A Comprehensive Portfolio Construction Under Stochastic Environment

Prior research has established that idiosyncratic volatility of the securities prices exhibits a positive trend. This trend and other factors have made the merits of investment diversification and portfolio construction more compelling. A new optimization technique, a greedy algorithm, is proposed to optimize the weights of assets in a portfolio. The main benefits of using this algorithm are to: a) increase the efficiency of the portfolio optimization process, b) implement large-scale optimizations, and c) improve the resulting optimal weights. In addition, the technique utilizes a novel approach in the construction of a time-varying covariance matrix. This involves the application of a modified integrated dynamic conditional correlation GARCH (IDCC - GARCH) model to account for the dynamics of the conditional covariance matrices that are employed. The stochastic aspects of the expected return of the securities are integrated into the technique through Monte Carlo simulations. Instead of representing the expected returns as deterministic values, they are assigned simulated values based on their historical measures. The time-series of the securities are fitted into a probability distribution that matches the time-series characteristics using the Anderson-Darling goodness-of-fit criterion. Simulated and actual data sets are used to further generalize the results. Employing the S&P500 securities as the base, 2000 simulated data sets are created using Monte Carlo simulation. In addition, the Russell 1000 securities are used to generate 50 sample data sets. The results indicate an increase in risk-return performance. Choosing the Value-at-Risk (VaR) as the criterion and the Crystal Ball portfolio optimizer, a commercial product currently available on the market, as the comparison for benchmarking, the new greedy technique clearly outperforms others using a sample of the S&P500 and the Russell 1000 securities. The resulting improvements in performance are consistent among five securities selection methods (maximum, minimum, random, absolute minimum, and absolute maximum) and three covariance structures (unconditional, orthogonal GARCH, and integrated dynamic conditional GARCH).

Petroleomics By Electrospray Ionization Ft-icr Mass Spectrometry Coupled To Partial Least Squares With Variable Selection Methods: Prediction Of The Total Acid Number Of Crude Oils.

Negative-ion mode electrospray ionization, ESI(-), with Fourier transform ion cyclotron resonance mass spectrometry (FT-ICR MS) was coupled to a Partial Least Squares (PLS) regression and variable selection methods to estimate the total acid number (TAN) of Brazilian crude oil samples. Generally, ESI(-)-FT-ICR mass spectra present a power of resolution of ca. 500,000 and a mass accuracy less than 1 ppm, producing a data matrix containing over 5700 variables per sample. These variables correspond to heteroatom-containing species detected as deprotonated molecules, [M - H](-) ions, which are identified primarily as naphthenic acids, phenols and carbazole analog species. The TAN values for all samples ranged from 0.06 to 3.61 mg of KOH g(-1). To facilitate the spectral interpretation, three methods of variable selection were studied: variable importance in the projection (VIP), interval partial least squares (iPLS) and elimination of uninformative variables (UVE). The UVE method seems to be more appropriate for selecting important variables, reducing the dimension of the variables to 183 and producing a root mean square error of prediction of 0.32 mg of KOH g(-1). By reducing the size of the data, it was possible to relate the selected variables with their corresponding molecular formulas, thus identifying the main chemical species responsible for the TAN values.

Selection And Validation Of Reference Genes For Functional Studies In The Calliphoridae Family.

The genera Cochliomyia and Chrysomya contain both obligate and saprophagous flies, which allows the comparison of different feeding habits between closely related species. Among the different strategies for comparing these habits is the use of qPCR to investigate the expression levels of candidate genes involved in feeding behavior. To ensure an accurate measure of the levels of gene expression, it is necessary to normalize the amount of the target gene with the amount of a reference gene having a stable expression across the compared species. Since there is no universal gene that can be used as a reference in functional studies, candidate genes for qPCR data normalization were selected and validated in three Calliphoridae (Diptera) species, Cochliomyia hominivorax Coquerel, Cochliomyia macellaria Fabricius, and Chrysomya albiceps Wiedemann . The expression stability of six genes ( Actin, Gapdh, Rp49, Rps17, α -tubulin, and GstD1) was evaluated among species within the same life stage and between life stages within each species. The expression levels of Actin, Gapdh, and Rp49 were the most stable among the selected genes. These genes can be used as reliable reference genes for functional studies in Calliphoridae using similar experimental settings.

Strict Criteria For Selection Of Laparoscopy For Women With Adnexal Mass.

