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.

Diet-induced hypercholesterolemia promotes androgen-independent prostate cancer metastasis via IQGAP1 and caveolin-1

Obesity and metabolic syndrome are associated with several cancers, however, the molecular mechanisms remain to be fully elucidated. Recent studies suggest that hypercholesterolemia increases intratumoral androgen signaling in prostate cancer, but it is unclear whether androgenindependent mechanisms also exist. Since hypercholesterolemia is associated with advanced, castrate-resistant prostate cancer, in this study, we aimed to determine whether and how hypercholesterolemia affects prostate cancer progression in the absence of androgen signaling. We demonstrate that diet-induced hypercholesterolemia promotes orthotopic xenograft PC-3 cell metastasis, concomitant with elevated expression of caveolin-1 and IQGAP1 in xenograft tumor tissues. In vitro cholesterol treatment of PC-3 cells stimulated migration and increased IQGAP1 and caveolin-1 protein level and localization to a detergent-resistant fraction. Down-regulation of caveolin-1 or IQGAP1 in PC-3 cells reduced migration and invasion in vitro, and hypercholesterolemia-induced metastasis in vivo. Double knock-down of caveolin-1 and IQGAP1 showed no additive effect, suggesting that caveolin-1 and IQGAP1 act via the same pathway. Taken together, our data show that hypercholesterolemia promotes prostate cancer metastasis independent of the androgen pathway, in part by increasing IQGAP1 and caveolin-1. These results have broader implications for managing metastasis of cancers in general as IQGAP1 and hypercholesterolemia are implicated in the progression of several cancers.

Exploring glueball wave functions on the lattice

We calculate the string tension and 0++ and 2++ glueball masses in pure gauge QCD using an improved lattice action. We compare various smearing methods, and find that the best glueball signal is obtained using smeared Wilson loops of a size of about 0.5 fm. Our results for mass ratios m0++/√σ=3.5(3) and m2++/m0++=1.6(2) are consistent with those computed with the simple plaquette action.

QCD with dynamical Wilson fermions. II

We present results for the QCD spectrum and the matrix elements of scalar and axial-vector densities at β=6/g2=5.4, 5.5, 5.6. The lattice update was done using the hybrid Monte Carlo algorithm to include two flavors of dynamical Wilson fermions. We have explored quark masses in the range ms≤mq≤3ms. The results for the spectrum are similar to quenched simulations and mass ratios are consistent with phenomenological heavy-quark models. The results for matrix elements of the scalar density show that the contribution of sea quarks is comparable to that of the valence quarks. This has important implications for the pion-nucleon σ term.

Inhibitory effects of wood extracts on the spoilage flora of marinated poultry meat

Polyphenolic compounds occurring naturally in knotwood of plants are known to have antimicrobial effects. The knots (i.e. the branch bases inside tree stems) and outer branches in pine trees contain a remarkably high concentration of phenolic stilbenes, while lignans are the major phenolic constituents of spruce knots. Large amount of these phenolic compounds can be extracted from wood knots at pulp and paper mills where their presence is undesirable. In Finland, marinating of broiler meat is done not only to increase or add value to the meat, but also to enhance the safety and shelf-life. These products are usually packed under a modified atmosphere for further protection against spoilage microorganisms. However, studies have revealed that addition of marinades to poultry products do not have an inhibitory effect on either some psychrotrophic anaerobic bacteria, such as Brochothrix thermosphacta or lactic acid bacteria associated with spoilage. Also, the activity of pathogenic Campylobacter jejuni is not affected by marinating. The objective of this study was to investigate the inhibitory and lethal activities of extracts from spruce (Picea spp.) and pine (Pinus spp.) knotwood and outer branches that are dissolved in ethanol against the spoilage microorganisms in modified atmosphere packaged marinated broiler products. Modified atmosphere packaged broiler products were separately inoculated with ‘normal’ marinades, marinades with 70% ethanol, marinades with a mixture of spruce and pine extracts dissolved in 70% ethanol or mixture of spruce and pine extracts in powder form. The bacterial colony forming units per gram obtained from each of the samples were analysed on de Man Rogosa and Sharpe agar at days 1, 6, 12 and 15. The results showed that there were significant differences in bacterial colony forming units per gram (P <0.05) between packages with ‘normal’ marinades and packages with extracts added to their marinades on the 12th and 15th day. It can be concluded that the addition of extracts from spruce and pine knotwood to marinades significantly retarded growth of spoilage microorganisms during the 15 day test period. However further research is warranted to characterise and establish the safety and suitability of the compound(s) in spruce and pine knotwood extracts that are responsible for inhibitory or lethal activity against the microbes that may be present in marinated poultry meat.

Kaon B parameter with Wilson fermions

We calculate the kaon B parameter in quenched lattice QCD at beta=6.0 using Wilson fermions at kappa=0.154 and 0.155. We use two kinds of nonlocal (''smeared'') sources for quark propagators to calculate the matrix elements between states of definite momentum. The use of smeared sources yields results with much smaller errors than obtained in previous calculations with Wilson fermions. By combining results for p=(0,0,0) and p=(0,0,1), we show that one can carry out the noperturbative subtraction necessary to remove the dominant lattice artifacts induced by the chiral-symmetry-breaking term in the Wilson action. Our final results are in good agreement with those obtained using staggered fermions. We also present results for B parameters of the DELTAI = 3/2 part of the electromagnetic penguin operators, and preliminary results for B(K) in the presence of two flavors of dynamical quarks.

