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.

Comparison of theoretical fixation stability of three devices employed in medial opening wedge high tibial osteotomy: a finite element analysis.

BACKGROUND Medial open wedge high tibial osteotomy is a well-established procedure for the treatment of unicompartmental osteoarthritis and symptomatic varus malalignment. We hypothesized that different fixation devices generate different fixation stability profiles for the various wedge sizes in a finite element (FE) analysis. METHODS Four types of fixation were compared: 1) first and 2) second generation Puddu plates, and 3) TomoFix plate with and 4) without bone graft. Cortical and cancellous bone was modelled and five different opening wedge sizes were studied for each model. Outcome measures included: 1) stresses in bone, 2) relative displacement of the proximal and distal tibial fragments, 3) stresses in the plates, 4) stresses on the upper and lower screw surfaces in the screw channels. RESULTS The highest load for all fixation types occurred in the plate axis. For the vast majority of the wedge sizes and fixation types the shear stress (von Mises stress) was dominating in the bone independent of fixation type. The relative displacements of the tibial fragments were low (in μm range). With an increasing wedge size this displacement tended to increase for both Puddu plates and the TomoFix plate with bone graft. For the TomoFix plate without bone graft a rather opposite trend was observed.For all fixation types the occurring stresses at the screw-bone contact areas pulled at the screws and exceeded the allowable threshold of 1.2 MPa for at least one screw surface. Of the six screw surfaces that were studied, the TomoFix plate with bone graft showed a stress excess of one out of twelve and without bone graft, five out of twelve. With the Puddu plates, an excess stress occurred in the majority of screw surfaces. CONCLUSIONS The different fixation devices generate different fixation stability profiles for different opening wedge sizes. Based on the computational simulations, none of the studied osteosynthesis fixation types warranted an intransigent full weight bearing per se. The highest fixation stability was observed for the TomoFix plates and the lowest for the first generation Puddu plate. These findings were revealed in theoretical models and need to be validated in controlled clinical settings.

Characterization of eosinophilic esophagitis murine models using optical coherence tomography.

Pre-clinical studies using murine models are critical for understanding the pathophysiological mechanisms underlying immune-mediated disorders such as Eosinophilic esophagitis (EoE). In this study, an optical coherence tomography (OCT) system capable of providing three-dimensional images with axial and transverse resolutions of 5 µm and 10 µm, respectively, was utilized to obtain esophageal images from a murine model of EoE-like disease ex vivo. Structural changes in the esophagus of wild-type (Tslpr(+/+) ) and mutant (Tslpr(-/-) ) mice with EoE-like disease were quantitatively evaluated and food impaction sites in the esophagus of diseased mice were monitored using OCT. Here, the capability of OCT as a label-free imaging tool devoid of tissue-processing artifacts to effectively characterize murine EoE-like disease models has been demonstrated.

Comparison of three different brushing techniques to isolate and culture primary nasal epithelial cells from human subjects.

PURPOSE Primary nasal epithelial cells are used for diagnostic purposes in clinical routine and have been shown to be good surrogate models for bronchial epithelial cells in studies of airway inflammation and remodeling. We aimed at comparing different instruments allowing isolation of nasal epithelial cells. METHODS Primary airway epithelial cell cultures were established using cells acquired from the inferior surface of the middle turbinate of both nostrils. Three different instruments to isolate nasal cells were used: homemade cytology brush, nasal swab, and curette. Cell count, viability, time until a confluent cell layer was reached, and success rate in establishing cell cultures were evaluated. A standard numeric pain intensity scale was used to assess the acceptability of each instrument. RESULTS Sixty healthy adults (median with interquartile range [IQR] age of 31 [26-37] years) participated in the study. Higher number of cells (×10(5) cells/ml) was obtained using brushes (9.8 [5.9-33.5]) compared to swabs (2.4 [1.5-3.9], p < 0.0001) and curettes (5.5 [4.4-6.9], p < 0.01). Cell viability was similar between groups. Cells obtained by brushes had the fastest growth rate, and the success rate in establishing primary cell cultures was highest with brushes (90% vs. 65% for swabs and 70% for curettes). Pain was highest with curettes (VAS score 4.0 [3.0-5.0] out of 10). The epithelial phenotype of the cultures was confirmed through cytokeratin and E-cadherin staining. CONCLUSIONS All three types of instruments allow collection and growth of human nasal epithelial cells with good acceptability to study participants. The most efficient instrument is the nasal brush.

