Portfolio-optimization models for small investors

Since 2010, the client base of online-trading service providers has grown significantly. Such companies enable small investors to access the stock market at advantageous rates. Because small investors buy and sell stocks in moderate amounts, they should consider fixed transaction costs, integral transaction units, and dividends when selecting their portfolio. In this paper, we consider the small investor’s problem of investing capital in stocks in a way that maximizes the expected portfolio return and guarantees that the portfolio risk does not exceed a prescribed risk level. Portfolio-optimization models known from the literature are in general designed for institutional investors and do not consider the specific constraints of small investors. We therefore extend four well-known portfolio-optimization models to make them applicable for small investors. We consider one nonlinear model that uses variance as a risk measure and three linear models that use the mean absolute deviation from the portfolio return, the maximum loss, and the conditional value-at-risk as risk measures. We extend all models to consider piecewise-constant transaction costs, integral transaction units, and dividends. In an out-of-sample experiment based on Swiss stock-market data and the cost structure of the online-trading service provider Swissquote, we apply both the basic models and the extended models; the former represent the perspective of an institutional investor, and the latter the perspective of a small investor. The basic models compute portfolios that yield on average a slightly higher return than the portfolios computed with the extended models. However, all generated portfolios yield on average a higher return than the Swiss performance index. There are considerable differences between the four risk measures with respect to the mean realized portfolio return and the standard deviation of the realized portfolio return.

A continuous-time MILP model for short-term scheduling of make-and-pack production processes

In process industries, make-and-pack production is used to produce food and beverages, chemicals, and metal products, among others. This type of production process allows the fabrication of a wide range of products in relatively small amounts using the same equipment. In this article, we consider a real-world production process (cf. Honkomp et al. 2000. The curse of reality – why process scheduling optimization problems are diffcult in practice. Computers & Chemical Engineering, 24, 323–328.) comprising sequence-dependent changeover times, multipurpose storage units with limited capacities, quarantine times, batch splitting, partial equipment connectivity, and transfer times. The planning problem consists of computing a production schedule such that a given demand of packed products is fulfilled, all technological constraints are satisfied, and the production makespan is minimised. None of the models in the literature covers all of the technological constraints that occur in such make-and-pack production processes. To close this gap, we develop an efficient mixed-integer linear programming model that is based on a continuous time domain and general-precedence variables. We propose novel types of symmetry-breaking constraints and a preprocessing procedure to improve the model performance. In an experimental analysis, we show that small- and moderate-sized instances can be solved to optimality within short CPU times.

Design-based stereology: Planning, volumetry and sampling are crucial steps for a successful study

Quantitative data obtained by means of design-based stereology can add valuable information to studies performed on a diversity of organs, in particular when correlated to functional/physiological and biochemical data. Design-based stereology is based on a sound statistical background and can be used to generate accurate data which are in line with principles of good laboratory practice. In addition, by adjusting the study design an appropriate precision can be achieved to find relevant differences between groups. For the success of the stereological assessment detailed planning is necessary. In this review we focus on common pitfalls encountered during stereological assessment. An exemplary workflow is included, and based on authentic examples, we illustrate a number of sampling principles which can be implemented to obtain properly sampled tissue blocks for various purposes.

Optimal Scheduling of Work-Content-Constrained Projects

The execution of a project requires resources that are generally scarce. Classical approaches to resource allocation assume that the usage of these resources by an individual project activity is constant during the execution of that activity; in practice, however, the project manager may vary resource usage over time within prescribed bounds. This variation gives rise to the project scheduling problem which consists in allocating the scarce resources to the project activities over time such that the project duration is minimized, the total number of resource units allocated equals the prescribed work content of each activity, and various work-content-related constraints are met. We formulate this problem for the first time as a mixed-integer linear program. Our computational results for a standard test set from the literature indicate that this model outperforms the state-of-the-art solution methods for this problem.