Perturbative corrections for staggered four-fermion operators

We present results for one-loop matching coefficients between continuum four-fermion operators, defined in the Naive Dimensional Regularization scheme, and staggered fermion operators of various types. We calculate diagrams involving gluon exchange between quark fines, and ''penguin'' diagrams containing quark loops. For the former we use Landau-gauge operators, with and without O(a) improvement, and including the tadpole improvement suggested by Lepage and Mackenzie. For the latter we use gauge-invariant operators. Combined with existing results for two-loop anomalous dimension matrices and one-loop matching coefficients, our results allow a lattice calculation of the amplitudes for KKBAR mixing and K --> pipi decays with all corrections of O(g2) included. We also discuss the mixing of DELTAS = 1 operators with lower dimension operators, and show that, with staggered fermions, only a single lower dimension operator need be removed by non-perturbative subtraction.

A new Kingfisher from Panama

Among the birds obtained in the course of the Smithsonian Biological Survey of Panama are 28 kingfishers of the Ceryle americana group. Comparison of this large series, and examination of the birds from numerous localities in northern South America and within the wide distribution area (Panama to southern United States) originally assigned to Ceryle septentrionalis Sharpe, show that two well-marked races have been united under this name...(Document contains 4 pages)

Digital student further education: FE learners' expectations and experiences of technology - synthesis report

A synthesis report based on the final report of the FE digital student study into FE students' expectations and experiences of the digital environment. The report outlines the key challenges, learning provider solutions, sector solutions and commentary on main findings. Appendix 2 includes a list of project outputs.

In the footstep of Hermes: the meaning of the hermeneutics and symbolism

Translated by Michael Marder

Eficiencia y persistencia de los fondos de inversión inmobiliaria en España

[ES] El presente trabajo tiene como objeto el estudio de la eficiencia y persistencia de los rendimientos del total de fondos de inversión inmobiliaria españoles, desde el inicio de su actividad a finales de 1994 a agosto de 2012. Para este propósito se ha utilizado el alfa de Jensen, la ratio de Sharpe, y la aproximación propuesta por Carhart (1997). En cuanto a la eficiencia, la ratio de Sharpe presenta valores negativos en los tres primeros años de actividad de cada fondo y valores muy bajos o incluso negativos en los tres o cuatro últimos años. El indicador de Jensen muestra que la mayoría de los fondos presentan un rendimiento inferior al del mercado, aproximado mediante la rentabilidad de la vivienda y una media de la rentabilidad de todos los fondos inmobiliarios. Carteras de referencia vinculadas a los mercados de deuda o bolsa, no resultan significativas. En el análisis de la persistencia de los rendimientos se confirma su existencia a plazo de uno, dos, tres y cuatro años, para todos los fondos. La evidencia obtenida en nuestro trabajo para los fondos inmobiliarios en España, eficiencia inferior a la del mercado y persistencia en los rendimientos, nos permite confirmar la difícil situación que ha atravesado y en la que sigue inmersa este tipo de inversión colectiva, poniendo de manifiesto la necesidad y la urgencia de medidas impulsoras de su actividad.

Em busca de um índice alternativo à relação Book to Market para a construção de carteiras mais rentáveis

Muitos estudos buscam tentar prever o retorno potencial sobre portfólios de ações, com intuito de obter melhor rentabilidade sobre o capital aplicado. Diversas modelagens já foram utilizadas, sendo que as mais conhecidas são as que relacionam o risco com o retorno. Nesta linha destacam-se a Teoria de Carteiras proposta por Markowitz, e o CAPM de Sharpe. Através destas teorias entende-se a questão da influência da covariância dos retornos e que para um melhor desempenho de uma carteira, não é suficiente avaliar cada ativo individualmente. Por outro lado, diversas críticas em relação ao CAPM, vêm ensejando estudos complementares na busca de outras variáveis que melhorem os métodos de seleção de ativos. Fama e French (1993) fizeram um estudo com variáveis complementares em relação ao beta do CAPM, utilizando o tamanho e a relação Book to Market, conseguindo resultados melhores que o CAPM tradicional. O presente estudo leva em conta a questão do reinvestimento do lucro gerado e utilizando o modelo de Gordon propõe uma variável de classificação de empresas de crescimento e empresas valor, conceito já utilizado na literatura de finanças.Com base nesta variável montam-se carteiras de ações entre os anos de 2005 e 2012 e observa-se que é possível obter ganhos com a lógica proposta. Ao longo do período seria possível obter com as carteiras selecionadas ganhos de até 107,85% contra os retornos de 55,58% das carteiras com todos os ativos. Organizamos os mesmos ativos pela ótica da relação Book to Market as quais obtiveram retorno total do período de 90,42%. Apesar de notar uma mudança clara de comportamento, onde apenas nos quatro primeiros anos do estudo as carteiras com empresas value são superiores e nos quatro últimos períodos as carteiras de empresas growth são as melhores. Estes resultados são compatíveis com os resultados de Braga e Leal (2000), e Mescolin, Martinelli Braga e da Costa Jr. (1997), verificando um melhor desempenho para as empresas value.