The Effects of Credit Risk on Dynamic Portfolio Management: A New Computational Approach

The study investigates the role of credit risk in a continuous time stochastic asset allocation model, since the traditional dynamic framework does not provide credit risk flexibility. The general model of the study extends the traditional dynamic efficiency framework by explicitly deriving the optimal value function for the infinite horizon stochastic control problem via a weighted volatility measure of market and credit risk. The model's optimal strategy was then compared to that obtained from a benchmark Markowitz-type dynamic optimization framework to determine which specification adequately reflects the optimal terminal investment returns and strategy under credit and market risks. The paper shows that an investor's optimal terminal return is lower than typically indicated under the traditional mean-variance framework during periods of elevated credit risk. Hence I conclude that, while the traditional dynamic mean-variance approach may indicate the ideal, in the presence of credit-risk it does not accurately reflect the observed optimal returns, terminal wealth and portfolio selection strategies.

An integrated molecular biology and computational approach to CYP1A1 expression in human brain

The cytochromes P450 comprise a superfamily of heme-containing mono-oxygenases. These enzymes metabolize numerous xenobiotics, but also play a role in metabolism of endogenous compounds. The P450 1A1 enzyme generally metabolizes polycyclic aromatic hydrocarbons, and its expression can be induced by aryl hydrocarbon receptor (AhR) activation. CYP1A1 is an exception to the generality that the majority of CYPs demonstrate highest expression in liver; CYP1Al is present in numerous extrahepatic tissues, including brain. This P450 has been observed in two forms, wildtype (WT) and brain variant (BV), arising from alternatively spliced mRNA transcripts. The CYP1A1 BV mRNA presented an exon deletion and was detected in human brain but not liver tissue of the same individuals. ^ Quantitative PCR analyses were performed to determine CYP1A1 WT and BV transcript expression levels in normal, bipolar disorder or schizophrenic groups. In our samples, we show that CYP1A1 BV mRNA, when present, is found alongside the full-length form. Furthermore, we demonstrate a significant decrease in expression of CYP1A1 in patients with bipolar disorder or schizophrenia. The expression level was not influenced by post-mortem interval, tissue pH, age, tobacco use, or lifetime antipsychotic medication load. ^ There is no indication of increased brain CYP1A1 expression in normal smokers versus non-smokers in these samples. We observed slightly increased CYP1A1 expression only in bipolar and schizophrenic smokers versus non-smokers. This may be indicative of complex interactions between neuronal chemical environments and AhR-mediated CYP1A1 induction in brain. ^ Structural homology modeling demonstrated that P450 1A1 BV has several alterations to positions/orientations of substrate recognition site residues compared to the WT isoform. Automated substrate docking was employed to investigate the potential binding of neurological signaling molecules and neurotropic drugs, as well as to differentiate specificities of the two P450 1A1 isoforms. We consistently observed that the BV isoform produced energetically favorable substrate dockings in orientations not observed for the same substrate in the WT isoform. These results demonstrated that structural differences, namely an expanded substrate access channel and active site, confer greater capacity for unique compound docking positions suggesting a metabolic profile distinct from the wildtype form for these test compounds. ^

Comparing the economic impacts of Asian integration by computational simulation analysis

The Geographical Simulation Model developed by IDE-JETRO (IDE-GSM) is a computer simulation model based on spatial economics. IDE-GSM enables us to predict the economic impacts of various trade and transport facilitation measures. Here, we mainly compare the prioritized projects of the Master Plan on ASEAN Connectivity (MPAC) and the Comprehensive Asia Development Plan (CADP). MPAC focus on specific hard or soft infrastructure projects that connect one ASEAN member state to another while the CADP emphasizes the importance of economic corridors or linkages between a large cluster and another cluster. As compared with MPAC projects, the simulation analysis shows that CADP projects have much larger positive impacts on ASEAN countries.

Computational Schemes for Optimizing Domains of Attraction in Dynamical Systems

In this paper, several computational schemes are presented for the optimal tuning of the global behavior of nonlinear dynamical sys- tems. Specifically, the maximization of the size of domains of attraction associated with invariants in parametrized dynamical sys- tems is addressed. Cell Mapping (CM) tech- niques are used to estimate the size of the domains, and such size is then maximized via different optimization tools. First, a ge- netic algorithm is tested whose performance shows to be good for determining global maxima at the expense of high computa- tional cost. Secondly, an iterative scheme based on a Stochastic Approximation proce- dure (the Kiefer-Wolfowitz algorithm) is eval- uated showing acceptable performance at low cost. Finally, several schemes combining neu- ral network based estimations and optimiza- tion procedures are addressed with promising results. The performance of the methods is illus- trated with two applications: first on the well-known van der Pol equation with stan- dard parametrization, and second the tuning of a controller for saturated systems.