Reciprocal relationship between left ventricular filling pressure and the recruitable human coronary collateral circulation

AIMS The aim of our study in patients with coronary artery disease (CAD) and present, or absent, myocardial ischaemia during coronary occlusion was to test whether (i) left ventricular (LV) filling pressure is influenced by the collateral circulation and, on the other hand, that (ii) its resistance to flow is directly associated with LV filling pressure. METHODS AND RESULTS In 50 patients with CAD, the following parameters were obtained before and during a 60 s balloon occlusion: LV, aortic (Pao) and coronary pressure (Poccl), flow velocity (Voccl), central venous pressure (CVP), and coronary flow velocity after coronary angioplasty (V(Ø-occl)). The following variables were determined and analysed at 10 s intervals during occlusion, and at 60 s of occlusion: LV end-diastolic pressure (LVEDP), velocity-derived (CFIv) and pressure-derived collateral flow index (CFIp), coronary collateral (Rcoll), and peripheral resistance index to flow (Rperiph). Patients with ECG signs of ischaemia during coronary occlusion (insufficient collaterals, n = 33) had higher values of LVEDP over the entire course of occlusion than those without ECG signs of ischaemia during occlusion (sufficient collaterals, n = 17). Despite no ischaemia in the latter, there was an increase in LVEDP from 20 to 60 s of occlusion. In patients with insufficient collaterals, CFIv decreased and CFIp increased during occlusion. Beyond an occlusive LVEDP > 27 mmHg, Rcoll and Rperiph increased as a function of LVEDP. CONCLUSION Recruitable collaterals are reciprocally tied to LV filling pressure during occlusion. If poorly developed, they affect it via myocardial ischaemia; if well grown, LV filling pressure still increases gradually during occlusion despite the absence of ischaemia indicating transmission of collateral perfusion pressure to the LV. With low, but not high, collateral flow, resistance to collateral as well as coronary peripheral flow is related to LV filling pressure in the high range.

New insights regarding the incidence, presentation and treatment options of aorto-oesophageal fistulation after thoracic endovascular aortic repair: the European Registry of Endovascular Aortic Repair Complications

OBJECTIVES To review the incidence, clinical presentation, definite management and 1-year outcome in patients with aorto-oesophageal fistulation (AOF) following thoracic endovascular aortic repair (TEVAR). METHODS International multicentre registry (European Registry of Endovascular Aortic Repair Complications) between 2001 and 2011 with a total caseload of 2387 TEVAR procedures (17 centres). RESULTS Thirty-six patients with a median age of 69 years (IQR 56-75), 25% females and 9 patients (19%) following previous aortic surgery were identified. The incidence of AOF in the entire cohort after TEVAR in the study period was 1.5%. The primary underlying aortic pathology for TEVAR was atherosclerotic aneurysm formation in 53% of patients and the median time to development of AOF was 90 days (IQR 30-150). Leading clinical symptoms were fever of unknown origin in 29 (81%), haematemesis in 19 (53%) and shock in 8 (22%) patients. Diagnosis could be confirmed via computed tomography in 92% of the cases with the leading sign of a new mediastinal mass in 28 (78%) patients. A conservative approach resulted in a 100% 1-year mortality, and 1-year survival for an oesophageal stenting-only approach was 17%. Survival after isolated oesophagectomy was 43%. The highest 1-year survival rate (46%) could be achieved via an aggressive treatment including radical oesophagectomy and aortic replacement [relative risk increase 1.73 95% confidence interval (CI) 1.03-2.92]. The survival advantage of this aggressive treatment modality could be confirmed in bootstrap analysis (95% CI 1.11-3.33). CONCLUSIONS The development of AOF is a rare but lethal complication after TEVAR, being associated with the need for emergency TEVAR as well as mediastinal haematoma formation. The only durable and successful approach to cure the disease is radical oesophagectomy and extensive aortic reconstruction. These findings may serve as a decision-making tool for physicians treating these complex patients.

Countering the urbanist agenda in variationist sociolinguistics: dialect contact, demographic change and the rural-urban dichotomy

In variational linguistics, the concept of space has always been a central issue. However, different research traditions considering space coexisted for a long time separately. Traditional dialectology focused primarily on the diatopic dimension of linguistic variation, whereas in sociolinguistic studies diastratic and diaphasic dimensions were considered. For a long time only very few linguistic investigations tried to combine both research traditions in a two-dimensional design – a desideratum which is meant to be compensated by the contributions of this volume. The articles present findings from empirical studies which take on these different concepts and examine how they relate to one another. Besides dialectological and sociolinguistic concepts also a lay perspective of linguistic space is considered, a paradigm that is often referred to as “folk dialectology”. Many of the studies in this volume make use of new computational possibilities of processing and cartographically representing large corpora of linguistic data. The empirical studies incorporate findings from different linguistic communities in Europe and pursue the objective to shed light on the inter-relationship between the different concepts of space and their relevance to variational linguistics.