A generalized multi-period mean-variance portfolio optimization with Markov switching parameters

In this paper, we deal with a generalized multi-period mean-variance portfolio selection problem with market parameters Subject to Markov random regime switchings. Problems of this kind have been recently considered in the literature for control over bankruptcy, for cases in which there are no jumps in market parameters (see [Zhu, S. S., Li, D., & Wang, S. Y. (2004). Risk control over bankruptcy in dynamic portfolio selection: A generalized mean variance formulation. IEEE Transactions on Automatic Control, 49, 447-457]). We present necessary and Sufficient conditions for obtaining an optimal control policy for this Markovian generalized multi-period meal-variance problem, based on a set of interconnected Riccati difference equations, and oil a set of other recursive equations. Some closed formulas are also derived for two special cases, extending some previous results in the literature. We apply the results to a numerical example with real data for Fisk control over bankruptcy Ill a dynamic portfolio selection problem with Markov jumps selection problem. (C) 2008 Elsevier Ltd. All rights reserved.

On the use of correlated beta random variables with animal population modelling

We give reasons why demographic parameters such as survival and reproduction rates are often modelled well in stochastic population simulation using beta distributions. In practice, it is frequently expected that these parameters will be correlated, for example with survival rates for all age classes tending to be high or low in the same year. We therefore discuss a method for producing correlated beta random variables by transforming correlated normal random variables, and show how it can be applied in practice by means of a simple example. We also note how the same approach can be used to produce correlated uniform triangular, and exponential random variables. (C) 2008 Elsevier B.V. All rights reserved.

Modelling the potential distribution of the invasive tomato red spider mite, Tetranychus evansi (Acari: Tetranychidae)

Predicting the potential geographical distribution of a species is particularly important for pests with strong invasive abilities. Tetranychus evansi Baker & Pritchard, possibly native to South America, is a spider mite pest of solanaceous crops. This mite is considered an invasive species in Africa and Europe. A CLIMEX model was developed to predict its global distribution. The model results fitted the known records of T. evansi except for some records in dry locations. Dryness as well as excess moisture stresses play important roles in limiting the spread of the mite in the tropics. In North America and Eurasia its potential distribution appears to be essentially limited by cold stress. Detailed potential distribution maps are provided for T. evansi in the Mediterranean Basin and in Japan. These two regions correspond to climatic borders for the species. Mite establishment in these areas can be explained by their relatively mild winters. The Mediterranean region is also the main area where tomato is grown in open fields in Europe and where the pest represents a threat. According to the model, the whole Mediterranean region has the potential to be extensively colonized by the mite. Wide expansion of the mite to new areas in Africa is also predicted. Agricultural issues highlighted by the modelled distribution of the pest are discussed.

Performance of a multi-level TDR system exposed to tropical field conditions - A time-space comparison with tensiometry

Time-domain reflectometry (TDR) is an important technique to obtain series of soil water content measurements in the field. Diode-segmented probes represent an improvement in TDR applicability, allowing measurements of the soil water content profile with a single probe. In this paper we explore an extensive soil water content dataset obtained by tensiometry and TDR from internal drainage experiments in two consecutive years in a tropical soil in Brazil. Comparisons between the variation patterns of the water content estimated by both methods exhibited evidences of deterioration of the TDR system during this two year period at field conditions. The results showed consistency in the variation pattern for the tensiometry data, whereas TDR estimates were inconsistent, with sensitivity decreasing over time. This suggests that difficulties may arise for the long-term use of this TDR system under tropical field conditions. (c) 2008 Elsevier B.V. All rights reserved.

Parametric and nonparametric statistical modelling of crop yield: implications for pricing crop insurance contracts

This article considers alternative methods to calculate the fair premium rate of crop insurance contracts based on county yields. The premium rate was calculated using parametric and nonparametric approaches to estimate the conditional agricultural yield density. These methods were applied to a data set of county yield provided by the Statistical and Geography Brazilian Institute (IBGE), for the period of 1990 through 2002, for soybean, corn and wheat, in the State of Paran. In this article, we propose methodological alternatives to pricing crop insurance contracts resulting in more accurate premium rates in a situation of limited data.