A visual object counter based on a multimodal data association for embedded systems with limited computational power

A low complex but highly-efficient object counter algorithm is presented that can be embedded in hardware with a low computational power. This is achieved by a novel soft-data association strategy that can handle multimodal distributions.

Profiling for run-time checking of computational properties and performance debugging in logic programs

Although several profiling techniques for identifying performance bottlenecks in logic programs have been developed, they are generally not automatic and in most cases they do not provide enough information for identifying the root causes of such bottlenecks. This complicates using their results for guiding performance improvement. We present a profiling method and tool that provides such explanations. Our profiler associates cost centers to certain program elements and can measure different types of resource-related properties that affect performance, preserving the precedence of cost centers in the cali graph. It includes an automatic method for detecting procedures that are performance bottlenecks. The profiling tool has been integrated in a previously developed run-time checking framework to allow verification of certain properties when they cannot be verified statically. The approach allows checking global computational properties which require complex instrumentation tracking information about previous execution states, such as, e.g., that the execution time accumulated by a given procedure is not greater than a given bound. We have built a prototype implementation, integrated it in the Ciao/CiaoPP system and successfully applied it to performance improvement, automatic optimization (e.g., resource-aware specialization of programs), run-time checking, and debugging of global computational properties (e.g., resource usage) in Prolog programs.

Estimating the computational cost of logic programs

Information about the computational cost of programs is potentially useful for a variety of purposes, including selecting among different algorithms, guiding program transformations, in granularity control and mapping decisions in parallelizing compilers, and query optimization in deductive databases. Cost analysis of logic programs is complicated by nondeterminism: on the one hand, procedures can return múltiple Solutions, making it necessary to estímate the number of solutions in order to give nontrivial upper bound cost estimates; on the other hand, the possibility of failure has to be taken into account while estimating lower bounds. Here we discuss techniques to address these problems to some extent.

The role of computational logic as a hinge paradigm among deduction, problem solving, programming, and parallelism

This paper presents some brief considerations on the role of Computational Logic in the construction of Artificial Intelligence systems and in programming in general. It does not address how the many problems in AI can be solved but, rather more modestly, tries to point out some advantages of Computational Logic as a tool for the AI scientist in his quest. It addresses the interaction between declarative and procedural views of programs (deduction and action), the impact of the intrinsic limitations of logic, the relationship with other apparently competing computational paradigms, and finally discusses implementation-related issues, such as the efficiency of current implementations and their capability for efficiently exploiting existing and future sequential and parallel hardware. The purpose of the discussion is in no way to present Computational Logic as the unique overall vehicle for the development of intelligent systems (in the firm belief that such a panacea is yet to be found) but rather to stress its strengths in providing reasonable solutions to several aspects of the task.

WWW Programming using computational logic systems (and the PiLLoW/Ciao library)

We discuss from a practical point of view a number of issues involved in writing Internet and WWW applications using LP/CLP systems. We describe Pd_l_oW, a public-domain Internet and WWW programming library for LP/CLP systems which we argüe significantly simplifies the process of writing such applications. Pd_l_oW provides facilities for generating HTML structured documents, producing HTML forms, writing form handlers, accessing and parsing WWW documents, and accessing code posted at HTTP addresses. We also describe the architecture of some application classes, using a high-level model of client-server interaction, active modules. We then propose an architecture for automatic LP/CLP code downloading for local execution, using generic browsers. Finally, we also provide an overview of related work on the topic. The PiLLoW library has been developed in the context of the &- Prolog and CIAO systems, but it has been adapted to a number of popular LP/CLP systems, supporting most of its functionality.

The PiLLoW/Ciao library for INTERNET/WWW programming using computational logic systems

We discuss from a practical point of view a number of issues involved in writing Internet and WWW applications using LP/CLP systems. We describe PiLLoW, an Internet and WWW programming library for LP/CLP systems which we argüe significantly simplifies the process of writing such applications. PiLLoW provides facilities for generating HTML structured documents, producing HTML forms, writing form handlers, accessing and parsing WWW documents, and accessing code posted at HTTP addresses. We also describe the architecture of some application classes, using a high-level model of client-server interaction, active modules. Finally we describe an architecture for automatic LP/CLP code downloading for local execution, using generic browsers. The PiLLoW library has been developed in the context of the &-Prolog and CIAO systems, but it has been adapted to a number of popular LP/CLP systems, supporting most of its functionality.

An approach to profiling for run-time checking of computational properties and performance debugging in logic programs.

