Index Tracking Using Data-Mining Techniques and Mixed-Binary Linear Programming

Index tracking has become one of the most common strategies in asset management. The index-tracking problem consists of constructing a portfolio that replicates the future performance of an index by including only a subset of the index constituents in the portfolio. Finding the most representative subset is challenging when the number of stocks in the index is large. We introduce a new three-stage approach that at first identifies promising subsets by employing data-mining techniques, then determines the stock weights in the subsets using mixed-binary linear programming, and finally evaluates the subsets based on cross validation. The best subset is returned as the tracking portfolio. Our approach outperforms state-of-the-art methods in terms of out-of-sample performance and running times.

Fetal programming and epigenetic mechanisms in arterial hypertension.

PURPOSE OF REVIEW To provide an overview of available evidence of the potential role of epigenetics in the pathogenesis of hypertension and vascular dysfunction. RECENT FINDINGS Arterial hypertension is a highly heritable condition. Surprisingly, however, genetic variants only explain a tiny fraction of the phenotypic variation and the term 'missing heritability' has been coined to describe this phenomenon. Recent evidence suggests that phenotypic alteration that is unrelated to changes in DNA sequence (thereby escaping detection by classic genetic methodology) offers a potential explanation. Here, we present some basic information on epigenetics and review recent work consistent with the hypothesis of epigenetically induced arterial hypertension. SUMMARY New technologies that enable the rigorous assessment of epigenetic changes and their phenotypic consequences may provide the basis for explaining the missing heritability of arterial hypertension and offer new possibilities for treatment and/or prevention.

Transgenerational effects of land use on offspring performance and growth in Trifolium repens

entral European grasslands vary widely in productivity and in mowing and grazing regimes. The resulting differences in competition and heterogeneity among grasslands might have direct effects on plants, but might also affect the growth and morphology of their offspring through maternal effects or adaptive evolution. To test for such transgenerational effects, we grew plants of the clonal herb Trifolium repens from seeds collected in 58 grassland sites differing in productivity and mowing and grazing intensities in different treatments: without competition, with homogeneous competition, and with heterogeneous competition. In the competition-free treatment, T. repens from more productive, less frequently mown, and less intensively grazed sites produced more vegetative offspring, but this was not the case in the other treatments. When grown among or in close proximity to competitors, T. repens plants did not show preferential growth towards open spaces (i.e., no horizontal foraging), but did show strong vertical foraging by petiole elongation. In the homogeneous competition treatment, petiole length increased with the productivity of the parental site, but this was not the case in the heterogeneous competition treatment. Moreover, petiole length increased with mowing frequency and grazing intensity of the parental site in all but the homogeneous competition treatment. In summary, although the expression of differences between plants from sites with different productivities and land-use intensities depended on the experimental treatment, our findings imply that there are transgenerational effects of land use on the morphology and performance of T. repens.

SOMS: SurrOgate MultiStart algorithm for use with nonlinear programming for global optimization

SOMS is a general surrogate-based multistart algorithm, which is used in combination with any local optimizer to find global optima for computationally expensive functions with multiple local minima. SOMS differs from previous multistart methods in that a surrogate approximation is used by the multistart algorithm to help reduce the number of function evaluations necessary to identify the most promising points from which to start each nonlinear programming local search. SOMS’s numerical results are compared with four well-known methods, namely, Multi-Level Single Linkage (MLSL), MATLAB’s MultiStart, MATLAB’s GlobalSearch, and GLOBAL. In addition, we propose a class of wavy test functions that mimic the wavy nature of objective functions arising in many black-box simulations. Extensive comparisons of algorithms on the wavy testfunctions and on earlier standard global-optimization test functions are done for a total of 19 different test problems. The numerical results indicate that SOMS performs favorably in comparison to alternative methods and does especially well on wavy functions when the number of function evaluations allowed is limited.

Developmental programming of tumor suppressor gene penetrance

Epidemiological studies have led to the hypothesis that major risk factors for developing diseases such as hypertension, cardiovascular disease and adult-onset diabetes are established during development. This developmental programming hypothesis proposes that exposure to an adverse stimulus or insult at critical, sensitive periods of development can induce permanent alterations in normal physiological processes that lead to increased disease risk later in life. For cancer, inheritance of a tumor suppressor gene defect confers a high relative risk for disease development. However, these defects are rarely 100% penetrant. Traditionally, gene-environment interactions are thought to contribute to the penetrance of tumor suppressor gene defects by facilitating or inhibiting the acquisition of additional somatic mutations required for tumorigenesis. The studies presented herein identify developmental programming as a distinctive type of gene-environment interaction that can enhance the penetrance of a tumor suppressor gene defect in adult life. Using rats predisposed to uterine leiomyoma due to a germ-line defect in one allele of the tuberous sclerosis complex 2 (Tsc-2) tumor suppressor gene, these studies show that early-life exposure to the xenoestrogen, diethylstilbestrol (DES), during development of the uterus increased tumor incidence, multiplicity and size in genetically predisposed animals, but failed to induce tumors in wild-type rats. Uterine leiomyomas are ovarian-hormone dependent tumors that develop from the uterine myometrium. DES exposure was shown to developmentally program the myometrium, causing increased expression of estrogen-responsive genes prior to the onset of tumors. Loss of function of the normal Tsc-2 allele remained the rate-limiting event for tumorigenesis; however, tumors that developed in exposed animals displayed an enhanced proliferative response to ovarian steroid hormones relative to tumors that developed in unexposed animals. Furthermore, the studies presented herein identify developmental periods during which target tissues are maximally susceptible to developmental programming. These data suggest that exposure to environmental factors during critical periods of development can permanently alter normal physiological tissue responses and thus lead to increased disease risk in genetically susceptible individuals. ^