Modelling the progress of Asiatic citrus canker on Tahiti lime in relation to temperature and leaf wetness

The combined effect of temperature (15A degrees C, 20A degrees C, 25A degrees C, 30A degrees C, 35A degrees C, 40A degrees C and 42A degrees C) and leaf wetness duration (0, 4, 8 12, 16, 20 and 24 h) on infection and development of Asiatic citrus canker (Xanthomonas citri subsp. citri) on Tahiti lime plant was examined in growth chambers. No disease developed at 42A degrees C and zero hours of leaf wetness. Periods of leaf wetness as short as 4 h were sufficient for citrus canker infection. However, a longer leaf duration wetness (24 h) did not result in much increase in the incidence of citrus canker, but led to twice the number of lesions and four times the disease severity. Temperature was the greatest factor influencing disease development. At optimum temperatures (25-35A degrees C), there was 100% disease incidence. Maximum disease development was observed at 30-35A degrees C, with up to a 12-fold increase in lesion density, a 10-fold increase in lesion size and a 60-fold increase in disease severity.

Cloning, expression, molecular modelling and docking analysis of glutathione transferase from Saccharum officinarum

Sugarcane yield and quality are affected by a number of biotic and abiotic stresses. In response to such stresses, plants may increase the activities of some enzymes such as glutathione transferase (GST), which are involved in the detoxification of xenobiotics. Thus, a sugarcane GST was modelled and molecular docked using the program LIGIN to investigate the contributions of the active site residues towards the binding of reduced glutathione (GSH) and 1-chloro-2,4-dinitrobenzene (CDNB). As a result, W13 and I119 were identified as key residues for the specificity of sugarcane GSTF1 (SoGSTF1) towards CDNB. To obtain a better understanding of the catalytic specificity of sugarcane GST (SoGSTF1), two mutants were designed, W13L and I119F. Tertiary structure models and the same docking procedure were performed to explain the interactions between sugarcane GSTs with GSH and CDNB. An electron-sharing network for GSH interaction was also proposed. The SoGSTF1 and the mutated gene constructions were cloned and expressed in Escherichia coli and the expressed protein purified. Kinetic analyses revealed different Km values not only for CDNB, but also for GSH. The Km values were 0.2, 1.3 and 0.3 mM for GSH, and 0.9, 1.2 and 0.5 mM for CDNB, for the wild type, W13L mutant and I119F mutant, respectively. The V(max) values were 297.6, 224.5 and 171.8 mu mol min(-1) mg(-1) protein for GSH, and 372.3, 170.6 and 160.4 mu mol min(-1) mg(-1) protein for CDNB.

Multiphase flow in the vascular system of wood: From microscopic exploration to 3-D Lattice Boltzmann experiments

This paper provides insights into liquid free water dynamics in wood vessels based on Lattice Boltzmann experiments. The anatomy of real wood samples was reconstructed from systematic 3-D analyses of the vessel contours derived from successive microscopic images. This virtual vascular system was then used to supply fluid-solid boundary conditions to a two-phase Lattice Boltzmann scheme and investigate capillary invasion of this hydrophilic porous medium. Behavior of the liquid phase was strongly dependent on anatomical features, especially vessel bifurcations and reconnections. Various parameters were examined in numerical experiments with ideal vessel bifurcations, to clarify our interpretation of these features. (c) 2010 Elsevier Ltd. All rights reserved.

Determination of eight fatty acid ethyl esters in meconium samples by headspace solid-phase microextraction and gas chromatography-mass spectrometry