We compared the indication of laparoscopy for treatment of adnexal masses based on the risk scores and tumor diameters with the indication based on gynecology-oncologists' experience. This was a prospective study of 174 women who underwent surgery for adnexal tumors (116 laparotomies, 58 laparoscopies). The surgeries begun and completed by laparoscopy, with benign pathologic diagnosis, were considered successful. Laparoscopic surgeries that required conversion to laparotomy, led to a malignant diagnosis, or facilitated cyst rupture were considered failures. Two groups were defined for laparoscopy indication: (1) absence of American College of Obstetrics and Gynecology (ACOG) guideline for referral of high-risk adnexal masses criteria (ACOG negative) associated with 3 different tumor sizes (10, 12, and 14 cm); and (2) Index of Risk of Malignancy (IRM) with cutoffs at 100, 200, and 300, associated with the same 3 tumor sizes. Both groups were compared with the indication based on the surgeon's experience to verify whether the selection based on strict rules would improve the rate of successful laparoscopy. ACOG-negative and tumors ≤10 cm and IRM with a cutoff at 300 points and tumors ≤10cm resulted in the same best performance (78% success = 38/49 laparoscopies). However, compared with the results of the gynecology-oncologists' experience, those were not statistically significant. The selection of patients with adnexal mass to laparoscopy by the use of the ACOG guideline or IRM associated with tumor diameter had similar performance as the experience of gynecology-oncologists. Both methods are reproducible and easy to apply to all women with adnexal masses and could be used by general gynecologists to select women for laparoscopic surgery; however, referral to a gynecology-oncologist is advisable when there is any doubt.

Aplicações metodologicas em educação fisica/ciencias do esporte : recortes da experiencia da Saude Coletiva e Atividade Fisica da UNICAMP

Universidade Estadual de Campinas . Faculdade de Educação Física

SELECTION OF TRICHOGRAMMA PRETIOSUM LINEAGES FOR CONTROL OF GRAPHOLITA MOLESTA IN PEACH

Grapholita molesta (Lepidoptera: Tortricidae) is one of the main pests of peach trees in Brazil, causing fruit losses of 3-5%. Among possible biological control agents, Trichogramma pretiosum (Hymenoptera: Trichogrammatidae) has been found in peach orchards. Our objectives were to study the rearing of T pretiosum in eggs of G. molesta and Anagasta kuehniella (Lepidoptera: Pyralidae), and select lineages of this parasitoid that have the potential to control G. molesta. Selection of best lineages was made from 5 populations of T pretiosum collected from organically-cultivated peach orchards. The study was done under controlled temperature (25 +/- 2 degrees C), relative humidity (70 +/- 10%) and 14:10 h (light:dark) photoperiod conditions. Grapholita molesta eggs were found to be adequate hosts for the development of T pretiosum, and the parameters for number of parasitized eggs, percent parasitized eggs, and sex ratio were similar to those for A. kuehniella eggs. The highest rate of parasitism of G. molesta eggs occurred in eggs with up to 48 h of embryonic development. Among the lineages of T pretiosum that were collected, HO8, PO8, PEL, and L3M showed the best biological performance and are therefore indicated for semi-field and field studies for biological control of oriental fruit moth.

Motor Nerve-Conduction Studies in Obstetric Brachial Plexopathy for a Selection of Patients with a Poor Outcome

Background: The criteria and timing for nerve surgery in infants with obstetric brachial plexopathy remain controversial. Our aim was to develop a new method for early prognostic assessment to assist this decision process. Methods: Fifty-four patients with unilateral obstetric brachial plexopathy who were ten to sixty days old underwent bilateral motor-nerve-conduction studies of the axillary, musculocutaneous, proximal radial, distal radial, median, and ulnar nerves. The ratio between the amplitude of the compound muscle action potential of the affected limb and that of the healthy side was called the axonal viability index. The patients were followed and classified in three groups according to the clinical outcome. We analyzed the receiver operating characteristic curve of each index to define the best cutoff point to detect patients with a poor recovery. Results: The best cutoff points on the axonal viability index for each nerve (and its sensitivity and specificity) were <10% (88% and 89%, respectively) for the axillary nerve, 0% (88% and 73%) for the musculocutaneous nerve, <20% (82% and 97%) for the proximal radial nerve, <50% (82% and 97%) for the distal radial nerve, and <50% (59% and 97%) for the ulnar nerve. The indices from the proximal radial, distal radial, and ulnar nerves had better specificities compared with the most frequently used clinical criterion: absence of biceps function at three months of age. Conclusions: The axonal viability index yields an earlier and more specific prognostic estimation of obstetric brachial plexopathy than does the clinical criterion of biceps function, and we believe it may be useful in determining surgical indications in these patients.

