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.

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.

Tuberculosis in Cape Town: An age-structured transmission model.

BACKGROUND Tuberculosis (TB) is the leading cause of death in South Africa. The burden of disease varies by age, with peaks in TB notification rates in the HIV-negative population at ages 0-5, 20-24, and 45-49 years. There is little variation between age groups in the rates in the HIV-positive population. The drivers of this age pattern remain unknown. METHODS We developed an age-structured simulation model of Mycobacterium tuberculosis (Mtb) transmission in Cape Town, South Africa. We considered five states of TB progression: susceptible, infected (latent TB), active TB, treated TB, and treatment default. Latently infected individuals could be re-infected; a previous Mtb infection slowed progression to active disease. We further considered three states of HIV progression: HIV negative, HIV positive, on antiretroviral therapy. To parameterize the model, we analysed treatment outcomes from the Cape Town electronic TB register, social mixing patterns from a Cape Town community and used literature estimates for other parameters. To investigate the main drivers behind the age patterns, we conducted sensitivity analyses on all parameters related to the age structure. RESULTS The model replicated the age patterns in HIV-negative TB notification rates of Cape Town in 2009. Simulated TB notification rate in HIV-negative patients was 1000/100,000 person-years (pyrs) in children aged <5 years and decreased to 51/100,000 in children 5-15 years. The peak in early adulthood occurred at 25-29 years (463/100,000 pyrs). After a subsequent decline, simulated TB notification rates gradually increased from the age of 30 years. Sensitivity analyses showed that the dip after the early adult peak was due to the protective effect of latent TB and that retreatment TB was mainly responsible for the rise in TB notification rates from the age of 30 years. CONCLUSION The protective effect of a first latent infection on subsequent infections and the faster progression in previously treated patients are the key determinants of the age-structure of TB notification rates in Cape Town.