Although several profiling techniques for identifying performance bottlenecks in logic programs have been developed, they are generally not automatic and in most cases they do not provide enough information for identifying the root causes of such bottlenecks. This complicates using their results for guiding performance improvement. We present a profiling method and tool that provides such explanations. Our profiler associates cost centers to certain program elements and can measure different types of resource-related properties that affect performance, preserving the precedence of cost centers in the call graph. It includes an automatic method for detecting procedures that are performance bottlenecks. The profiling tool has been integrated in a previously developed run-time checking framework to allow verification of certain properties when they cannot be verified statically. The approach allows checking global computational properties which require complex instrumentation tracking information about previous execution states, such as, e.g., that the execution time accumulated by a given procedure is not greater than a given bound. We have built a prototype implementation, integrated it in the Ciao/CiaoPP system and successfully applied it to performance improvement, automatic optimization (e.g., resource-aware specialization of programs), run-time checking, and debugging of global computational properties (e.g., resource usage) in Prolog programs.

Computational methods to create and analyze a digital gene expression atlas of embryo development from microscopy images

Abstract The creation of atlases, or digital models where information from different subjects can be combined, is a field of increasing interest in biomedical imaging. When a single image does not contain enough information to appropriately describe the organism under study, it is then necessary to acquire images of several individuals, each of them containing complementary data with respect to the rest of the components in the cohort. This approach allows creating digital prototypes, ranging from anatomical atlases of human patients and organs, obtained for instance from Magnetic Resonance Imaging, to gene expression cartographies of embryo development, typically achieved from Light Microscopy. Within such context, in this PhD Thesis we propose, develop and validate new dedicated image processing methodologies that, based on image registration techniques, bring information from multiple individuals into alignment within a single digital atlas model. We also elaborate a dedicated software visualization platform to explore the resulting wealth of multi-dimensional data and novel analysis algo-rithms to automatically mine the generated resource in search of bio¬logical insights. In particular, this work focuses on gene expression data from developing zebrafish embryos imaged at the cellular resolution level with Two-Photon Laser Scanning Microscopy. Disposing of quantitative measurements relating multiple gene expressions to cell position and their evolution in time is a fundamental prerequisite to understand embryogenesis multi-scale processes. However, the number of gene expressions that can be simultaneously stained in one acquisition is limited due to optical and labeling constraints. These limitations motivate the implementation of atlasing strategies that can recreate a virtual gene expression multiplex. The developed computational tools have been tested in two different scenarios. The first one is the early zebrafish embryogenesis where the resulting atlas constitutes a link between the phenotype and the genotype at the cellular level. The second one is the late zebrafish brain where the resulting atlas allows studies relating gene expression to brain regionalization and neurogenesis. The proposed computational frameworks have been adapted to the requirements of both scenarios, such as the integration of partial views of the embryo into a whole embryo model with cellular resolution or the registration of anatom¬ical traits with deformable transformation models non-dependent on any specific labeling. The software implementation of the atlas generation tool (Match-IT) and the visualization platform (Atlas-IT) together with the gene expression atlas resources developed in this Thesis are to be made freely available to the scientific community. Lastly, a novel proof-of-concept experiment integrates for the first time 3D gene expression atlas resources with cell lineages extracted from live embryos, opening up the door to correlate genetic and cellular spatio-temporal dynamics. La creación de atlas, o modelos digitales, donde la información de distintos sujetos puede ser combinada, es un campo de creciente interés en imagen biomédica. Cuando una sola imagen no contiene suficientes datos como para describir apropiadamente el organismo objeto de estudio, se hace necesario adquirir imágenes de varios individuos, cada una de las cuales contiene información complementaria respecto al resto de componentes del grupo. De este modo, es posible crear prototipos digitales, que pueden ir desde atlas anatómicos de órganos y pacientes humanos, adquiridos por ejemplo mediante Resonancia Magnética, hasta cartografías de la expresión genética del desarrollo de embrionario, típicamente adquiridas mediante Microscopía Optica. Dentro de este contexto, en esta Tesis Doctoral se introducen, desarrollan y validan nuevos métodos de procesado de imagen que, basándose en técnicas de registro de imagen, son capaces de alinear imágenes y datos provenientes de múltiples individuos en un solo atlas digital. Además, se ha elaborado una plataforma de visualization específicamente diseñada para explorar la gran cantidad de datos, caracterizados por su multi-dimensionalidad, que resulta de estos métodos. Asimismo, se han propuesto novedosos algoritmos de análisis y minería de datos que permiten inspeccionar automáticamente los atlas generados en busca de conclusiones biológicas significativas. En particular, este trabajo se centra en datos de expresión genética del desarrollo embrionario del pez cebra, adquiridos mediante Microscopía dos fotones con resolución celular. Disponer de medidas cuantitativas que relacionen estas expresiones genéticas con las posiciones celulares y su evolución en el tiempo es un prerrequisito fundamental para comprender los procesos multi-escala característicos de la morfogénesis. Sin embargo, el número de expresiones genéticos que pueden ser simultáneamente etiquetados en una sola adquisición es reducido debido a limitaciones tanto ópticas como del etiquetado. Estas limitaciones requieren la implementación de estrategias de creación de atlas que puedan recrear un multiplexado virtual de expresiones genéticas. Las herramientas computacionales desarrolladas han sido validadas en dos escenarios distintos. El primer escenario es el desarrollo embrionario temprano del pez cebra, donde el atlas resultante permite constituir un vínculo, a nivel celular, entre el fenotipo y el genotipo de este organismo modelo. El segundo escenario corresponde a estadios tardíos del desarrollo del cerebro del pez cebra, donde el atlas resultante permite relacionar expresiones genéticas con la regionalización del cerebro y la formación de neuronas. La plataforma computacional desarrollada ha sido adaptada a los requisitos y retos planteados en ambos escenarios, como la integración, a resolución celular, de vistas parciales dentro de un modelo consistente en un embrión completo, o el alineamiento entre estructuras de referencia anatómica equivalentes, logrado mediante el uso de modelos de transformación deformables que no requieren ningún marcador específico. Está previsto poner a disposición de la comunidad científica tanto la herramienta de generación de atlas (Match-IT), como su plataforma de visualización (Atlas-IT), así como las bases de datos de expresión genética creadas a partir de estas herramientas. Por último, dentro de la presente Tesis Doctoral, se ha incluido una prueba conceptual innovadora que permite integrar los mencionados atlas de expresión genética tridimensionales dentro del linaje celular extraído de una adquisición in vivo de un embrión. Esta prueba conceptual abre la puerta a la posibilidad de correlar, por primera vez, las dinámicas espacio-temporales de genes y células.