The spatial distribution of water in the inner coma of Comet 9P/Tempel 1: Comparison between models and observations

The near nucleus coma of Comet 9P/Tempel 1 has been simulated with the 3D Direct Simulation Monte Carlo (DSMC) code PDSC++ (Su, C.-C. [2013]. Parallel Direct Simulation Monte Carlo (DSMC) Methods for Modeling Rarefied Gas Dynamics. PhD Thesis, National Chiao Tung University, Taiwan) and the derived column densities have been compared to observations of the water vapour distribution found by using infrared imaging spectrometer on the Deep Impact spacecraft (Feaga, L.M., A’Hearn, M.F., Sunshine, J.M., Groussin, O., Farnham, T.L. [2007]. Icarus 191(2), 134–145. http://dx.doi.org/10.1016/j.icarus.2007.04.038). Modelled total production rates are also compared to various observations made at the time of the Deep Impact encounter. Three different models were tested. For all models, the shape model constructed from the Deep Impact observations by Thomas et al. (Thomas, P.C., Veverka, J., Belton, M.J.S., Hidy, A., A’Hearn, M.F., Farnham, T.L., et al. [2007]. Icarus, 187(1), 4–15. http://dx.doi.org/10.1016/j.icarus.2006.12.013) was used. Outgassing depending only on the cosine of the solar insolation angle on each shape model facet is shown to provide an unsatisfactory model. Models constructed on the basis of active areas suggested by Kossacki and Szutowicz (Kossacki, K., Szutowicz, S. [2008]. Icarus, 195(2), 705–724. http://dx.doi.org/10.1016/j.icarus.2007.12.014) are shown to be superior. The Kossacki and Szutowicz model, however, also shows deficits which we have sought to improve upon. For the best model we investigate the properties of the outflow.

Three-dimensional printing for perioperative planning of complex aortic arch surgery

Purpose In this study, we show the use of three-dimensional printing models for preoperative planning of surgery for patients with complex aortic arch anomalies. Description A 70-year-old man with an extensively arteriosclerotic aneurysm reaching from the ascending aorta to the descending aorta was referred to our center for complete aortic arch replacement. We visualized and reconstructed computed tomography data of the patient and fabricated a flexible three-dimensional model of the aortic arch including the aneurysm. Evaluation This model was very helpful for the preoperative decision making and planning of the frozen elephant trunk procedure owing to the exact and lifelike illustration of the native aortic arch. Conclusions Three-dimensional models are helpful in preoperative planning and postoperative evaluation of frozen elephant trunk procedures in patients with complex aortic anatomy.

Reconstruction of 3D Vertebral Models from a Single 2D Lateral Fluoroscopic Image

Accurate three-dimensional (3D) models of lumbar vertebrae are required for image-based 3D kinematics analysis. MRI or CT datasets are frequently used to derive 3D models but have the disadvantages that they are expensive, time-consuming or involving ionizing radiation (e.g., CT acquisition). In this chapter, we present an alternative technique that can reconstruct a scaled 3D lumbar vertebral model from a single two-dimensional (2D) lateral fluoroscopic image and a statistical shape model. Cadaveric studies are conducted to verify the reconstruction accuracy by comparing the surface models reconstructed from a single lateral fluoroscopic image to the ground truth data from 3D CT segmentation. A mean reconstruction error between 0.7 and 1.4 mm was found.

Search for strong production of supersymmetric particles in final states with missing transverse momentum and at least three b-jets at √s= 8 TeV proton-proton collisions with the ATLAS detector

This paper reports the results of a search for strong production of supersymmetric particles in 20.1 fb−1 of proton-proton collisions at a centre-of-mass energy of 8TeV using the ATLAS detector at the LHC. The search is performed separately in events with either zero or at least one high-pT lepton (electron or muon), large missing transverse momentum, high jet multiplicity and at least three jets identified as originated from the fragmentation of a b-quark. No excess is observed with respect to the Standard Model predictions. The results are interpreted in the context of several supersymmetric models involving gluinos and scalar top and bottom quarks, as well as a mSUGRA/CMSSM model. Gluino masses up to 1340 GeV are excluded, depending on the model, significantly extending the previous ATLAS limits.