Selection of suitable housekeeping genes for expression analysis in glioblastoma using quantitative RT-PCR

Background: Considering the broad variation in the expression of housekeeping genes among tissues and experimental situations, studies using quantitative RT-PCR require strict definition of adequate endogenous controls. For glioblastoma, the most common type of tumor in the central nervous system, there was no previous report regarding this issue. Results: Here we show that amongst seven frequently used housekeeping genes TBP and HPRT1 are adequate references for glioblastoma gene expression analysis. Evaluation of the expression levels of 12 target genes utilizing different endogenous controls revealed that the normalization method applied might introduce errors in the estimation of relative quantities. Genes presenting expression levels which do not significantly differ between tumor and normal tissues can be considered either increased or decreased if unsuitable reference genes are applied. Most importantly, genes showing significant differences in expression levels between tumor and normal tissues can be missed. We also demonstrated that the Holliday Junction Recognizing Protein, a novel DNA repair protein over expressed in lung cancer, is extremely over-expressed in glioblastoma, with a median change of about 134 fold. Conclusion: Altogether, our data show the relevance of previous validation of candidate control genes for each experimental model and indicate TBP plus HPRT1 as suitable references for studies on glioblastoma gene expression.

SMALL MAMMAL PREY SELECTION BY TWO OWL SPECIES IN SOUTHEASTERN BRAZIL

A variety of factors influence prey selection by predators. Because Barn Owls (Tyto alba) and Burrowing Owls (Athene cunicularia) differ in size and foraging tactics, we expected differential predation on small mammal prey. We hypothesized that the Barn Owl, all active predator, would prey on smaller and younger individuals than the Burrowing Owl, a sit-and-wait predator. We used pellet analyses to evaluate selection of small mammals by the two owls in relation to prey), species, age, and size at the Ecological Station of Itirapina, state of Sao Paulo, in southeastern Brazil. Small mammals constituted most of the prey individuals and biomass in the diet of Barn Owls. Although Burrowing Owls consumed a wider range of taxa, small mammals represented one-third of all biomass consumed. With respect. to small mammals, Barn Owls foraged selectively relative to prey species, size, and age. Burrowing Owls foraged opportunistically relative to prey species, but selectively relative to prey size and age. Barn Owls selected smaller and younger (juvenile and subadult) individuals of the delicate vesper mouse (Calomys tener) and Burrowing Owls preyed more oil larger and older (subadult only) individuals. morphology and behavior of both prey and predators may explain this differential predation. Our data suggest that the active predator feeds oil smaller and younger prey, and the sit-and-wait predator took relatively larger and older prey.

Positive Selection Results in Frequent Reversible Amino Acid Replacements in the G Protein Gene of Human Respiratory Syncytial Virus

Human respiratory syncytial virus (HRSV) is the major cause of lower respiratory tract infections in children under 5 years of age and the elderly, causing annual disease outbreaks during the fall and winter. Multiple lineages of the HRSVA and HRSVB serotypes co-circulate within a single outbreak and display a strongly temporal pattern of genetic variation, with a replacement of dominant genotypes occurring during consecutive years. In the present study we utilized phylogenetic methods to detect and map sites subject to adaptive evolution in the G protein of HRSVA and HRSVB. A total of 29 and 23 amino acid sites were found to be putatively positively selected in HRSVA and HRSVB, respectively. Several of these sites defined genotypes and lineages within genotypes in both groups, and correlated well with epitopes previously described in group A. Remarkably, 18 of these positively selected tended to revert in time to a previous codon state, producing a ""flipflop'' phylogenetic pattern. Such frequent evolutionary reversals in HRSV are indicative of a combination of frequent positive selection, reflecting the changing immune status of the human population, and a limited repertoire of functionally viable amino acids at specific amino acid sites.

Genome-wide SNP genotyping highlights the role of natural selection in Plasmodium falciparum population divergence

Background: The malaria parasite Plasmodium falciparum exhibits abundant genetic diversity, and this diversity is key to its success as a pathogen. Previous efforts to study genetic diversity in P. falciparum have begun to elucidate the demographic history of the species, as well as patterns of population structure and patterns of linkage disequilibrium within its genome. Such studies will be greatly enhanced by new genomic tools and recent large-scale efforts to map genomic variation. To that end, we have developed a high throughput single nucleotide polymorphism (SNP) genotyping platform for P. falciparum. Results: Using an Affymetrix 3,000 SNP assay array, we found roughly half the assays (1,638) yielded high quality, 100% accurate genotyping calls for both major and minor SNP alleles. Genotype data from 76 global isolates confirm significant genetic differentiation among continental populations and varying levels of SNP diversity and linkage disequilibrium according to geographic location and local epidemiological factors. We further discovered that nonsynonymous and silent (synonymous or noncoding) SNPs differ with respect to within-population diversity, interpopulation differentiation, and the degree to which allele frequencies are correlated between populations. Conclusions: The distinct population profile of nonsynonymous variants indicates that natural selection has a significant influence on genomic diversity in P. falciparum, and that many of these changes may reflect functional variants deserving of follow-up study. Our analysis demonstrates the potential for new high-throughput genotyping technologies to enhance studies of population structure, natural selection, and ultimately enable genome-wide association studies in P. falciparum to find genes underlying key phenotypic traits.