A number of fatty acid ethyl esters (FAEEs) have recently been detected in meconium samples. Several of these FAEEs have been evaluated as possible biomarkers for in utero ethanol exposure. In the present study, a method was optimized and validated for the simultaneous determination of eight FAEEs (ethyl laurate, ethyl myristate, ethyl palmitate, ethyl palmitoleate, ethyl stearate, ethyl oleate, ethyl linoleate and ethyl arachidonate) in meconium samples. FAEEs were extracted by headspace solid-phase microextraction. Analyte detection and quantification were carried out using GC-MS operated in chemical ionization mode. The corresponding D5-ethyl esters were synthesized and used as internal standards. The LOQ and LOD for each analyte were <150 and <100 ng/g, respectively. The method showed good linearity (r(2)>0.98) in the concentration range studied (LOQ -2000 ng/g). The intra- and interday imprecision, given by the RSD of the method, was lower than 15% for all FAEEs studied. The validated method was applied to 63 authentic specimens. FAEEs could be detected in alcohol-exposed newborns ( >600 ng/g cumulative concentration). Interestingly, FAEEs could also be detected in some non-exposed newborns, although the concentrations were much lower than those measured in exposed cases.

Development and validation of sensitive methods for determination of sibutramine hydrochloride monohydrate and direct enantiomeric separation on a protein-based chiral stationary phase

Sibutramine hydrochloride monohydrate, chemically 1-(4-chlorophenyl)-N,N-dimethyl-alpha-(2-methylpropyl) hydrochloride monohydrate (SB center dot HCl center dot H2O), was approved by the U.S. Food and Drug Administration for the treatment of obesity. The objective of this study was to develop, validate, and compare methods using UV-derivative spectrophotometry (UVDS) and reversed-phase high-performance liquid chromatography (HPLC) for the determination of SB center dot HCl center dot H2O in pharmaceutical drug products. The UVDS and HPLC methods were found to be rapid, precise, and accurate. Statistically, there was no significant difference between the proposed UVDS and HPLC methods. The enantiomeric separation of SB was obtained on an alpha-1 acid glycoprotein column. The R- and S-sibutramine were eluted in < 5 min with baseline separation of the chromatographic peaks (alpha = 1.9 and resolution = 1.9).

Extractive Fermentation of Clavulanic Acid by Streptomyces DAUFPE 3060 Using Aqueous Two-Phase System

The influence of four variables, specifically PEG molar mass (400, 1,000, and 8,000 g/mol), concentrations of PEG and phosphate salts (15, 20, and 25% for both), and agitation intensity (110, 150, and 200 rpm), on clavulanic acid (CA) extraction by extractive fermentation with PEG/phosphate salts aqueous two-phase system was investigated in shaken flasks using a 2(4-1)-fractional factorial design. After selection of the two most significant variables (agitation intensity and PEG molar mass), an optimization study conducted according to a 2(2)-central composite design revealed that 25% PEG 8,000 g/mol and phosphate salts at 240 rpm (run 6) were the best conditions for the extractive fermentation, leading to the best results in terms of partition coefficient (k = 8.2), yield of CA in the PEG-rich phase (eta(T) = 93%) and productivity (P = 5.3 mg/Lh). As a first attempt to make a scale-up of these results, the effectiveness of the extractive fermentation was then checked in a bench-scale bioreactor under conditions as close as possible to the optimum ones determined in flasks. The highest CA concentration obtained in the PEG-rich phase (691 mg/L) was 30% higher than in flasks, thus demonstrating the potential of such a new process, integrating the production and extraction steps, as a promising, low-cost tool to obtain high yields of this and similar products. (C) 2010 American Institute of Chemical Engineers Biotechnol. Prog., 27: 95-103, 2011

LPS Removal from an E. Coli Fermentation Broth Using Aqueous Two-Phase Micellar System

In biotechnology, endotoxin (LPS) removal from recombinant proteins is a critical and challenging step in the preparation of injectable therapeutics, as endotoxin is a natural component of bacterial expression systems widely used to manufacture therapeutic proteins. The viability of large-scale industrial production of recombinant biomolecules of pharmaceutical interest significantly depends on the separation and purification techniques used. The aim of this work was to evaluate the use of aqueous two-phase micellar system (ATPMS) for endotoxin removal from preparations containing recombinant proteins of pharmaceutical interest, such as green fluorescent protein (GFPuv). Partition assays were carried out initially using pure LPS, and afterwards in the presence of E. coli cell lysate. The ATPMS technology proved to be effective in GFPuv recovery, preferentially into the micelle-poor phase (K(GFPuv) < 1.00), and LPS removal into the micelle-rich phase (%REM(LPS) > 98.00%). Therefore, this system can be exploited as the first step for purification in biotechnology processes for removal of higher LPS concentrations. (C) 2010 American Institute of Chemical Engineers Biotechnol. Prog., 26: 1644-1653, 2010