Search for supersymmetry at √8=8 TeV in final states with jets and two same-sign leptons or three leptons with the ATLAS detector

A search for strongly produced supersymmetric particles is conducted using signatures involving multiple energetic jets and either two isolated leptons (e or μ) with the same electric charge, or at least three isolated leptons. The search also utilises jets originating from b-quarks, missing transverse momentum and other observables to extend its sensitivity. The analysis uses a data sample corresponding to a total integrated luminosity of 20.3 fb−1 of ps = 8TeV proton-proton collisions recorded with the ATLAS detector at the Large Hadron Collider in 2012. No deviation from the Standard Model expectation is observed. New or significantly improved exclusion limits are set on a wide variety of supersymmetric models in which the lightest squark can be of the first, second or third generations, and in which R-parity can be conserved or violated.

Search for direct production of charginos and neutralinos in events with three leptons and missing transverse momentum in sqrts = 8TeV pp collisions with the ATLAS detector

A search for the direct production of charginos and neutralinos in final states with three leptons and missing transverse momentum is presented. The analysis is based on 20.3 fb−1 of √s = 8TeV proton-proton collision data delivered by the Large Hadron Collider and recorded with the ATLAS detector. Observations are consistent with the Standard Model expectations and limits are set in R-parity-conserving phenomenological Minimal Supersymmetric Standard Models and in simplified supersymmetric models, significantly extending previous results. For simplified supersymmetric models of direct chargino (˜χ±1 ) and next-to-lightest neutralino (˜χ02) production with decays to lightest neutralino(˜χ01) via either all three generations of sleptons, staus only, gauge bosons, or Higgs bosons, ˜χ±1 and ˜χ02 masses are excluded up to 700GeV, 380GeV, 345GeV, or 148GeV respectively, for a massless ˜χ01.

Conservation of threatened habitat types under future climate change – Lessons from plant-distribution models and current extinction trends in southern Germany

A higher risk of future range losses as a result of climate change is expected to be one of the main drivers of extinction trends in vascular plants occurring in habitat types of high conservation value. Nevertheless, the impact of the climate changes of the last 60 years on the current distribution and extinction patterns of plants is still largely unclear. We applied species distribution models to study the impact of environmental variables (climate, soil conditions, land cover, topography), on the current distribution of 18 vascular plant species characteristic of three threatened habitat types in southern Germany: (i) xero-thermophilous vegetation, (ii) mesophilous mountain grasslands (mountain hay meadows and matgrass communities), and (iii) wetland habitats (bogs, fens, and wet meadows). Climate and soil variables were the most important variables affecting plant distributions at a spatial level of 10 × 10 km. Extinction trends in our study area revealed that plant species which occur in wetland habitats faced higher extinction risks than those in xero-thermophilous vegetation, with the risk for species in mesophilous mountain grasslands being intermediary. For three plant species characteristic either of mesophilous mountain grasslands or wetland habitats we showed exemplarily that extinctions from 1950 to the present day have occurred at the edge of the species’ current climatic niche, indicating that climate change has likely been the main driver of extinction. This is largely consistent with current extinction trends reported in other studies. Our study indicates that the analysis of past extinctions is an appropriate means to assess the impact of climate change on species and that vulnerability to climate change is both species- and habitat-specific.

Sample size considerations using mathematical models: an example with Chlamydia trachomatis infection and its sequelae pelvic inflammatory disease.

BACKGROUND The success of an intervention to prevent the complications of an infection is influenced by the natural history of the infection. Assumptions about the temporal relationship between infection and the development of sequelae can affect the predicted effect size of an intervention and the sample size calculation. This study investigates how a mathematical model can be used to inform sample size calculations for a randomised controlled trial (RCT) using the example of Chlamydia trachomatis infection and pelvic inflammatory disease (PID). METHODS We used a compartmental model to imitate the structure of a published RCT. We considered three different processes for the timing of PID development, in relation to the initial C. trachomatis infection: immediate, constant throughout, or at the end of the infectious period. For each process we assumed that, of all women infected, the same fraction would develop PID in the absence of an intervention. We examined two sets of assumptions used to calculate the sample size in a published RCT that investigated the effect of chlamydia screening on PID incidence. We also investigated the influence of the natural history parameters of chlamydia on the required sample size. RESULTS The assumed event rates and effect sizes used for the sample size calculation implicitly determined the temporal relationship between chlamydia infection and PID in the model. Even small changes in the assumed PID incidence and relative risk (RR) led to considerable differences in the hypothesised mechanism of PID development. The RR and the sample size needed per group also depend on the natural history parameters of chlamydia. CONCLUSIONS Mathematical modelling helps to understand the temporal relationship between an infection and its sequelae and can show how uncertainties about natural history parameters affect sample size calculations when planning a RCT.

Detecting outlying studies in meta-regression models using a forward search algorithm.

