of systemic disease manifestations, and therapeutic procedures to monitor those patients.

Optical and electrical properties of polymerizing plasmas and their correlation with DLC film properties

Diamond-like carbon (DLC) films were grown from radiofrequency plasmas of acetylene-argon mixtures, at different excitation powers, P. The effects of this parameter on the plasma potential, electron density, electron temperature, and plasma activity were investigated using a Langmuir probe. The mean electron temperature increased from about 0.5 to about 7.0 eV while the mean electron density decreased from about 1.2x10(9) to about 0.2x10(9) cm(-3) as P was increased from 25 to 150 W. Both the plasma potential and the plasma activity were found to increase with increasing P. Through actinometric optical emission spectrometry, the relative concentrations of CH, [CH], and H, [H], in the discharge were mapped as a function of the applied power. A rise in [H] and a fall in [CH] with increasing P were observed and are discussed in relation to the plasma characteristics and the subimplantation model. The optical properties of the films were calculated from ultraviolet-visible spectroscopic data; the surface resistivity was measured by the two-point probe method. The optical gap, E(G), and the surface resistivity, rho(s), fall with increasing P. E(G) and rho(s) are in the ranges of about 2.0-1.3 eV and 10(14)-10(16) Omega/square, respectively. The plasma power also influences the film self-bias, V(b), via a linear dependence, and the effect of V(b) on ion bombardment during growth is addressed together with variation in the relative densities of sp(2) and sp(3) bonds in the films as determined by Raman spectroscopy.

Quantitative comparison of mobility and gross motor function in Brazilian children with cerebral palsy

Background: Cerebral palsy (CP) presents changes in posture and movement as a core characteristic, which requires therapeutic monitoring during the habilitation or rehabilitation of children. Besides clinical treatment, it is fundamental that professionals use systems of evaluation to quantify the difficulties presented to the individual and assist in the organization of a therapeutic program. The aim of this study was to quantitatively verify the performance of children with spastic di-paresia type CP.Methods: The Pediatric Evaluation of Disability Inventory (PEDI) and Gross Motor Function Classification System (GMFM) tests were used and classification made through the GMFCS in the assessment of 7 patients with CP, 4 females and 3 males, average age of 9 years old.Results: According to GMFCS scales, 17% (n=1) were level II and 83% (n=6) were level III. The PEDI test and 88 GMFM items were used in the area of mobility. We observed that there was high correlation between mobility and gross motor function with Pearson's correlation coefficient =0.929) showing the likely impact of these areas in the functional skills and the quality of life of these patients.Conclusion: We suggest the impact of the limitation of the areas in functional skills and quality of life of these patients.

Vasectomy effect on canine seminal plasma biochemical components and their correlation with seminal parameters

Three semen samples were collected at 48 It intervals from 20 mature research dogs previously conditioned to manual semen collection. Vasectomy was performed in all dogs, and 15 days after surgery, another three ejaculates were similarly collected. The semen was evaluated, and centrifuged to obtain seminal plasma for measurement of pH, and concentrations of total proteins (TP), total chlorides (Cl), calcium (Ca), potassium (K), and sodium (Na). The seminal plasma protein profile was evaluated by SDS-PAGE; molecular weights and the integrated optical density (IOD) of each band were estimated. There was a negative correlation between K concentration and progressive motility (r = -0.49, P = 0.027), sperm vigor (r = -0.60, P = 0.0053), and plasma integrity, evaluated by both the hypo-osmotic swelling test (r = -0.50, P = 0.026) and a fluorescent stain (r = -0.45, P = 0.046). Positive correlations between Na and K pre- and post-vasectomy (r = 0.88, P < 0.001; r = 0.56, P < 0.01, respectively) were verified. There were a total of 37 bands pre-vasectomy and 35 post-vasectomy (range, 100.6-3.6 kDa). Bands B9 and B13 (42.6 and 29.2 kDa) were not present post-vasectomy. The IOD of band B3 (73.5 kDa) was higher (P 0.03) pre-vasectomy, compared to post-vasectomy; conversely, the IODs of bands B29 and B37 (7.8 and 3.6 kDa) increased (P 0.026 and 0.047). Pre-vasectomy, there was a positive correlation (r = 0.49, P = 0.029) between band B37 band (3.6 kDa) and the Na:K ratio. In conclusion, K appeared to be involved in sperm motility in dogs and could be a tool to evaluate sperm function. The prostate contributed several elements to canine seminal plasma. Vasectomy changed Ca concentrations and the protein profile of the seminal plasma. Further studies must be performed to clarify the function of these elements on the in vivo fertility of dogs. (c) 2006 Elsevier B.V. All rights reserved.