Extraction of Ascorbate Oxidase from Cucurbita maxima by Continuous Process in Perforated Rotating Disc Contactor Using Aqueous Two-Phase Systems

The ascorbate oxidase is the enzyme used to determine the content of ascorbic acid in the pharmaceutical and food industries and clinics analyses. The techniques currently used for the purification of this enzyme raise its production cost. Thus, the development of alternative processes and with the potential to reduce costs is interesting. The application of aqueous two-phase system is proposed as an alternative to purification because it enables good separation of biomolecules. The objective of this study was to determine the conditions to continuously pre-purify the enzyme ascorbate oxidase by an aqueous two-phase system (PEG/citrate) using rotating column provided with perforated discs. Under the best conditions (20,000 g/mol PEG molar mass, 10% PEG concentration, and 25% citrate concentration), the system showed satisfactory results (partition coefficient, 3.35; separation efficiency, 54.98%; and purification factor, 1.46) and proved suitable for the pre-purification of ascorbate oxidase in continuous process.

Continuous extraction of alpha-toxin from a fermented broth of Clostridium perfringens Type A in perforated rotating disc contactor using aqueous two-phase PEG-phosphate system

A 2(3-1) factorial experimental design was used to evaluate the performance of a perforated rotating disc contactor to extract alpha-toxin from the fermented broth of Clostridium perfringens Type A by aqueous two-phase system of polyethylene glycol-phosphate salts. The influence of three independent variables, specifically the dispersed phase flowrate, the continuous phase flowrate and the disc rotational speed, was investigated on the hold up, the mass transfer coefficient, the separation efficiency and the purification factor, taken as the response variables. The optimum dispersed phase flowrate was 3.0 mL/min for all these responses. Besides, maximum values of hold up (0.80), separation efficiency (0. 10) and purification factor (2.4) were obtained at this flowrate using the lowest disc rotational speed (35 rpm), while the optimum mass transfer coefficient (0. 165 h(-1)) was achieved at the highest agitation level (140 rpm). The results of this study demonstrated that the dispersed phase flowrate strongly influenced the performance of PRDC, in that both the mass transfer coefficient and hold up increased with this parameter. (c) 2007 Elsevier B. V. All rights reserved.

Separation and partitioning of Green Fluorescent Protein from Escherichia coli homogenate in poly(ethylene glycol)/sodium-poly(acrylate) aqueous two-phase systems

The partitioning of Green Fluorescent Protein (GFP) in poly(ethylene glycol)/Na-poly(acrylate) aqueous two-phase systems (PEG/NaPA-ATPS) has been investigated. The aqueous two-phase systems are formed by mixing the polymers with a salt and a protein solution. The protein partitioning in the two-phase system was investigated at 25 degrees C. The concentration of the GFP was measured by fluorimetry. It was found that the partitioning of GFP depends on the salt type, pH and concentration of PEG. The data indicates that GFP partitions more strongly to the PEG phase in presence of Na2SO4 relative to NaCl. Furthermore, the GFP partitions more to the PEG phase at higher pH. The partition to the PEG phase is strongly favoured in systems with larger tie-line lengths (i.e. systems with higher polymer concentrations). The molecular weight of PEG is important since the partition coefficient (K) of GFP gradually decreases with increasing PEG size, from K ca. 300-400 for PEG 400 to K equal to 1.19 for PEG 8000. A separation process was developed where GFP was separated from a homogenate in two extraction steps: the GFP is first partitioned to the PEG phase in a PEG 3000/NaPA 8000 system containing 3 wt% Na2SO4, where the K value of GFP was 8. The GFP is then re-extracted to a salt phase formed by mixing the previous top-phase with a Na2SO4 solution. The K-value of GFP in this back-extraction was 0.22. The total recovery based on the start material was 74%. (c) 2008 Elsevier B.V. All rights reserved.