When considering data from many trials, it is likely that some of them present a markedly different intervention effect or exert an undue influence on the summary results. We develop a forward search algorithm for identifying outlying and influential studies in meta-analysis models. The forward search algorithm starts by fitting the hypothesized model to a small subset of likely outlier-free studies and proceeds by adding studies into the set one-by-one that are determined to be closest to the fitted model of the existing set. As each study is added to the set, plots of estimated parameters and measures of fit are monitored to identify outliers by sharp changes in the forward plots. We apply the proposed outlier detection method to two real data sets; a meta-analysis of 26 studies that examines the effect of writing-to-learn interventions on academic achievement adjusting for three possible effect modifiers, and a meta-analysis of 70 studies that compares a fluoride toothpaste treatment to placebo for preventing dental caries in children. A simple simulated example is used to illustrate the steps of the proposed methodology, and a small-scale simulation study is conducted to evaluate the performance of the proposed method. Copyright © 2016 John Wiley & Sons, Ltd.

Evaluation of 3-dimensional superimposition techniques on various skeletal structures of the head using surface models.

OBJECTIVES To test the applicability, accuracy, precision, and reproducibility of various 3D superimposition techniques for radiographic data, transformed to triangulated surface data. METHODS Five superimposition techniques (3P: three-point registration; AC: anterior cranial base; AC + F: anterior cranial base + foramen magnum; BZ: both zygomatic arches; 1Z: one zygomatic arch) were tested using eight pairs of pre-existing CT data (pre- and post-treatment). These were obtained from non-growing orthodontic patients treated with rapid maxillary expansion. All datasets were superimposed by three operators independently, who repeated the whole procedure one month later. Accuracy was assessed by the distance (D) between superimposed datasets on three form-stable anatomical areas, located on the anterior cranial base and the foramen magnum. Precision and reproducibility were assessed using the distances between models at four specific landmarks. Non parametric multivariate models and Bland-Altman difference plots were used for analyses. RESULTS There was no difference among operators or between time points on the accuracy of each superimposition technique (p>0.05). The AC + F technique was the most accurate (D<0.17 mm), as expected, followed by AC and BZ superimpositions that presented similar level of accuracy (D<0.5 mm). 3P and 1Z were the least accurate superimpositions (0.790.05), the detected structural changes differed significantly between different techniques (p<0.05). Bland-Altman difference plots showed that BZ superimposition was comparable to AC, though it presented slightly higher random error. CONCLUSIONS Superimposition of 3D datasets using surface models created from voxel data can provide accurate, precise, and reproducible results, offering also high efficiency and increased post-processing capabilities. In the present study population, the BZ superimposition was comparable to AC, with the added advantage of being applicable to scans with a smaller field of view.

Hemodynamics analyses in treated and untreated carotid arteries of the same patient: A preliminary study based on three patient cases

Carotid atherosclerotic disease is highly related to cerebrovascular events. Carotid endarterectomy is the common operation method to treat this disease. In this study, hemodynamics analyses are performed on the carotid arteries in three patients, whose right carotid artery had been treated by carotid endarterectomy and the left carotid artery remained untreated. Flow and loading conditions are compared between these treated and untreated carotid arteries and evaluation of the operative results is discussed. Patient-specific models are reconstructed from MDCT data. Intraoperative ultrasound flow measurements are performed on the treated carotid arteries and the obtained data are used as the boundary conditions of the models and the validations of the computational results. Finite volume method is employed to solve the transport equations and the flow and loading conditions of the models are reported. The results indicate that: (i) in two of the three patients, the internal-to-external flow rate ratio in the untreated carotid artery is larger than that in the treated one, and the average overall flow split ratio by summing up the data of both the left and right carotid arteries is about 2.15; (ii) in the carotid bulb, high wall shear stress occurs at the bifurcation near the external carotid artery in all of the cases without hard plaques; (iii) the operated arteries present low time-averaged wall shear stress at the carotid bulb, especially for the treated arteries with patch technique, indicating the possibility of the recurrence of stenosis; (iv) high temporal gradient of wall shear stress (>35 Pa/s) is shown in the narrowing regions along the vessels; and (v) in the carotid arteries without serious stenosis, the maximum velocity magnitude during mid-diastole is 32~37% of that at systolic peak, however, in the carotid artery with 50% stenosis by hard plaques, this value is nearly doubled (64%). The computational work quantifies flow and loading distributions in the treated and untreated carotid arteries of the same patient, contributing to evaluation of the operative results and indicating the recurrent sites of potential atheromatous plaques.