Robust multiperiod portfolio management in the presence of transaction costs

We study the viability of different robust optimization approaches to multiperiod portfolio selection. Robust optimization models treat future asset returns as uncertain coefficients in an optimization problem, and map the level of risk aversion of the investor to the level of tolerance of the total error in asset return forecasts. We suggest robust optimization formulations of the multiperiod portfolio optimization problem that are linear and computationally efficient. The linearity of the optimization problems is an advantage when complex additional requirements need to be imposed on the portfolio structure, e.g., limitations on positions in certain assets or tax constraints. We compare the performance of our robust formulations to the performance of the traditional single period mean-variance formulation frequently employed in the financial industry.     

High occurrence of hepatitis E virus in samples from wastewater treatment plants in Switzerland and comparison with other enteric viruses

Hepatitis E virus (HEV) is responsible for many enterically transmitted viral hepatitides around the world. It is currently one of the waterborne diseases of global concern. In industrialized countries, HEV appears to be more common than previously thought, even if it is rarely virulent. In Switzerland, seroprevalence studies revealed that HEV is endemic, but no information was available on its environmental spread. The aim of this study was to investigate –using qPCR– the occurrence and concentration of HEV and three other viruses (norovirus genogroup II, human adenovirus-40 and porcine adenovirus) in influents and effluents of 31 wastewater treatment plants (WWTPs) in Switzerland. Low concentrations of HEV were detected in 40 out of 124 WWTP influent samples, showing that HEV is commonly present in this region. The frequency of HEV occurrence was higher in summer than in winter. No HEV was detected in WWTP effluent samples, which indicates a low risk of environmental contamination. HEV occurrence and concentrations were lower than those of norovirus and adenovirus. The autochthonous HEV genotype 3 was found in all positive samples, but a strain of the non-endemic and highly pathogenic HEV genotype I was isolated in one sample, highlighting the possibility of environmental circulation of this genotype. A porcine fecal marker (porcine adenovirus) was not detected in HEV positive samples, indicating that swine are not the direct source of HEV present in wastewater. Further investigations will be necessary to determine the reservoirs and the routes of dissemination of HEV.     

Polybenzimidazole‐graft‐polyvinylphosphonic acid—proton conducting fuel cell membranes

A new method for the preparation of polybenzimidazole (PBI)‐based membranes, containing high concentrations of immobilized phosphonic acid groups, has been developed. The procedure used is carried out in two steps: (1) Synthesis of modified PBIs, containing 1,2‐dihydroxypropyl groups and preparation of films there from; (2) Introduction of vinylphosphonic acid (VPA) and initiator (cerium ammonium nitrate) in the film, subsequent grafting of VPA from the active sites of the PBI backbone. Membranes with different length of the grafted polyvinylphosphonic acid chains were prepared. The molar ratio grafted VPA units per PBI repeating unit reaches 7.8. Proton conductivity was measured at 120°C and relative humidity (RH) 20–100%. For the membrane with highest concentration of phosphonic acid groups the proton conductivity was 35 mS cm^?1 at 100% RH and 8 mS cm^?1 at 20% RH. © 2012 Wiley Periodicals, Inc. J. Appl. Polym. Sci., 2013     

Dynamic Bandwidth Allocation Algorithms for Ethernet Passive Optical Networks with Threshold Reporting

In this paper we present a dynamic bandwidth allocation algorithm for Ethernet Passive Optical Networks (EPON), which makes use of the Multipoint Control Protocol (MPCP) with threshold reporting and with inter- and intra-ONU priority scheduling. Three varieties of this algorithm are compared under both symmetric and asymmetric traffic conditions, by means of a detailed simulation program, regarding average packet delay for several priorities, delay variation for constant bit rate (CBR) traffic and bandwidth utilization. Two types of intra-ONU priority scheduling algorithms are considered, being full and interval priority scheduling, called FPS and IPS, respectively. It is shown that by combining IPS with the threshold reporting mechanism one can achieve a nearly optimal bandwidth utilization (by avoiding nearly all fragmentation losses). IPS, however, causes an increased packet delay and delay variation for CBR traffic in comparison with FPS. In order to eliminate this drawback, we combine the IPS scheduling algorithm with a rate-based scheme for the highest priority (CBR) traffic. The combined IPSA algorithm provides an interesting trade-off between the efficiency, which is still near to the optimal, and the delay characteristics of time critical applications. Finally, we also demonstrate that unfairness arises with FPS under asymmetric traffic conditions, that is, ONUs with more best effort traffic are favored by FPS. Whereas asymmetric traffic conditions only slightly affect the fairness of IPS under low load conditions.     

A robust asset–liability management framework for investment products with guarantees

This paper suggests a robust asset–liability management framework for investment products with guarantees, such as guaranteed investment contracts and equity-linked notes. Stochastic programming and robust optimization approaches are introduced to deal with data uncertainty in asset returns and interest rates. The statistical properties of the probability distributions of uncertain parameters are incorporated in the model through appropriately selected symmetric and asymmetric uncertainty sets. Practical data-driven approaches for implementation of the robust models are also discussed. Numerical results using generated and real market data are presented to illustrate the performance of the robust asset–liability management strategies. The robust investment strategies show better performance in unfavorable market regimes than traditional stochastic programming approaches. The effectiveness of robust investment strategies can be improved by calibrating carefully the shape and the size of the uncertainty sets for asset returns.     

KlSEC53 is an essential Kluyveromyces lactis gene and is homologous with the SEC53 gene of Saccharomyces cerevisiae

Phosphomannomutase (PMM) is a key enzyme, which catalyses one of the first steps in the glycosylation pathway, the conversion of D-mannose-6-phosphate to D-mannose-1-phosphate. The latter is the substrate for the synthesis of GDP-mannose, which serves as the mannosyl donor for the glycosylation reactions in eukaryotic cells. In the yeast Saccharomyces cerevisiae PMM is encoded by the gene SEC53 (ScSEC53) and the deficiency of PMM activity leads to severe defects in both protein glycosylation and secretion. We report here on the isolation of the Kluyveromyces lactis SEC53 (KlSEC53) gene from a genomic library by virtue of its ability to complement a Saccharomyces cerevisiae sec53 mutation. The sequenced DNA fragment contained an open reading frame of 765 bp, coding for a predicted polypeptide, KlSec53p, of 254 amino acids. The KlSec53p displays a high degree of homology with phosphomannomutases from other yeast species, protozoans, plants and humans. Our results have demonstrated that KlSEC53 is the functional homologue of the ScSEC53 gene. Like ScSEC53, the KlSEC53 gene is essential for K. lactis cell viability. Phenotypic analysis of a K. lactis strain overexpressing the KlSEC53 gene revealed defects expected for impaired cell wall integrity.