Genetic variability and natural selection at the ligand domain of the Duffy binding protein in brazilian Plasmodium vivax populations

Background: Plasmodium vivax malaria is a major public health challenge in Latin America, Asia and Oceania, with 130-435 million clinical cases per year worldwide. Invasion of host blood cells by P. vivax mainly depends on a type I membrane protein called Duffy binding protein (PvDBP). The erythrocyte-binding motif of PvDBP is a 170 amino-acid stretch located in its cysteine-rich region II (PvDBP(II)), which is the most variable segment of the protein. Methods: To test whether diversifying natural selection has shaped the nucleotide diversity of PvDBP(II) in Brazilian populations, this region was sequenced in 122 isolates from six different geographic areas. A Bayesian method was applied to test for the action of natural selection under a population genetic model that incorporates recombination. The analysis was integrated with a structural model of PvDBP(II), and T-and B-cell epitopes were localized on the 3-D structure. Results: The results suggest that: (i) recombination plays an important role in determining the haplotype structure of PvDBP(II), and (ii) PvDBP(II) appears to contain neutrally evolving codons as well as codons evolving under natural selection. Diversifying selection preferentially acts on sites identified as epitopes, particularly on amino acid residues 417, 419, and 424, which show strong linkage disequilibrium. Conclusions: This study shows that some polymorphisms of PvDBP(II) are present near the erythrocyte-binding domain and might serve to elude antibodies that inhibit cell invasion. Therefore, these polymorphisms should be taken into account when designing vaccines aimed at eliciting antibodies to inhibit erythrocyte invasion.

Feature selection environment for genomic applications

Background: Feature selection is a pattern recognition approach to choose important variables according to some criteria in order to distinguish or explain certain phenomena (i.e., for dimensionality reduction). There are many genomic and proteomic applications that rely on feature selection to answer questions such as selecting signature genes which are informative about some biological state, e. g., normal tissues and several types of cancer; or inferring a prediction network among elements such as genes, proteins and external stimuli. In these applications, a recurrent problem is the lack of samples to perform an adequate estimate of the joint probabilities between element states. A myriad of feature selection algorithms and criterion functions have been proposed, although it is difficult to point the best solution for each application. Results: The intent of this work is to provide an open-source multiplataform graphical environment for bioinformatics problems, which supports many feature selection algorithms, criterion functions and graphic visualization tools such as scatterplots, parallel coordinates and graphs. A feature selection approach for growing genetic networks from seed genes ( targets or predictors) is also implemented in the system. Conclusion: The proposed feature selection environment allows data analysis using several algorithms, criterion functions and graphic visualization tools. Our experiments have shown the software effectiveness in two distinct types of biological problems. Besides, the environment can be used in different pattern recognition applications, although the main concern regards bioinformatics tasks.

Context tree selection: A unifying view

Context tree models have been introduced by Rissanen in [25] as a parsimonious generalization of Markov models. Since then, they have been widely used in applied probability and statistics. The present paper investigates non-asymptotic properties of two popular procedures of context tree estimation: Rissanen's algorithm Context and penalized maximum likelihood. First showing how they are related, we prove finite horizon bounds for the probability of over- and under-estimation. Concerning overestimation, no boundedness or loss-of-memory conditions are required: the proof relies on new deviation inequalities for empirical probabilities of independent interest. The under-estimation properties rely on classical hypotheses for processes of infinite memory. These results improve on and generalize the bounds obtained in Duarte et al. (2006) [12], Galves et al. (2008) [18], Galves and Leonardi (2008) [17], Leonardi (2010) [22], refining asymptotic results of Buhlmann and Wyner (1999) [4] and Csiszar and Talata (2006) [9]. (C) 2011 Elsevier B.V. All rights reserved.

Anthropometric characteristics and motor skills in talent selection and development in indoor soccer

Kick performance, anthropometric characteristics, slalom, and linear running were assessed in 49 (24 elite, 25 nonelite) postpubertal indoor soccer players in order to (a) verify whether anthropometric characteristics and physical and technical capacities can distinguish players of different competitive levels, (b) compare the kicking kinematics of these groups, with and without a defined target, and (c) compare results on the assessments and coaches` subjective rankings of the players. Thigh circumference and specific technical capacities differentiated the players by level of play; cluster analysis correctly classified 77.5% of the players. The correlation between players` standardized measures and the coaches` rankings was 0.29. Anthropometric characteristics and physical capacities do not necessarily differentiate players at post-pubertal stages and should not be overvalued during early development. Considering the coaches` rankings, performance measures outside the specific game conditions may not be useful in identification of talented players.