Computational study of ligand binding in lipid transfer proteins: Structures, interfaces, and free energies of protein-lipid complexes

Plant nonspecific lipid transfer proteins (nsLTPs) bind a wide variety of lipids, which allows them to perform disparate functions. Recent reports on their multifunctionality in plant growth processes have posed new questions on the versatile binding abilities of these proteins. The lack of binding specificity has been customarily explained in qualitative terms on the basis of a supposed structural flexibility and nonspecificity of hydrophobic protein-ligand interactions. We present here a computational study of protein-ligand complexes formed between five nsLTPs and seven lipids bound in two different ways in every receptor protein. After optimizing geometries inmolecular dynamics calculations, we computed Poisson- Boltzmann electrostatic potentials, solvation energies, properties of the protein-ligand interfaces, and estimates of binding free energies of the resulting complexes. Our results provide the first quantitative information on the ligand abilities of nsLTPs, shed new light into protein-lipid interactions, and reveal new features which supplement commonly held assumptions on their lack of binding specificity.

Simplified computational method for non-linear seismic analysis of bridges

After the experience gained during the past years it seems clear that nonlinear analysis of bridges are very important to compute ductility demands and to localize potential hinges. This is specially true for irregular bridges in which it is not clear weather or not it is possible to use a linear computation followed by a correction using a behaviour factor. To simplify the numerical effort several approximate methods have been proposed. Among them, the so-called Dynamic Plastic Hinge Method in which an evolutionary shape function is used to reduce the structure to a single degree of freedom system seems to mantein a good balance between accuracy and simplicity. This paper presents results obtained in a parametric study conducted under the auspicies of PREC-8 european research program.

An approach to automatic learning assessment based on the computational theory of perceptions

E-learning systems output a huge quantity of data on a learning process. However, it takes a lot of specialist human resources to manually process these data and generate an assessment report. Additionally, for formative assessment, the report should state the attainment level of the learning goals defined by the instructor. This paper describes the use of the granular linguistic model of a phenomenon (GLMP) to model the assessment of the learning process and implement the automated generation of an assessment report. GLMP is based on fuzzy logic and the computational theory of perceptions. This technique is useful for implementing complex assessment criteria using inference systems based on linguistic rules. Apart from the grade, the model also generates a detailed natural language progress report on the achieved proficiency level, based exclusively on the objective data gathered from correct and incorrect responses. This is illustrated by applying the model to the assessment of Dijkstra’s algorithm learning using a visual simulation-based graph algorithm learning environment, called GRAPHs