Food advertisements during children's television programming in 2007: Comparison with ads in 1994 and the 2005 dietary recommendations

Childhood overweight and obesity are two major public health problems that are of economic and medical concern in the world today (Lobstein, Baur, & Uauy, 2004). Overweight conditions in childhood are important because they are widely prevalent, serious, and carry lifetime consequences for health and well being (Lobstein et al., 2004). Several studies have shown an association between television viewing and obesity in all age groups (Caroli, Argentieri, Cardone, & Masi, 2004; Harper, 2006; Vandewater & Huang, 2006; Wiecha et al., 2006). One mechanism that potentially links television viewing to childhood obesity is food advertising (Story, 2003). ^ The purpose of this study was to examine the types of foods advertised on children's television programming and to determine if there have been any changes in the number and types of commercials over the last 13 years. In addition, the food content of the advertisements was compared to the 2005 Dietary Guidelines to determine if the foods targeted were consistent with the current recommendations. Finally, each television network was analyzed individually to determine any differences between advertising on cable and regular programming. ^ A descriptive analysis was conducted on the most commonly advertised commercials during children's television programming on Saturday morning from 7 a.m. to 10:30 a.m. A total of 10 major television networks were viewed on three different Saturday mornings during June and July 2007. Commercial advertising accounted for approximately 19% of children's total viewing time. Of the 3,185 commercials, 28.5% were for foods, 67.7% were for non-food items, and 3.8% were PSAs. On average, there were 30 commercial advertisements and PSAs per hour, of which approximately nine were for food. ^ Of the 907 food advertisements, 72.0% were for foods classified in the fats, oils, and sugar group. The next largest group (17.3%) was for restaurant food of which 15.3% were for unhealthy/fast food restaurant fare. The most frequently advertised food product on Saturday morning television was regular cereal, accounting for 43.9% of all food advertisements. ^ Cable and regular programming stations varied slightly in the amount, length, and category of commercials. Cable television had about 50% less commercials and PSAs (1098) than regular programming (2087), but only had approximately 150 minutes less total commercial and PSA time; therefore, cable, in general, had longer commercials than regular programming. Overall, cable programming had more advertisements encouraging increased physical activity and positive nutrition behavior with less commercials focusing on the fats, oils, and sugar groups, compared to regular programming. ^ During the last 13 years, food advertisements have not improved, despite the recent IOM report on marketing foods to children (Institute of Medicine-Committee on Food Marketing and the Diets of Children and Youth, 2005), although the frequency of food advertisements has improved slightly. Children are now viewing an average of one food advertisement every 7 minutes, compared to one food advertisement every 5 minutes in 1994 (Kotz & Story, 1994). Therefore, manufacturers are putting a greater emphasis on advertising other products to children. Despite the recent attention to the issue of marketing unhealthy foods to children through television advertisements, not much progress has been noted since 1994. Further advocacy and regulatory issues concerning the content of advertisements during Saturday morning TV need to be explored. ^

Youth empowerment evaluation to improve afterschool programming

Community-based participatory research necessitates that community members act as partners in decision making and mutual learning and discovery. In the same light, for programs/issues involving youth, youth should be partners in knowledge sharing and evaluation (Checkoway & Richards-Schuster, 2004). This study is a youth-focused empowerment evaluation for the Successful Youth program. Successful Youth is a multi-component youth development after-school program for Latino middle school youth, created with the goal of reducing teen pregnancy. An empowerment evaluation is collaborative and participatory (Balcazar and Harper 2003). The three steps of an empowerment evaluation are: (1) defining mission, (2) taking stock, and (3) planning for the future (Fetterman 2001).^ In a program where youth are developing leadership skills, making choices, and learning how to self reflect and evaluate, the empowerment evaluation could not be more aligned with promoting and enhancing these skills. In addition, an empowerment evaluation is designed to "foster improvement and self-determination" and "build capacity" (Fetterman 2001). Four empowerment groups were conducted with approximately 6-9 Latino 7th grade students per group. All participants were enrolled in the Successful Youth program. Results indicate points where students' perceptions of the program were aligned with the program's mission and where gaps were identified. Students offered recommendations for program improvements. Additionally, students enjoyed expressing their feelings about the program and appreciated that their opinions were valued. Youth recommendations will be brought to program staff; and, where possible, gaps will be addressed. Empowerment evaluations with youth will continue during the duration of the program so that youth involvement and input remains integral in the evaluation and to ascertain whether the program's goals are being met. ^